India VIX is a guide for Nifty options.
Around the 91-day T-bill yield.
- Theoretical price
- 201.58
- Delta
- 0.528
- Gamma
- 0.00085
- Theta (a day)
- −15.43
- Vega (per 1% vol)
- 12.46
- Rho (per 1% rate)
- 2.25
Black-Scholes for European options, which is how NSE index and stock options are settled. Market prices differ when volatility differs from your input.
For working things out, not investment advice.