test

NIFTY Option Premium Calculator (Auto Gap & Decay)

NIFTY Weekly Options – Typical Greeks (Quick Reference)

Rules of thumb (approximate). Calls have +Delta; Puts have βˆ’Delta (use the magnitude below).

Moneyness (vs Spot) Ξ” Delta (|value|) Θ Theta (pts/day) Vega (pts per +1% IV) Example Use
Deep ITM (β‰₯2 strikes ITM) 0.80 – 0.95 2 – 4 0.10 – 0.30 Moves almost like futures; lower IV impact
1 Strike ITM 0.60 – 0.75 2 – 4 0.20 – 0.40 Directional with moderate decay
ATM 0.45 – 0.55 3 – 6 0.40 – 0.70 Balanced; highest sensitivity to IV
1 Strike OTM 0.25 – 0.40 2 – 5 0.25 – 0.50 Cheaper, needs move to payoff
Deep OTM (β‰₯2 strikes OTM) 0.10 – 0.25 1 – 4 0.10 – 0.35 Lottery-style; fastest decay
Expiry-week effects
β€’ Theta accelerates sharply near expiry (Thu): ATM β‰ˆ 8–15 pts/day, OTM β‰ˆ 5–10 pts/day.
β€’ Vega impact is smaller for weekly options but spikes around events (RBI policy, Budget, US CPI/Fed).
β€’ Use underlying NIFTY move Γ— Delta for quick premium impact; then subtract Theta Γ— Days; add/subtract Vega Γ— (IV change%).
Input in Your Calculator How to Pick It Quick Defaults
Delta From broker Greeks (Sensibull/Opstra/Quantsapp/NSE Greeks) based on your chosen strike. ATM β‰ˆ 0.50, 1-ITM β‰ˆ 0.65, 1-OTM β‰ˆ 0.30
Theta Decay (pts/day) Read per-option Theta from your tool; higher near expiry and for ATM. Non-expiry day: 3–6 (ATM). Expiry day: use 8–15.
Days of Decay Your holding period. Intraday: 0–0.2 (fractional). Overnight: 1. Weekend: 3.
Vega Impact Vega Γ— expected IV change (%). Positive if IV rises; negative if IV falls. Weekly ATM Vega β‰ˆ 0.4–0.7. Example: +5% IV β†’ add ~+2–3.5 pts.
Tip: For fast estimates when you don’t have live Greeks: use Delta 0.5, Theta 4 (non-expiry) or 10 (expiry day), Days per your plan, and Vega 0 unless a major event is due.
Scroll to Top