We calculate Greeks using the Black-Scholes 76 model, which is suitable for European-style options. Key inputs include:

• Future’s price: This is the expected price of the underlying stock or index at expiry. If no actual futures exist-, we create a synthetic futures price using call-put parity (a formula that relates the prices of calls, puts, and strike prices to estimate the fair value of a future).
  
• Strike price: The fixed price at which the option can be exercised.
  
• Implied Volatility (IV): A measure of the market’s expectation of how much the price of the underlying may move. It’s calculated using methods like Newton-Raphson (an iterative method for solving equations).
  
• Time to expiry: This is calculated precisely by converting the remaining time from minutes into a fraction of a year. (For example, if an option expires in 1 day, that’s around 0.0027 years.)
  
• Risk-free rate: This is set to 0 as the use of the futures price already accounts for the interest rate.