Methodology

Payoff diagrams

Payoff at expiry needs no model. It is the sum of each leg's intrinsic value minus what was paid, and it is exactly piecewise-linear with kinks at the strikes. Our engine samples a dense grid and forces every strike into that grid, so a peak that sits exactly on a strike — as it does for every butterfly and ratio spread — is captured exactly rather than rounded off. Maximum profit, maximum loss and every breakeven printed on this site are read off that curve, not typed by hand.

Greek curves, decay curves, volatility curves

These do need a model. We use Black–Scholes–Merton for a European option, with a risk-free rate of 6.5% as an Indian proxy and no dividend yield. Crucially, we do not invent a volatility: each leg's implied volatility is calibrated by bisection from the premium quoted in that strategy's illustrative legs. So the dashed "today" line on a payoff chart, the Greek panels, the decay curve and the IV-sensitivity curve all describe the same position as the solid expiry line. They cannot drift apart.

Conventions

• Every figure is per unit of the underlying unless a lot size is stated. NIFTY lot = 75, BANKNIFTY lot = 30 at the time of writing; NSE revises these periodically.
• Theta is quoted per calendar day; vega per one percentage point of implied volatility; rho per one percentage point of interest rate.
• "Defined risk" means the maximum loss is capped by the position's own structure at expiry. It does not mean the position cannot lose that maximum, nor that it is safe.
• "Unlimited" loss or profit means no structural cap exists — the payoff line keeps sloping. It is a statement about the mathematics, not about likelihood.
• Illustrative legs use a NIFTY spot of 24,000 and round premiums chosen to be internally consistent, not to match any historical option chain.
• All figures exclude brokerage, STT, exchange transaction charges, stamp duty, SEBI turnover fees and GST. On narrow spreads these costs are a material fraction of the maximum profit.

Where this model is wrong

Black–Scholes assumes constant volatility, continuous hedging, no jumps and European exercise. Real Indian index options are European and cash-settled (so exercise style is fine), but the other three assumptions all fail: volatility has a smile and a term structure, the market gaps, and nobody hedges continuously. Consequences: our Greek curves are directionally right and quantitatively approximate; they understate the risk of short-gamma positions near expiry and ignore volatility skew entirely. Stock options in India are physically settled and American-style, which our model does not capture at all.

Worked examples

NIFTY and BANKNIFTY examples use realistic round numbers to show how a reading is interpreted. They are teaching scenarios, not live quotes, not backtests, and not trade calls. No example on this site claims a strategy made money, and no page reports a strategy's historical win rate — because a win rate without a distribution of losses is a misleading number.

Reproducibility

The site is generated by a dependency-free build script from plain data files. Given the same data, it emits byte-identical HTML and SVG. Nothing is fetched at runtime. See Sources.

Last updated 9 July 2026.