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    4 views6 pages

    Nifty Option Greeks

    Uploaded by

    Prajan J

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 6

    NIFTY OP

    UPDATE HERE
    Expiry Date 9/29/2016
    Risk free Intrest Rate (%) 6.5
    Dividend Yield (%) 0

    CALLS
    RHO Vega Gamma Theta Delta
    Err:502 Err:502 Err:502 Err:502 Err:502
    #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
    Err:502 Err:502 Err:502 Err:502 Err:502
    Err:502 Err:502 Err:502 Err:502 Err:502
    Err:502 Err:502 Err:502 Err:502 Err:502
    Err:502 Err:502 Err:502 Err:502 Err:502
    Err:502 Err:502 Err:502 Err:502 Err:502
    Err:502 Err:502 Err:502 Err:502 Err:502
    Err:502 Err:502 Err:502 Err:502 Err:502
    Err:502 Err:502 Err:502 Err:502 Err:502
    Err:502 Err:502 Err:502 Err:502 Err:502
    Err:502 Err:502 Err:502 Err:502 Err:502
    Err:502 Err:502 Err:502 Err:502 Err:502
    Err:502 Err:502 Err:502 Err:502 Err:502
    #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
    NIFTY OPTIONS GREEK CALCULATOR
    NIFTY SPOT 8869.85 Last Update @ 11:34:22 Sep 23, 2016

    Call Price NSE Call LTP CALL IV Strike PUT IV NSE Put LTP
    Err:502 881.70 31.47 8000 34.77 1.2
    #VALUE! 780.40 - 8100 31.11 1.25
    #VALUE! 672.00 - 8200 27.6 1.25
    #VALUE! 574.25 - 8300 24.17 1.35
    #VALUE! 477.85 - 8400 21.05 1.6
    Err:502 384.00 16.03 8500 18.48 2.45
    Err:502 283.00 11.3 8600 16.12 4.65
    Err:502 187.50 11.9 8700 13.88 9.25
    Err:502 103.05 11.29 8800 12.14 22.85
    Err:502 40.95 10.76 8900 11.03 58.65
    Err:502 11.25 10.72 9000 10.25 126.75
    Err:502 2.70 11.45 9100 - 215.95
    Err:502 1.15 13.48 9200 - 311
    Err:502 0.90 16.24 9300 - 410.5
    Err:502 0.75 19 9400 - 514.3
    Err:502 0.70 21.67 9500 - 609.55
    Err:502 0.75 25.02 9600 - -
    #VALUE! - - 9700 - -
    #VALUE! - - 9800 - -
    Todays Date
    01/06/18

    PUTS
    Put Price Delta Theta Gamma Vega RHO
    Err:502 Err:502 Err:502 Err:502 Err:502 Err:502
    Err:502 Err:502 Err:502 Err:502 Err:502 Err:502
    Err:502 Err:502 Err:502 Err:502 Err:502 Err:502
    Err:502 Err:502 Err:502 Err:502 Err:502 Err:502
    Err:502 Err:502 Err:502 Err:502 Err:502 Err:502
    Err:502 Err:502 Err:502 Err:502 Err:502 Err:502
    Err:502 Err:502 Err:502 Err:502 Err:502 Err:502
    Err:502 Err:502 Err:502 Err:502 Err:502 Err:502
    Err:502 Err:502 Err:502 Err:502 Err:502 Err:502
    Err:502 Err:502 Err:502 Err:502 Err:502 Err:502
    Err:502 Err:502 Err:502 Err:502 Err:502 Err:502
    #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
    R : risk free rate of interest o : Call volatility
    CE8000 PE8000 0.065 0.3147
    CE8100 PE8100 0.065 #VALUE!
    CE8200 PE8200 0.065 #VALUE!
    CE8300 PE8300 0.065 #VALUE!
    CE8400 PE8400 0.065 #VALUE!
    CE8500 PE8500 0.065 0.1603
    CE8600 PE8600 0.065 0.113
    CE8700 PE8700 0.065 0.119
    CE8800 PE8800 0.065 0.1129
    CE8900 PE8900 0.065 0.1076
    CE9000 PE9000 0.065 0.1072
    CE9100 PE9100 0.065 0.1145
    CE9200 PE9200 0.065 0.1348
    CE9300 PE9300 0.065 0.1624
    CE9400 PE9400 0.065 0.19
    CE9500 PE9500 0.065 0.2167
    CE9600 PE9600 0.065 0.2502
    CE9700 PE9700 0.065 #VALUE!
    CE9800 PE9800 0.065 #VALUE!
    T-t : time to expiration dividend yield d1 : d2 : o : Put volatilityD1
    -1.2493150685 0 Err:502 Err:502 0.3477 Err:502
    -1.2493150685 0 #VALUE! #VALUE! 0.3111 Err:502
    -1.2493150685 0 #VALUE! #VALUE! 0.276 Err:502
    -1.2493150685 0 #VALUE! #VALUE! 0.2417 Err:502
    -1.2493150685 0 #VALUE! #VALUE! 0.2105 Err:502
    -1.2493150685 0 Err:502 Err:502 0.1848 Err:502
    -1.2493150685 0 Err:502 Err:502 0.1612 Err:502
    -1.2493150685 0 Err:502 Err:502 0.1388 Err:502
    -1.2493150685 0 Err:502 Err:502 0.1214 Err:502
    -1.2493150685 0 Err:502 Err:502 0.1103 Err:502
    -1.2493150685 0 Err:502 Err:502 0.1025 Err:502
    -1.2493150685 0 Err:502 Err:502 #VALUE! #VALUE!
    -1.2493150685 0 Err:502 Err:502 #VALUE! #VALUE!
    -1.2493150685 0 Err:502 Err:502 #VALUE! #VALUE!
    -1.2493150685 0 Err:502 Err:502 #VALUE! #VALUE!
    -1.2493150685 0 Err:502 Err:502 #VALUE! #VALUE!
    -1.2493150685 0 Err:502 Err:502 #VALUE! #VALUE!
    -1.2493150685 0 #VALUE! #VALUE! #VALUE! #VALUE!
    -1.2493150685 0 #VALUE! #VALUE! #VALUE! #VALUE!
    D2
    Err:502
    Err:502
    Err:502
    Err:502
    Err:502
    Err:502
    Err:502
    Err:502
    Err:502
    Err:502
    Err:502
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!

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