Nifty & Bank Nifty option Price Calculator

How to Use the Nifty & Bank Nifty Option Value Builder

This Nifty Option Value Builder is an options price calculator designed for Indian traders. It helps you estimate the theoretical option price and key option Greeks using the Black–Scholes model. You can use it for both Nifty 50 and Bank Nifty index options.

Step-by-Step: How to Use This Option Calculator

1. Select the Underlying Index
   At the top of the left panel, choose Nifty 50 or Bank Nifty from the Underlying Index dropdown. This tells the tool which index you are analysing.
2. Load the Simulated Live Spot Price
   The Spot Price (₹) field shows a simulated live price based on recent market levels. Click the ↻ refresh button if you want to update the spot price again. This spot value is used as the underlying price (S) in the Black–Scholes formula.
3. Choose Call or Put Option
   Under Option Type, select Call or Put. The active type is highlighted. All calculations (price and Greeks) will be based on this choice.
4. Select the Strike Price
   Use either:
   • The numeric input box to type your desired strike directly, or
   • The strike slider to move up or down in fixed steps (50 points for Nifty, 100 points for Bank Nifty).
   The label next to it (e.g., ATM / ITM / OTM) shows how far the strike is from the spot price in percentage terms.
5. Choose the Expiry Date
   From the Expiry Date dropdown, select the weekly or monthly expiry you are interested in. The tool automatically generates upcoming Tuesday expiries for Nifty and monthly expiries for Bank Nifty. Under the dropdown, you will see “X Days to Expiry”, which is used to calculate time to maturity (T) in years.
6. Adjust the Implied Volatility (IV)
   The Implied Volatility (%) is auto-filled based on the current spot and strike (synthetic IV). You can:
   • Manually type an IV value if you have data from your broker or NSE option chain, or
   • Use the slider to quickly see how option price changes when volatility increases or decreases.
7. Review Interest Rate and Dividend Yield
   The Int. Rate (%) field is the risk-free interest rate used in the model (for example, based on long-term government yields). Dividend yield for the index is handled internally and not normally changed by the user.
8. Click “Recalculate”
   After setting all parameters, click the Recalculate button. The tool will compute the theoretical option value and all Greeks instantly.
9. Use “Reset” to Start Again
   If you want to start fresh, click Reset. The tool will:
   • Switch back to Nifty 50,
   • Reload expiries,
   • Fetch a new simulated spot price, and
   • Auto-set a near-the-money strike and IV.

Understanding the Output Sections

1. Theoretical Option Price

The large number in the Option Valuation card is the theoretical option price calculated by the Black–Scholes model. It is the “fair value” of the option based on your selected inputs: spot price, strike price, days to expiry, interest rate, dividend yield and implied volatility.

You can compare this model price with the actual market premium from your broker:

• If the market premium is higher than theoretical price, the option may be overpriced.
• If the market premium is lower than theoretical price, the option may be underpriced.

2. Intrinsic Value vs Time Value

Below the price, you will see:

• Intrinsic Value – The real, immediate value of the option if expiry were right now.
  For a call: max(Spot − Strike, 0). For a put: max(Strike − Spot, 0).
• Time Value – Extra value above intrinsic due to time remaining and volatility.
  Time value = Theoretical Price − Intrinsic Value.

Options that are very close to expiry or far out-of-the-money usually lose time value quickly.

3. ITM / ATM / OTM Tag

The small badge below the price shows whether the option is:

• ITM (In The Money) – Intrinsic value > 0.
• ATM (At The Money) – Strike very close to spot.
• OTM (Out of The Money) – Intrinsic value = 0, only time value.

4. Option Greeks (Risk Metrics)

In the Option Greeks card, you will see:

• Delta – Sensitivity of the option price to a small change in the underlying index.
  For example, delta = 0.40 means the option moves about ₹0.40 for every ₹1 move in the index (approximately).
• Gamma – Sensitivity of delta to changes in the underlying. High gamma means delta can change quickly.
• Theta (per day) – Time decay of the option’s value per day. Usually negative for long options.
• Vega (per 1% IV) – Sensitivity of option price to a 1% change in implied volatility.
• Rho – Sensitivity of option price to a 1% change in interest rates (less important for intraday traders).

How Traders Can Use This Tool

This option price and Greeks calculator is meant for educational and analysis purposes. Some common use cases:

• Understanding option pricing before trading weekly and monthly expiries.
• Comparing market premium vs theoretical premium to check if options look rich or cheap.
• Studying Greeks to learn how delta, gamma and theta behave for ITM, ATM and OTM contracts.
• Testing different IV levels to see how volatility crush or expansion could affect your option price.

Always remember that real market prices also reflect order flow, demand–supply, news and events. No pricing model can capture the full market behaviour. Use this tool as a guide, not a guarantee.

Best Practices to Make the Most of This Calculator

• Whenever possible, use IV data from live option chain for more realistic results.
• Check multiple strikes around ATM to get a full view of the smile or skew.
• Look at theta when holding options overnight or for multiple days.
• Use delta and gamma to understand how sensitive your position is to index moves.
• Combine this tool with your own price action and risk management rules.

Frequently Asked Questions (FAQ)

1. Is this a real-time live market price?

No. The spot price used here is a simulated live level based on recent market values. You should always confirm the exact live price and premium with your broker or trading platform.

2. Can I use this tool for stock options also?

This version is focused on Nifty 50 and Bank Nifty index options. The pricing logic is generic Black–Scholes, but the configuration (steps, dividends, expiries) is tuned to index options.

3. Will expiries update automatically in the future?

Yes. The expiry dropdown is generated based on the current date. Each time you open or refresh the page, past expiries disappear and only future weekly and monthly expiries are shown.

4. Is this tool giving buy or sell signals?

No. This is an educational calculator. It shows model-based fair value and Greeks. It does not provide buy, sell or hold recommendations. Always do your own analysis and trade at your own risk.

5. Which pricing model is used here?

The calculator uses the Black–Scholes model for European options, adjusted for dividend yield. This is a standard academic model for option pricing and is commonly used for index options.

Disclaimer: This Nifty and Bank Nifty option price calculator is strictly for education and research. Trading in derivatives involves substantial risk. Please consult your financial advisor before making any investment decisions.