๐ Select Stock
Reliance Industries
Current Price
โน1,285.00
Historical Vol (1Y)
26.00%
โ๏ธ Parameters
Stock Price (Sโ)
Strike Price (K)
Volatility (ฯ) โ Annual
โ
What it is
Std deviation of daily returns ร โ245 (NSE days)
Where to get
Auto-filled โ ยท NSE F&O ยท Sensibull ยท Moneycontrol
Effect on price
โ Higher ฯ โ both Call & Put get more expensive
Impact
Biggest driver of option price โ Vega measures this
Risk-Free Rate (r)
โ
What it is
Return from a "guaranteed" investment (RBI deposit)
Effect on CALL
โ Higher r โ higher call price
Effect on PUT
โ Higher r โ lower put price
Impact
Small vs. volatility โ Rho measures this exactly
Expiry (Days)
Year Basis Convention
250 days
Simulation Paths
๐ Option Type
CALL โ right to buy at strike. Profitable if stock
rises above K.
PUT โ right to sell at strike. Profitable if stock falls below K.
PUT โ right to sell at strike. Profitable if stock falls below K.
Uses 245 NSE trading days/year ยท
RBI Repo Rate default ยท European options only
๐ฐ Option Price
European Style
Monte Carlo โ CALL
โ
Run simulation to see results
Black-Scholes โ CALL
โ
Analytical (closed-form)
Waiting for simulationโฆ
โ
๐ GBM Price Paths
60 sample paths shown
๐ข Option Greeks
Hover for plain-English explanation
ฮ
Delta
โ
Run a simulation to see Greeks.
ฮ
Gamma
โ
Rate of change of Delta.
V
Vega
โ
Sensitivity to volatility.
ฮ
Theta
โ
Daily time decay of option value.
ฯ
Rho
โ
Sensitivity to RBI repo rate.
๐ MC Convergence
๐ Payoff at Expiry
๐ฌ Sensitivity Analysis