Black-Scholes powered pricing with full Greeks. Switch between Live Mode (before expiry) and Expiry Mode. Interactive payoff, time-decay, IV sensitivity, Greek curves and scenario analysis — all recomputing in real time.
| Leg | Strike | Premium | Qty | BS Price | Intrinsic | Time Value | Live P&L | Δ | Γ | Θ | ν |
|---|---|---|---|---|---|---|---|---|---|---|---|
| +Call | 24,000 | ₹720 | 1 | ₹477.72 | ₹0 | ₹477.72 | -₹6,057.08 | 13.95 | 0.0096 | -227.24 | 678.99 |
Live Mode uses the Black-Scholes model: C = S·e-qT·N(d₁) − K·e-rT·N(d₂)P = K·e-rT·N(-d₂) − S·e-qT·N(-d₁)
with d₁ = (ln(S/K) + (r − q + σ²/2)·T) / (σ√T), d₂ = d₁ − σ√T. Greeks are analytical partial derivatives.
Expiry Mode uses pure intrinsic value: Call = max(S − K, 0), Put = max(K − S, 0).
POP is estimated via risk-neutral Monte Carlo simulation (4,000 paths) using Geometric Brownian Motion:ST = S · exp((r − q − σ²/2)·T + σ√T · Z), Z ~ N(0,1)
The strategy's expiry P&L is evaluated at each simulated ST; POP = fraction of paths with profit. Under real-world dynamics POP may differ.