Zerodha pi shows option greek
Basically one IV for a strike, instead of a separate call and put. So to find the IV at a strike, the better thing to do is to derive OTM IV of a strike, and apply the same to both call and put. Deep ITM options prices are corrupted by illiquidity and STT. The problem with here is deep ITM options. This fault can be very clearly inferred by the fact that IV of the ATM put and call are two significantly different values in NSE option chain whereas they should both have the same IV.NSE shows separate IVs for calls and puts. The observed interest rate in the market is not 10% but it varies from time to time with changes in Reserve Bank’s repo rate and interbank lending rates. NSE uses Black-Scholes model with a constant interest rate assumption of 10%. We use the price and derive the IV by reverse calculation using the Black 76 model Why is the IV on NSE website different from Sensibull’s IV? ¶ Also, when futures are in discount, a positive interest rate will result in big errors in the Black Scholes model. In this model, we use the futures price instead of the stock price and ignore interest rate, dividends, etc as these are implied in the futures price.
#Zerodha pi shows option greek professional
Most professional traders across the country use the same. We use an improvised Black 76 model instead of the conventional Black Scholes model, which suits Indian markets better. Option Maths and Markets ¶ What model are you using to price options and calculate IVs? ¶