1) Understanding the Black-Sholes Model 2) Understanding Option Greeks (Delta, Gamma, Theta & Vega) 3) How to Apply Option Greeks Practically 4) How to use Options Greek Calculator Option Hydra 2.0 is a 95+ hours of online mentorship program for option traders who want to learn market profile for short term and very short term trading. For more details about the course visit: http://optionhydra.com

1. Introduction to
Option Greeks
OPTION HYDRA 2.0 – PREVIEW WEBINAR

2. Trained more than 1000+ Professional traders on
Market Profile, Orderflow & Amibroker Trading System
Development and Automation
TRAINER
Derivative Trader. Mostly Index Futures & Option
Trades ranging from Scalping/ Intraday / Short term
Trades. Hedged Stock Futures trades (Positional
Trading)
NATURE OF TRADING
Trade mostly index/stock futures/option instruments.
Trading/Investing since 2006. Wrote 3200+ articles
since 2007 about various technical analysis topics
TRADING
Use Ninjatrader 8 (Bell TPO) for Orderflow & Market
Profile studies and Amibroker for Trading Systems
SOFTWARES
Market Profile, Order flow analytics, Trading
System/Indicator Development, Automated Trading
EXPERTISE
Twitter : @marketcalls_
Telegram : @marketcalls_in
COMMUNICATION
Rajandran – Your MentorFounder – Marketcalls & Co-Creator - Algomojo

3. Agenda?
1. How Option Pricing Works?
2. Understanding the Premium?
3. Understanding the Black-Sholes Model
4. Option Greeks
5. How to Apply Option Greeks Practically
How to use Options Greek Calculator
How to Prepare for Next Week for Nifty
and Bank Nifty (Short term Market
Outlook)

4. Option Chain

5. What is a Option Pricing Model?
Option Pricing Models are mathematical models used for valuing the options premium.
Option Pricing Models
Binomial Model
Two Period
Multi Period
(American Options)
Black and Scholes
Model
(European Options)
Black 70 Model

6. Option
Pricing
Intrinsic
Value
Spot Price
Strike Price
Extrinsic
Value
Time to
Expiry
Volatility
Rate of
Interest

7. Intrinsic Value
Built-in value of an option
Only increases or decrease when the
underlying stock increase or increase
Intrinsic value is not affected by time to
expiration
On the day of expiry option pricing will have
only intrinsic value

8. How to Calculate the Intrinsic Value of the
Stock?
Call Option Intrinsic Value
Intrinsic Value = Actual Stock Price – Option
Strike Price
Put Option Intrinsic Value
Intrinsic Value = Option Strike Price - Actual
Stock Price

9. Option Greeks
Delta – Speed/Direction
Gamma – Acceleration
Theta – Time Decay
Vega – Volatility
Rho – Interest Rate

10. Option Greeks
Delta (Direction) - It is the rate of change of the option price in
comparison with the underlying stock price.
Gamma (Acceleration) – It is the rate of change of Delta. It reflects
the change in delta for every 1 point movement in the stock price.
Theta (Time) - it refers to the rate at which the option loses its
value. It measures the time decay in options with the passage of
time
Vega (Volatility) - It is the change in the options price in relation to
the change in volatility of the stock price
Rho (Interest Rate) – It measures change in options price relative to
the change in the risk free interest rate of the country.

11. Greeks of Call Option

13. Option
Greeks –
Monthly
Options

14. Option
Greeks –
Weekly
Options

15. Option Greeks :
Delta
Delta is the amount of an option price is
expected to move based on Rs 1 move in the
underlying stock/index
It measures the speed of the option price
Calls have positive delta between 0 and 1
Puts have negative delta between 0 and -1

16. Option Greeks :
Gamma
Gamma is the rate of change of delta based on Rs 1
change in underlying stock price/index
Gamma is the speed of change at which option
price can accelerate
High Gamma : Higher Acceleration in Option Price
Lower Gamma : Lower Acceleration in Option Price
Gamma increases during expiration.

17. Option Greeks :
Theta
Decay of the options price with the passage of
one day , all else equal
Theta decreases for OTM at expiration
Theta increases for ATM at expiration

18. Option Greeks

19. Questions?

20. Thanks!