Options desk

Buyer's risk calculator — how far must the market move in your holding window?

Futures →
Educational tool — not investment advice. Black-76 model on the futures price; charges to 2026 rules. Price & IV seeds are from live Dhan option chains, 3 Sep 2026 (engine validated against those books to ~0.2%) — they go stale, so enter the live futures price and either the option's market premium (best) or the ATM IV from your chain. Options can expire worthless; you can lose the entire premium.
Enter the traded premium and IV is implied from it (most accurate). Leave premium blank to price from IV.
days

Already holding this option? Reconcile your fills

Uses the CE/PE, strike and expiry selected above — enter your real fills for that exact contract. Realized/unrealized use standard weighted-average costing (matches how your broker computes it).
Move needed to break even
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P&L if you exit — price move × time held

Rows are moves in the underlying; σ = one standard deviation of your full holding window at this IV. Net of all charges.

Strike ladder — tap a side to load it

CE premCE P&L if +1σStrikePE P&L if −1σPE prem
● = live traded premium from the Dhan chain (refreshed every few minutes in market hours; per-strike IVs used, so skew is respected). Rows without ● are model premiums at your IV. Tap a side to load it — live rows auto-fill the market premium so the whole calculator anchors to the real market. P&L = per lot, net of charges, if the underlying moves one typical σ in that side's favour within your holding period.
How the numbers work (and what to trust)

Model. Everything is priced with Black-76 — the standard model for options on futures, which is what MCX options are and how index options are quoted in practice (the futures level absorbs dividends/carry). Time runs in minutes to the exact expiry cutoff (15:30 IST NSE, 23:30 IST MCX), calendar-day convention (365). Rate 5.3% (91-day T-bill; near-zero effect on short-dated options).

The headline number is the move the underlying must make by your exit time — not at expiry — for the option's resale value to cover your premium plus all charges. It is found by repricing the option at your exit date and solving for the underlying level. It is compared against the expected ±1σ move for the same window (F × IV × √(t/365)): under ~0.4σ is very achievable, ~1σ is a normal-range move, beyond ~1.3σ usually needs a catalyst.

Charges modelled (₹20/order broker): NSE options — STT 0.15% of sell premium, exchange 0.03553%, IPFT 0.0005%, SEBI ₹10/cr, stamp 0.003% on buy, 18% GST. MCX options — CTT 0.05% of sell premium, exchange 0.0418%, SEBI ₹10/cr, stamp 0.003% buy, GST. Assumes exit by selling (not exercise; exercise adds STT on intrinsic at 0.15% for NSE).

Honest caveats. IV is the biggest input by far — seeds go stale; use your chain's number. The model can't see IV *changes* during your hold (an IV crush after an event hurts exactly when you expected to win; vega shows the ₹ per IV point). Weekend decay is largely pre-priced into Friday premiums — don't double-count it. On expiry day inside the last few hours, any model projection is unreliable. Gold Mini options trade actively (live-verified); Silver Mini options are thinner — check volume/OI on your chain before trusting tight spreads there. MCX options expire days BEFORE their futures — always set the option's actual expiry date from your broker's chain, not the futures date.

Probability of profit is the lognormal probability the underlying finishes beyond your expiry breakeven — a rough, IV-dependent guide, not a promise.