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

47 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

  9. hi sir , i have downloaded the excel sheet for option greek and none of the columns show correct values or sometimes it does not show anything in the delta vega rho theta columns pls help!

  10. Dear Admin,
    Thank you for such a wonder excel file on options. It helps in making descisions; can you please let us know what thie difference between NSE CALL LTP and Call Price?
    Thank you for you quick response!

  11. Dear Admin,
    I have developed Bank Nifty Option Greeks,its under trail , soon
    I will post here. Thank you.

    • Hi Raju,

      Thanks a ton for your continuous contribution. Looking forward for it.

  12. Hello Admin,

    Thanks for the fantastic work ,It will help a lot to adjust position during delta neutral.Can you please post same for Bank nifty ?and also please explain how to do it for any script / Index.

  13. Well done friend! Undoubtedly this is cool and very helpful to option traders!

    Best wishes!

  14. Your work is excellent!!! Is it possible to see the greeks of next month options in this excel? Also please check why ITM Call option greeks are not being calculated. Thanks and keep up the good work please….

  15. Excellent Share, Thanks a lot. May I request the same sheet for Bank Nifty?

  16. Sir, I some how feel the Gamma column in Option greek is eronous , it I think does not give the right figure . it is same for all the strike or r zero , pl check

  17. HI , The theoretical value and the actual price difference is huge . How do i get the exact calculation ? . and addition to this is there any formula to calculate the implied volatility for a particular strike with out (Actual Option Price ) ? .

    Kindly suggest
    Kindly suggest .

  18. Hi ,
    Which pricing model do you use to calculate the greeks ? Kindly reply so that i can study more on those models .

      • Thank you first of all , in BS model we need the following variables in order to get the price of the option premium ( Ie Spot Price , Strike Price, No Days to expiry , Implied Volatility , interest rate and dividend) .

        My Question here is : How NSE Option Chain publish the IV ( Is there any mechanism available to Predict the IV and if possible kindly let me know the Calculation Procedure for the same )

        2nd Question is : Lets say nifty spot price is 9940 and for Call option strike 10000 the IV is 7.5 % as per the NSE option chain , in case if the nifty spot price is 9970 what would be the IV for the strike of 10000 for th e same expiry cycle .

        Thank you for all your efforts !

        • Thank you first of all , in BS model we need the following variables in order to get the price of the option premium ( Ie Spot Price , Strike Price, No Days to expiry , Implied Volatility , interest rate and dividend) .

          My Question here is : How NSE Option Chain publish the IV ( Is there any mechanism available to Predict the IV and if possible kindly let me know the Calculation Procedure for the same )

          2nd Question is : Lets say nifty spot price is 9940 and for Call option strike 10000 the IV is 7.5 % as per the NSE option chain , in case if the nifty spot price is 9970 what would be the IV for the strike of 10000 for th e same expiry cycle .

          Thank you for all your efforts !

  19. Hi,
    in “data” sheet IV values are not getting filled due to which greeks are not getting calculated in the main sheet. Please help.

  20. Hi,

    This is great work. Is it possible for you to enable the VBA code so that we can customize it. If not, would it be possible for you to make following changes,
    1. Allow the user to enter the symbol and display the greeks for specified symbol.
    2. Not all the strikes are available. Strikes only in multiple of 100 are displayed. Can we make it multiple of 50?
    It would be of really great help.

    Thanks,
    Rakesh

  21. This website gives lots of info. However, the excel sheet is a bit old and does not update even after refresh. Kindly check the same and upload corrected one. Thanks.

    • Hi Raj,

      Its working fine at my end. Please update “28-12-2017” in the expiry data column and let me know if you face the same issue.

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