Nifty Option Greeks Calculator: Live Excel Sheet

People who practice Options trading know very well how important ‘Option Greeks’ are. As per Investopedia, Trading options without an understanding of the Greeks – the essential risk measures and profit/loss guideposts in options strategies – is synonymous to flying a plane without the ability to read instruments. Option Greeks, denoted by certain Greek alphabets, are the parameters which determine how Option price varies with the change in external factors like Time, Volatility and underlying Stock Price. These Greeks are calculated based on the Black and Scholes options pricing model, which was first published by Fisher Black and Myron Scholes (hence the name Black & Scholes) in 1973. In this post, we’ll go through a Nifty Option Greeks Calculator which updates real-time and calculate Greek values for all the strike prices of Nifty Put and Call options.

Options Greeks definition

option-greek

Image Source: http://optionspedia.blogspot.in/2012/10/option-greeks.html

  1. Delta – Measures the exposure of option price to movement of underlying stock price
  2. Gamma – Measures the exposure of the option delta to the movement of the underlying stock price
  3. Theta – Measures the exposure of the option price to the passage of time
  4. Vega – Measures the exposure of the option price to changes in volatility of the underlying
  5. Rho– Measures the exposure of the option price to changes in interest rate

Nifty Option Greeks Calculator: Excel Sheet overview

Parameter Description
Worksheet Name Greeks
Inputs Expiry Date (Cell E3) Expiration date of current Nifty Option series. Generally it is the last Thursday of the month.
Risk free interest rate (Cell E6) This is risk free rate prevailing in the economy. Use the RBI 91 day Treasury bill rate for this purpose. You can get the rate from the RBI website, RBI has made it available on their landing page here.
Dividend Yield (Cell E8) This is the dividend per share expected in the stock, provided the stock goes ex dividend within the expiry period.
Outputs Cells B11:R31 Option Greeks values for each strike price.

Nifty Option Greeks Calculator: Screenshot

Nifty Option Greeks Calculator

How to use this Excel Sheet

Below are the simple steps to use Nifty Option Greeks Calculator excel sheet. There is very little manual intervention required for this.

Step 1: Download the Excel file from the end of this post.

Step 2: Open this Excel file and make sure you are connected to internet. Please accept if it asks to enable Macros and Data connections.

Step 3: Input the required fields, Expiry Date, Risk free interest rate and Dividend yield.

Step 4: The Greek values would automatically get updated. The sheet refreshes every five minutes.

Download link for Nifty Option Greeks Calculator

Please see the below link to download Nifty Option Greeks Calculator excel sheet. Mostly everything is self explanatory, but please let us know if you have any queries. Also, send us your feedback on how to improve this sheet.

Nifty Option Greeks: Download Link

17 Comments

  1. Your doing a great job …..your posts are highly informative. Every post is making me to learn new stuff.Thank you for your great work

  2. Hello Admin,What is difference between NSE Call LTP and CallPrice.
    Could you please let us know.

  3. Great Great job.
    All are giving real time thats great. If you add one 2 more feature if possible one is Greek atleast historcial last 10 days atleast on closing basis atleast with graph. That helps user to understand and use it proper basis. And also strategies expected loss and profit. Thanz

  4. Hi … I am new to Options Trading : Downloaded Excel sheet .. based on this shall we buy (Put/Call) !!! if yes kindly explain how to proceed , thank you , God Bless You and Your Family ….

  5. sir can u help me to use it. where to buy and sell . i dont know much about it?. plz help thanks and waiting for ur kind reply

    • Hi Ruchi,

      This is not an automated Buy/Sell excel sheet. However, it helps in your trade decisions for options. Please read about Option Greeks in details.

  6. dear sir your posts are amazing
    i regularly visit your website , thx for helping newbies like me
    in your option greeks pls add bank nifty if possible
    or please teach us how to add bank nifty .
    greatfull to you for all your posts

  7. Hi sir,
    I am new to trading, I want to develop more technical knowledge in this area. Can you please share a material which have basic concepts and step by step flow of concepts it will really help beginners. Please kindly drop a mail.
    Thanks!

  8. Is there a way to force a refresh a data load? On my system after the first load of data I don’t get a refresh

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