Thanks for the tip on multiquotes - does makes sense!
I am still working on efficient layout of the data along with integrating more features. The snapshot ribbon (futures/IV/IVP etc. info) is surely taking a lot of space and I will be rearranging it soon. It's just that time is a constraint...
@bpr I agree. This was my initial layout, but due to space constraints I had to move them to the header. I'll try to adjust both the elements again above the option chain over this weekend. Thanks :)
Thank you @sanju005ind. Per strike IV calculation is done using the Black76 model.
I am not...
Done. The number of days now appear in the dropdown selector.
Sure! Will post it over the weekend.
Please do share your feedback and any improvement suggestions. Meanwhile, I will keep working on adding features that I think will be helpful in building context. :)
Here is the screenshot of the main page and I’ve labelled some UI elements as follows:
0 - Quick Instrument Selection
1 - Instrument Snapshot
2 - 1SD Range, Days to Expiration and Lot Size
3 - Filter the number of visible strikes
4 - Choose the desired expiry
5 - Open symbol chart...
After posting screenshots my initial crude app here on this old thread (https://www.traderji.com/community/threads/historical-options-chain-greeks-and-iv.106299) I had pretty much abandoned its work and relied on manual data extraction and manipulation in Python/Excel etc. However, I...
- This statement would maybe not be appropriate for some other type of traders, such as market makers or option sellers. What do you think??? :confusedd::confusedd:
Maybe as an option seller (even I am a trader, no?) my job is not to predict the market moves because I believe they are random...
Hi, thanks for replying.
It seems that you're beginning to learn about options. Being delta neutral doesn't guarantee profits; otherwise everyone would be. You could be only delta neutral at a given point in time. As time passes, delta would change (even if nothing else changes). Being delta...
The reasons due to which the deltas of the ATM call and put are different, as shown in your screenshot is because:
The calculator that Zerodha uses is based on the BSM model. It means that the interest rate that you input is used by the model to calculate a forward price for the stock. The...
Here is the link to try: http://chain.optionsnexus.com
Access it only on Chrome as I haven't tested cross browser compatibility
View it on desktop/laptop as it's currently not fully optimized for small screens
Accessing Stock chain might not work because of Godaddy's...
I was not active for a long time. Sorry for the delay. I've made some changes to the tool and working on improving it. Unfortunately it required a lot of time and I am not able to dedicate it due to my job.
Here is the screenshot of the changes:
Bro, you did not understood what I was saying. Of course the greeks would change with IV if you use IV as volatility input in BS or any model.
However, the reason I say that IV cannot change greeks is because I don't use it as a figure of volatility. I use some other numbers because I believe...
Disagree on that. IV cannot influence greeks. Volatility is an estimate you calculate. IV is just an additional information based on supply and demand equilibrium. Already explained why.
If however, you are trying to calculate spot IV using the ATM, and options around ATM per some weight...
@onequorauser To calculate the IV when you have the market price in Excel, create a new module in the worksheet with the following code:
Option Base 1
Dim d1, d2, d3, d4, nd1, nd2, nd3, nd4, ert, eqt
Function bs(cp, S, K, v, r, T, q)
d1 = ((Log(S / K) + (r - q + 0.5 * v ^ 2) * T) / (v *...
In my opinion there is indeed something missing here. My understanding says a little different. Of course the partial derivatives spit by the Theoretical Pricing model do require the volatility to be quantified. However is this number the IV of options or IV of the spot?
Just think of it.
Yup that is the IV for the option based on its premium and not the spot volatility which is something different. The premium amount used to calculate the IV is the EOD LTP.
Basically it is just reverse calculating the Black-Scholes as we already have price so we need to work for the Volatility...
Thanks @TraderGYO for your question. The answer is: Yes, I will implement that. That is something already in the pipeline. I have a detailed tool in my mind that will give good insights on the custom options strategy build along with the other aspects/values/parameters about the strategy that is...
The script is PHP as it is quite versatile.
However the database is huge and it requires a significant chunk of processing to calculate all the options greeks for different expiry dates.
I will move to a Dedicated server online soon to accommodate all the FNO segment stocks if it is...
Yes I can. I may create a new dashboard page with the same this weekend but in a different way. I fail to see it being of a lot of help if being used on just spot IVs. Let me share my thoughts on IVP/IVR.
I do not...