# Options (NSE) Resources ## Knowledge - [Zerodha Varsity, Module 5: Options Theory for Professional Trading](https://zerodha.com/varsity/module/option-theory/) Free, India-specific, starts from zero, 25 chapters. The primary text for this workspace. Use for: every basic concept, Greeks, physical settlement, M2M. Key chapters: - [Call Option Basics](https://zerodha.com/varsity/chapter/call-option-basics/) - [Basic Option Jargons](https://zerodha.com/varsity/chapter/basic-option-jargons/) - [Buying a Call](https://zerodha.com/varsity/chapter/buying-a-call-option/) · [Selling/Writing a Call](https://zerodha.com/varsity/chapter/sellingwriting-a-call-option/) - [Buying a Put](https://zerodha.com/varsity/chapter/the-put-option-buying/) · [Selling a Put](https://zerodha.com/varsity/chapter/the-put-option-selling/) - [Summarizing Call & Put Options](https://zerodha.com/varsity/chapter/summarizing-call-put-options/) (the four positions table) - [Theta](https://zerodha.com/varsity/chapter/theta/) · [Delta part 1](https://zerodha.com/varsity/chapter/the-option-greeks-delta-part-1/) - [Physical Settlement](https://zerodha.com/varsity/chapter/quick-note-on-physical-settlement-2/) · [Options M2M and P&L](https://zerodha.com/varsity/chapter/options-m2m-and-pl/) - [Zerodha Varsity, Module 6: Option Strategies](https://zerodha.com/varsity/modules/) Bull call, bull put, ratio spreads, straddles, etc. Use for: when the four bricks are solid and spreads begin. - [SEBI press release, Sep 2024: 93% of individual F&O traders lost money FY22 to FY24, aggregate loss over ₹1.8 lakh crore](https://www.sebi.gov.in/media-and-notifications/press-releases/sep-2024/updated-sebi-study-reveals-93-of-individual-traders-incurred-losses-in-equity-fando-between-fy22-and-fy24-aggregate-losses-exceed-1-8-lakh-crores-over-three-years_86906.html) The base rate. Use for: sizing discipline, why defined risk first. - [Business Standard on the July 2025 SEBI follow-up: 91% lost in FY25, net loss ₹1.06 lakh crore](https://www.business-standard.com/amp/markets/news/net-losses-of-traders-in-fo-widens-in-fy25-sebi-study-125070701221_1.html) Same lesson, newer numbers. - [NSE circular on index derivative lot sizes (NIFTY lot 65 from Jan 2026)](https://nsearchives.nseindia.com/content/circulars/FAOP70616.pdf) Use for: position sizing arithmetic. Verify current lot before any trade; these change. - [Dhan F&O expiry calendar](https://dhan.co/fno-expiry-calendar/) NIFTY weekly expiry moved to Tuesday from Sep 2025. Use for: picking expiries on the learner's own broker. - [Gregory Gundersen, "An Intuitive Explanation of Black-Scholes" (2024)](https://gregorygundersen.com/blog/2024/09/28/black-scholes/) Builds the price as expected payoff under a lognormal, then derives the formula. Use for: the picture behind the formula, N(d1) vs N(d2). - [Black & Scholes (1973), "The Pricing of Options and Corporate Liabilities", JPE 81(3)](https://www.cs.princeton.edu/courses/archive/fall08/cos323/papers/black_scholes73.pdf) The original. Use for: the no-arbitrage hedging argument, first two pages only at this stage. - [Nelson Areal, "Understanding N(d1) and N(d2)"](https://derivatives.nelsonareal.net/chapter-4/ch-4.5-understanding_nd1_nd2.html) Clean statement that N(d2) is the exercise probability and S·N(d1) is the conditional expected stock value. Use for: when the formula pieces need names. - [Zerodha Black & Scholes calculator](https://zerodha.com/black-scholes/) with the [Varsity chapter on using it](https://zerodha.com/varsity/chapter/greek-calculator/) Use for: checking a live Dhan quote against the model, reading Greeks. - Book: *Option Volatility & Pricing*, Sheldon Natenberg (McGraw-Hill) The industry standard for volatility intuition. Use for: after Varsity, when vega and IV come up. Not for month one. - Book: *Options as a Strategic Investment*, Lawrence McMillan Encyclopedic strategies reference, US-centric. Use for: looking up a specific strategy's behaviour. - Learner's own [Options Payoff Atlas artifact](https://claude.ai/artifact/KYzU8BDo8YUJBeZXLr9N3M) 33 strategies with interactive payoffs, 12 memory rules, drill. Use for: payoff visualisation once intuition exists. - US market rules (for comparison only; see reference/us-vs-india.html): - [OIC: Options exercise FAQ](https://www.optionseducation.org/referencelibrary/faq/options-exercise): exercise by exception, $0.01 threshold, American vs European. - [FINRA: exercise cut-off 5:30 pm ET](https://www.finra.org/rules-guidance/notices/information-notice-020321) - [Cboe SPX fact sheet](https://cdn.cboe.com/resources/spx/spx-fact-sheet.pdf): cash settled, European, AM/PM settlement, daily expiries. - [FINRA Regulatory Notice 26-10](https://www.finra.org/rules-guidance/notices/26-10): pattern day trader rule replaced, effective 4 Jun 2026. - [Cboe margin manual](https://cdn.cboe.com/resources/options/margin_manual_april2000.pdf): Reg T naked option formulas. ## Wisdom (Communities) - [r/options](https://reddit.com/r/options) Large, moderated, has a beginner wiki. US-centric but mechanics transfer. Use for: sanity-checking a spread idea, reading post-mortems. - Zerodha Varsity chapter comment threads Karthik Rangappa answers reader questions under each chapter, India-specific. Use for: "how does this work on NSE" questions. - Not yet chosen: an India-specific community with strong moderation. r/IndianStreetBets is high-noise; evaluate r/IndiaInvestments (options threads are rare but sober). ## Gaps - A trusted, current source for Dhan's SPAN and exposure margin numbers per strategy. Use Dhan's margin calculator in-app until found. - A well-moderated Indian options community.