Spot price (S)
Current market price of the underlying stock or index.
NubraNubra Option Pricing Calculator
Black-Scholes estimates for European call and put options.
Listed contract
NIFTY - 0 valid strikes for this expiry
Nubra
Option Pricing Calculator - Black-Scholes fair value and Greeks
Work out an option's theoretical fair value and Greeks from spot price, strike price, time to expiry, volatility and interest rate.
What is it
What is an option pricing calculator?
An option pricing calculator estimates the theoretical fair value of a call or put with the Black-Scholes model. It turns the key market inputs into a reference value for both the call and put, plus the Greeks that describe how that value moves.
An option's traded premium and theoretical value are not always the same. Comparing them can help you understand whether a premium deserves closer attention before you trade, hedge or size a position.
Formula
The Black-Scholes model, input by input
Black-Scholes is a standard framework for pricing European-style options. It combines five inputs into a theoretical fair value for each call and put.
Strike price (K)
The price at which the option can be exercised.
Time to expiry (T)
Calendar days remaining until expiry, expressed in years for the formula.
Volatility (σ)
Expected annualised movement in the underlying, ideally the contract's implied volatility.
Interest rate (r)
The risk-free rate used to account for the time value of money.
Call = S * N(d1) - K * e^(-rT) * N(d2)Here, d1 and d2 combine spot, strike, volatility, time and rate. The put value follows put-call parity. The calculator performs this math through Nubra's public option-pricing API.
Example
Example: ATM option, 30 days to expiry
Suppose a stock trades at Rs.1,000 and you are considering the Rs.1,000 strike with 30 days to expiry, 20% volatility and a 7% risk-free rate.
InputValue
Spot priceRs.1,000
Strike priceRs.1,000
Days to expiry30 (T = 0.0822)
Volatility20%
Interest rate7%
Call fair valueapproximately Rs.25.79
Put fair valueapproximately Rs.20.05
Because the strike is at the money, the example premium is time value. If spot rises from here, the call gains value while the put loses value, one-for-one with Delta.
How to use it
4 steps to use this calculator
- Enter spot and strike priceSpot is the underlying's current market price. Strike is the price at which the option contract can be exercised.
- Set days to expiryChoose the contract expiry. The calculator converts the remaining calendar time into years for the formula.
- Add volatility and interest rateUse the contract's implied volatility for a closer theoretical estimate and the prevailing risk-free rate.
- Read the fair value and GreeksReview the call and put value together with the Greeks before forming your own view of the trade.
Why it helps
What this calculator gives you
- Spot mispriced options before you tradeCompare the model's fair value with the market premium to see whether an option looks relatively cheap or expensive for its inputs.
- Understand risk with the Greeks, not just the priceDelta, Gamma, Theta, Vega and Rho show how a premium reacts to the underlying moving, time passing, volatility shifting and rates changing.
- Test scenarios without risking capitalRe-run the calculation with a different spot, volatility or expiry to see how the value could change before you enter, adjust or hedge a position.
FAQ
Frequently asked questions
What is an option pricing calculator?
An option pricing calculator estimates the theoretical fair value of a call or put from spot price, strike price, time to expiry, volatility and interest rate. It also shows the Greeks, which describe how the estimate can change when those inputs move.
Why can the market premium differ from the calculated value?
Black-Scholes uses simplifying assumptions such as constant volatility and frictionless markets. A traded premium can also reflect changing implied volatility, liquidity, bid-ask spread, demand near a strike, dividends and event risk. Treat the result as a reference point, not an executable quote.
What do Delta, Gamma, Theta, Vega and Rho mean?
Delta estimates how the premium changes when the underlying moves. Gamma measures how Delta changes. Theta describes time decay, Vega the effect of volatility, and Rho the effect of a change in interest rates.
Can this calculator price American-style options?
It uses European-exercise assumptions, where an option is exercised only at expiry. This is appropriate for NSE index options. For instruments that can be exercised early, Black-Scholes is an approximation rather than a complete early-exercise model.
What is implied volatility and why does it matter here?
Implied volatility is the volatility value that reproduces an entered market premium in the model. It reflects the movement the market is pricing for that strike and expiry; it is not a prediction of direction.
What does it mean for an option to be in, at, or out of the money?
A call is in the money when spot is above strike, while a put is in the money when spot is below strike. At the money means spot and strike are close. Intrinsic value exists only for in-the-money options; the rest of the premium is time value.
Does this calculator include brokerage, taxes or margin?
No. It calculates a theoretical option premium from the model inputs only. Brokerage, Securities Transaction Tax, exchange charges and margin requirements are separate considerations for a real trade.
The Black-Scholes fair value described here is computed from spot price, strike price, time to expiry, volatility and interest rate. It assumes European exercise and does not include brokerage, taxes or margin. It is not investment advice; always cross-check against the live market premium before acting.