Nifty Option Greeks — Delta, Gamma, Theta, Vega by Strike
Every strike of the current Nifty and Bank Nifty expiry with its implied volatility and all four Greeks, plus the at-the-money IV, the expected move to expiry and the volatility smile.
Delta, gamma, theta, vega and implied volatility for every Nifty 50 and Bank Nifty option strike in the current expiry, calls and puts side by side, with the at-the-money IV, the move the options are pricing to expiry, and the IV smile across strikes.
Download every strike's Greeks as CSV
An option chain tells you what each option costs and how much open interest sits at each strike. The Greeks tell you how that price will behave: how much it moves with the index (delta), how fast that sensitivity changes (gamma), how much value it loses each day (theta) and how much it gains or loses when implied volatility moves (vega).
This page computes all four, plus the implied volatility behind them, for every strike of the current Nifty 50 and Bank Nifty expiry. Calls are on the left and puts on the right, with the at-the-money strike highlighted. The summary above each table gives the at-the-money IV, its one-year IV rank, and the move the option prices imply between now and expiry.
What each Greek on this page means
Delta is the change in the option's price for a one-point move in the index. A call with delta 0.50 gains about 50 paise for every point the Nifty rises; a put's delta is negative. Delta is also a rough market-implied probability that the option finishes in the money.
Gamma is how much delta changes for a one-point move. It is largest at the money and close to expiry, which is why at-the-money options in expiry week swing so sharply. Option sellers are short gamma: large moves hurt them more than proportionally.
Theta is the time decay per calendar day, in rupees per unit of the index. A theta of -16 means that, other things equal, the option loses about Rs 16 of premium per unit by tomorrow. Vega is the change in price for a one-point change in implied volatility.
Expected move and the IV smile
The expected move is the one-standard-deviation range the at-the-money implied volatility prices in between today and expiry: the index level, times the at-the-money IV, times the square root of the days to expiry over 365. If the IV is a fair forecast and moves are roughly normal, the index finishes inside that range about two times in three. The at-the-money straddle price is a close cousin of the same number, at about 0.8 times the move.
The smile chart plots implied volatility across strikes, using puts below the at-the-money strike and calls above it, the side that trades most actively at each strike. Nifty IV is usually higher for lower strikes - the market pays more to insure against falls than against rallies - and the steepness of that skew changes with sentiment.
How the Greeks are calculated
Implied volatility is back-solved with the Black-Scholes model, and the Greeks follow from the same model's closed-form formulas, using a 6.5% risk-free rate. Time to expiry runs to the 15:30 close on expiry day, so on the last day it is measured in hours, not rounded up to a full day. During market hours the prices are the latest available; otherwise they are the exchange's end-of-day closing prices for the last session.
The underlying level used for pricing is the forward implied by the at-the-money call and put through put-call parity, not the quoted spot. Quoted spot ignores the cost of carry and can be stamped at a different moment from the option prices, which otherwise makes calls and puts at the same strike show implied volatilities several points apart. Using the parity forward keeps call and put IV consistent.
At each strike, the call and the put are priced from one volatility: the one implied by the out-of-the-money option (the call at or above the underlying, the put below it). An in-the-money option is mostly intrinsic value, its last price is often stale, and a few paise can move its implied volatility by points; the out-of-the-money option at the same strike trades actively and, by put-call parity, carries the same volatility. Strikes where neither option has a price show a dash rather than a guessed value.
Key takeaways
- Delta is price sensitivity to the index; gamma is how fast delta changes.
- Theta is daily time decay in rupees per unit; vega is sensitivity to a one-point IV change.
- Gamma and theta are both largest at the money and close to expiry.
- The expected move converts at-the-money IV into an index range to expiry.
- Greeks here use the put-call-parity forward and the out-of-the-money IV at each strike.
Frequently asked questions
What are option Greeks?
Option Greeks measure how an option's price responds to changes in the market: delta to the underlying price, gamma to changes in delta, theta to the passage of time, and vega to changes in implied volatility. They come from an option pricing model, here Black-Scholes.
Are these Nifty option Greeks live?
During market hours the Greeks are computed from the latest available option prices; outside them they are computed from the exchange's end-of-day closing prices, and the table header shows which session they come from.
What is a good delta for buying Nifty options?
There is no single right delta. At-the-money options have a delta near 0.50 and the most gamma; out-of-the-money options with a delta of 0.20 to 0.30 are cheaper but need a larger move, and lose value faster in relative terms. The delta column lets you pick strikes by sensitivity rather than by price.
Why is theta so large on expiry week?
Time decay accelerates as expiry approaches, and it is concentrated in at-the-money options. With a few days left, an at-the-money Nifty option loses a large share of its remaining premium each day if the index stays put.
Why do some strikes show no Greeks?
If an option did not trade, there is no price to back-solve implied volatility from, so the IV and Greeks are left blank rather than estimated.
Can I download the option Greeks?
Yes. The CSV link below the tables downloads every strike's price, IV, delta, gamma, theta, vega and open interest for Nifty and Bank Nifty.