Equitymaster Club

  Options Premium Calculator
Spot Price (Rs) Strike Price (Rs)
Interest Rate (%) Volatility (%)
Purchase Date Expiry Date
Display Call Option Price Put Option Price

What you need to enter   Results to expect

Spot Price and Strike Price: These are the spot index level and the strike price of the option. These are currently in points (as the index is in points). However, once individual stock options come, for those the unit will be rupees. There must be a consistency in the unit of both these inputs.

Interest Rate: The simple risk-free interest rate for the period. Treasury bills of the similar time frame could be used as a benchmark. For example, for valuing a 3-month option, the 91-day T-bill rate could be used. If you have to enter 10% please enter 10.

Number of days to expiry: This is calculated as a difference between the two dates entered. One is the date of purchase and the other will be the day you wish to end the contract. This is limited by the expiry date of the series you are taking a position in. Please note that each series contract expires on the last Thursday of that particular month. Therefore, June series will expire on the last Thursday of June.

Volatility: If calculating the theoretical option value, then a volatility of the underlying must be input. To input a volatility of 25.5%, please enter 25.5.

Option Type: Select whether the option is a call or put.

 

Option Value Or Premium: This is the theoretical price or premium the option should have. The value will be expressed in the same units as those used for the input of the spot and strike prices.

Delta: Delta is the measure of an optionís sensitivity to changes in the price of the underlying asset. [Read more]

Gamma: Gamma is a measure of the change in delta for a change in the underlying stock or index price. [Read more]

Theta: Measures the sensitivity of the calculated option value to small changes in time as expiration approaches. [Read more]

Vega: Vega is the measure of an optionís sensitivity to changes in the volatility of the underlying asset. [Read more]

Rho: Is the measure of an optionís sensitivity to changes in the risk free interest rate. [Read more]