# 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

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.

# 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.

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.

1. Manikandan S

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

Thank you Manikandan!

• Arun

Hi Sir,
To be frank you are doing a great job . i never used to comment but the way you are sharing the knowledge is Awesome. Thanks buddy .

Regards,

Thanks for your kind words Arun!

2. Rohit

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

3. Manish

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. Manish

Can it be possible to get AFL for greeks in amibroker ?It will be of great help.

Hi Manish,

We’ll try to post it going forward. Stay tuned!

5. Dinesh

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 ….

6. ruchi

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,

dear sir your posts are amazing
i regularly visit your website , thx for helping newbies like me
greatfull to you for all your posts

8. Murali

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!

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

Hi Vohi,

In the excel sheet, go to Data tab in the top and click ‘Refresh All’.

10. BHARATH

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!

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!

12. Atul Jain

do we have a way to get the Bank Nifty data into excel?

14. Raju

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.

15. PARAG MEHTA

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.

16. RD Patel

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

Best wishes!

17. ABDUL WAJID

18. pankaj

what to enter dividend value for nifty call put greeks.

Hi Pankaj,

It should be 0 for Nifty.

19. RDP

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….

20. Namit

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

21. Namit Jain

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

Hi Namit,

We would share the similar sheet for Banknifty ASAP.

• Namit Jain

Thanks a lot. Waiting for the share!

22. Virendra

Hi Can this sheet be used for other stocks like YesBank etc?

23. Rajiv Varma

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

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 .

25. Neeraj

Hi,
I try to entry the today date and it does not work.

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

Calculation is based on Blackâ€“Scholes model

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 !

27. Sachin

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

• Sachin

Problem is resolved. Thanks.

28. Rakesh

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

29. Raj

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.

30. BHARAT KANODIA

Hi The options greek sheet is not working. The Data Sheet is not there, can u please email me or upload.

Hi Bharat,

Please update expiry date on the sheet. For ex: change it to 25-01-2018 for Jan expiry.

31. Bhanudas Pingale

Just Like Nifty “Greek Calculator” Is it available for Bank nifty & stock Option “Greek Calculator”

32. Raj

Nice job for posting good articles. Is there a workbook for BankNifty weekly options as well. If yes the please share the link.
Thanks in advance and continue to post good articles on this website. Raj

Admin, Thanks for the excel sheets. can you please provide with stock option greek calculator similar to nifty option green calculator. Thanks a ton

34. Chetan Prakash

Congrats on doing such a fine job at TradingTuitions.
And Thanks.
Request share a Greek sheet for Bank Nifty.

35. PRAMOD KUMAR

In Nifty strike prices are available in multiples of 50, whereas in your excel sheet it is in multiples of 100. Why this difference.

Hello sir

how can we find risk free interest rate and dividend yield for nifty

Hi Raju,

Dividend yield for Nifty is 0, and risk free interest rate can be found at below link:
https://www.rbi.org.in/

37. Vinay

From where we will get the dividend yield?

Hi Vinay,

Dividend yield is 0 for Nifty

38. vimal kumar

not update sir
after enabling error value coming please guide

Hi Vimal,

Have you changed the expiry date?

39. Tushar

Great work with the excel sheet. It is very useful in understanding options and taking trade positions. I have modified the sheet to include calculate the greeks for NSE stock options. I have combined OI and Greeks analysis for stock options on NSE. The expiry date is auto calculated as the last thursday of current month. The stock option to be analysed must be selected on first sheet from drop down list. Some stock futures have been delisted from NSE recently. I haven’t updated those changes. You can find the sheet at: https://drive.google.com/open?id=1GY2j8fCPf1EnG1N_bxwezeHurf6ZWV0J