Zerodha provides a Black Scholes calculator at Black Scholes Calculator. Where do I get the right inputs for VOLATILITY (%) and INTEREST (%)?
I read that Delta can be used to figure out the likelihood of an option being ITM, so do I need to multiply the delta value by 100 to get the percentage?
If you are dealing with the Nifty, then please take Vix value as a proxy for Volatility.Interest % from RBI 91 day bill - serves as a the risk free rate.
Yes, you can multiply the delta with 100 to get a % - gives you a sense of the probability of the option expiring ITM. For example if an option has a delta of 0.38, then it means it only has a 38% chance of expiring ITM.
Vix value is 11.98 as of now, do I need to convert it into percentage before feeding it to the calculator? Where do I get the VOLATILITY (%) for individual stocks for example Reliance?
You get these values from the NSE Option Chain itself. Use IV figures in Volatility and note that Interest rate considered is 10% by NSE (ref. below image).
You cant use theoritic figures like @Karthik mentioned and still get the same premiums to buy/sell available in the chain.
