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
- Delta – Measures the exposure of option price to movement of underlying stock price
- Gamma – Measures the exposure of the option delta to the movement of the underlying stock price
- Theta – Measures the exposure of the option price to the passage of time
- Vega – Measures the exposure of the option price to changes in volatility of the underlying
- Rho– Measures the exposure of the option price to changes in interest rate
Nifty Option Greeks Calculator: Excel Sheet overview
|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
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.