Sources & references

Pricing and Greeks

• Fischer Black & Myron Scholes, The Pricing of Options and Corporate Liabilities (1973); Robert Merton (1973) — the model behind every Greek curve on this site.
• John C. Hull, Options, Futures, and Other Derivatives — the standard reference for the mechanics and the maths.
• Sheldon Natenberg, Option Volatility and Pricing — volatility behaviour, skew and how practitioners actually think about vega.

Strategy structures

• Lawrence G. McMillan, Options as a Strategic Investment — the canonical catalogue of multi-leg structures.
• Guy Cohen, The Bible of Options Strategies — construction and payoff taxonomy.
• CME Group Education — futures and options mechanics.

Indian market structure

• NSE India — contract specifications, lot sizes, expiry calendar, settlement mechanism for NIFTY and BANKNIFTY.
• SEBI — regulations, margin framework, and its published studies on individual trader outcomes in the equity derivatives segment.
• Zerodha Varsity — India-focused derivatives education and margin conventions.

Approach

We prefer primary sources for formulas and for market facts such as lot sizes and settlement. Interpretation reflects widely accepted practice; where practitioners genuinely disagree — for instance on whether to adjust or close a tested short strike — we present the disagreement rather than resolve it. Where a claim is a rule of thumb, we say so. See Methodology for the model and its limits.

Last updated 9 July 2026.