Options Analyzer — BSM Premium Erosion Calculator

Live Data

Connecting…

Expiry

✓ Live chain loaded Auto · next in 15s Backend offline — using BSM estimates

Price Inputs

Spot Price Current market price (S)

₹

Futures Price Near-month (F) — Black-76

₹

basis 0

Strike Price Select from live BSM chain (K)

Strike CE ₹ Δ Call θ/unit/d PE ₹ Δ Put PoP

Volatility & Time

Implied Vol σ

Days to Expiry T

Risk-free rate (6.5% RBI repo) & dividend yield (0%) are fixed internally — negligible impact on short-dated Indian options.

IV Model

IV Range (52w)

Theta Basis

Trade Setup

Strategy

Analysis

Contracts

lots

Lot Size

qty

Premium Paid Auto-filled

₹

/unit

Auto-fills when you select a strike, change IV or DTE, or switch CE/PE. Edit manually to lock your actual fill price.

Quick Presets

Put-Call Parity: Valid

CE Premium

₹—

Intr: — Extr: —

PE Premium

₹—

Intr: — Extr: —

CE Breakeven

₹—

— · Strike + Paid

PE Breakeven

₹—

— · Strike − Paid

Notional Value

₹—

—

S25,000

F25,000fut

K25,000

T21d

σ14.00%

r6.50% fixed

q0.00% fixed

d₁—

d₂—

N(d₁)—

N(d₂)—

n(d₁)—

Theta

—

₹/unit/day

Delta

—

per ₹1 spot

Gamma

—

Δ change/₹1

Vega

—

₹/unit/1% σ

Rho

—

₹/unit/1% rate

Impl. Vol

—

annualised

PoP

—

prob of profit

ITM %

—

prob in-the-money

Exp Value

—

bsm − paid

θ %/day

—

daily erosion rate

Days→50%TV

—

time val halved

Max Loss

—

premium at risk

R:R

—

reward:risk

IV Rank

—

52-week range

IV Regime

—

52w rank zone

Market Condition

—

💡 Trader Insight

—

Premium Erosion — Days to Expiry θ/unit: —

θ Per Unit/Day

—

raw Greek value

Per Lot/Day

—

θ × lot size

Total Position/Day

—

× lots

Weekly (5d)

—

total position × 5

θ Annual Yield

—

θ÷prem×365

Theta Acceleration vs DTE |θ| grows near expiry

Single Leg

Direct play.

Net Delta

—

whole pos

Net θ/day

—

cal-day

Net Vega

—

whole pos/1%σ

Γ per unit

—

Δ chg/₹1/unit

Δ-Hedge

—

futures units

Strategy Payoff at ExpiryNet: —

Option Chain BSM Mode

Strikes:

ATM: ₹—

Load live data using Load Live in the panel above,
or click Price Options for theoretical values.

Scenario Analysis

P&L impact on total position. Base = BSM price at current inputs.

Base: —

No data

Run calculator

Strategy Comparison — Same View, Different Structures

All metrics computed at current spot, IV, and DTE. Net credit shown as positive. Select your market bias to highlight the best structure.

My Bias:

Run the BSM Calculator first to see comparison

📍 Trade Entry Details

Direction

Option Type

Entry Strike

₹

Entry Premium

₹/u

Entry Spot (underlying at entry)

₹

Entry DTE

days

Lots

lots

Entry IV (σ at entry)

Auto-fill from Calculator

Fill in trade details and click Calculate Position P&L

⚡ Max Pain & OI Builder

Centre Strike

₹

Step

₹

Strikes ±

each

Enter Open Interest for each strike below. CE OI = call writers, PE OI = put writers. Values in thousands optional — just keep units consistent.

Strike	CE OI (call writers)	PE OI (put writers)	CE OI %	PE OI %	Net OI (PE−CE)	Max Pain Score