Option premium calculator
Theoretical premium, delta and per-day theta for any NSE strike — split into the part that decays and the part that doesn’t, with theta in rupees per lot rather than as a per-unit Greek.
₹200.85
theoretical premium per unit · ATM · 65 units per lot → ₹13,055 per lot
| Intrinsic value | ₹0.00 | what it is worth exercised now — does not decay |
| Extrinsic value | ₹200.85 | the part you are paying for, and the part theta eats |
| Delta | 0.529 | premium change per 1 point of underlying |
| Theta (per day) | ₹-15.45 | ₹-1,004 per lot per day if nothing moves |
| Breakeven at expiry | 24,201 | before brokerage and taxes |
Assumptions, stated rather than hidden
Black-Scholes with a 6.5% risk-free rate and no dividend. European exercise, constant volatility, frictionless trading — none of which is quite true, which is why this is a theoretical price and not a quote. A real traded premium differs because the market’s IV differs from the figure you typed, and because there is a bid-ask spread. This runs the same implementation the platform prices live chains with, so the number here matches what the product shows.
frontend/src/lib/options.ts (bsPrice, bsDelta, bsTheta)Why the split matters more than the price
A premium is two different things added together. Intrinsic value is the amount the option is already in the money by — it tracks the underlying and does not decay. Extrinsic value is everything else: the part you are paying for the possibility of a move, and the only part theta eats.
That is why an at-the-money option decays hardest — almost all of its premium is extrinsic — and why a deep in-the-money option behaves much more like holding the underlying. A calculator that returns one number hides the distinction that decides how the position behaves.
Common questions
- How is an option premium calculated?
- A theoretical premium comes from the Black-Scholes model, which takes spot price, strike, time to expiry, implied volatility and the risk-free rate. The output splits into intrinsic value (what the option is worth if exercised now) and extrinsic value (everything else). Only the extrinsic part decays as expiry approaches.
- Why is the real traded premium different from the calculated one?
- Two reasons, mostly. The market is pricing a different implied volatility than the figure you typed in — IV is backed out of the traded price, not an input the market agrees on with you. And there is a bid-ask spread, so you pay above the mid when buying and receive below it when selling. Black-Scholes also assumes constant volatility and frictionless trading, neither of which is true.
- What does theta mean in rupees?
- Theta is the premium lost per day from the passage of time alone, with nothing else changing. Per unit it is a small number that is hard to act on; multiplied by the lot size it becomes the rupee amount the position bleeds daily. That is the figure worth knowing before taking a position you intend to hold for several days.
- Does intrinsic value decay?
- No. Intrinsic value is the amount by which an option is in the money, and it tracks the underlying rather than the clock. Extrinsic value is the part that decays to zero at expiry, which is why an at-the-money option — almost all extrinsic — decays hardest, and why a deep in-the-money option behaves much more like the underlying itself.
A theoretical price is arithmetic over the inputs you supply, not a quote and not a recommendation to take any position. Educational and analytical content only. OptionLab Pro is not a SEBI-registered investment adviser or research analyst and does not give buy or sell recommendations. Derivatives trading carries a high risk of loss.