ATM IV

Implied volatility (IV) is the volatility number that makes an option's market price come out of the pricing formula. It is not a forecast anyone wrote down — it is what buyers and sellers are collectively paying for future movement, expressed as an annualized percentage.

We take the strike closest to the current index level (the at-the-money strike, where IV is most meaningful and liquidity is best) and average the call and put IV there. If the broker sends zero for both legs at that strike, we widen to the neighbouring strikes; if there is still nothing, the field shows —.

A higher ATM IV means options are more expensive across the board. On its own the number needs context — that is what HV20 and the IV/HV ratio are for.

HV20

Historical (realized) volatility measures what the index actually did. We take the last 20 daily closes, compute day-to-day log returns, take their standard deviation, and annualize by √252 trading days — giving a number in the same % units as IV so the two can be compared directly.

IV above HV20 means the options market is pricing more future movement than the recent past delivered; IV below HV20 means it is pricing less. Needs at least 21 closed daily candles, otherwise —.

HV20 = stdev(ln(close_t / close_t−1), last 20 days) × √252 × 100

IV / HV

The ratio of what options cost (near-expiry ATM IV) to what the index has actually been doing (HV20). It is the quickest single-number answer to "are options expensive right now?".

Historically implied tends to sit somewhat above realized — sellers demand compensation for wearing risk (the variance risk premium) — so a ratio slightly above 1 is the normal state, not a signal. We tint the number red at ≥ 1.2 (rich) and green at ≤ 0.8 (cheap).

Ahead of a known event (budget, RBI policy, elections, earnings) a high ratio is often earned: the past 20 days simply do not contain the event the market is pricing. Rich is a description, not automatically a sell.

IV term

Markets price uncertainty differently across time. This is the simplest read of that term structure: the second fetched expiry's ATM IV minus the first's.

Mildly positive is the normal state (more time, more uncertainty). A negative value — near IV above far IV, an inverted term structure — usually means the market is bracing for something imminent, and is worth attention on an index.

PCR

We sum puts and calls across every strike of the expiry and divide. PCR by open interest reads standing positioning; PCR by volume reads today's activity.

On indices, where a large share of open interest is written (sold) rather than bought, a high OI PCR (≳ 1.2) often marks put-writing support below the market rather than bearish bets, and a low one (≲ 0.7) call-writing resistance above. Volume PCR swinging away from OI PCR flags a change in today's flow versus the standing book. A zero denominator reports 0.0.

PCR is a crowd thermometer, not a direction signal by itself — extremes are more often contrarian than confirming.

Max pain

For every candidate settlement level we total what all in-the-money options across the chain would pay out, weighted by open interest. The strike with the smallest total payout is max pain — the settlement at which option writers, as a group, keep the most premium.

The folk theory is that heavy writers have both the incentive and the hedging flow to drift the index toward this level into expiry. Treat it as a magnet marker on expiry week, not a target: it moves as OI shifts, and it says nothing away from expiry.

OI walls

We rank strikes by open interest per side and show the top three. Heavy call OI above the market is where writers defend (resistance); heavy put OI below is where put writers defend (support). The ▲/▼ figure is the change versus the previous session — where new positions are building or unwinding.

The buildup marker highlights the single strike with the largest one-day OI increase per side: the wall being actively built today, which is often more informative than the largest standing wall.

25Δ skew

Strikes equally far from the money do not trade at the same IV. We take the put whose delta is closest to −0.25 and the call closest to +0.25 — comparably out-of-the-money on each side — and subtract call IV from put IV.

Persistently positive on indices (crash protection always carries a premium). What matters is change: skew steepening while the index is flat means protection is being bid — institutions getting nervous before price shows it. Skew flattening or going negative means upside chase. Shows — when the broker sends no deltas.

Fair price & discount

Every option has a model price. We price each contract with Black-Scholes using the index's own realized volatility (HV20) instead of the market's implied one — answering: what would this option cost if the future simply repeated the recent past?

Discount % = (fair − market) / fair. Positive (green) means the market sells the option below its realized-vol value — you are getting movement cheaper than the index has been delivering. Negative (red) means you pay a premium over recent movement, which is the usual state of the world.

Assumptions we make and state: risk-free rate 6.5% (configurable), zero dividend yield, time measured in calendar days ÷ 365. On expiry day contracts are valued at intrinsic. Deep out-of-the-money strikes whose fair value is under ₹0.50 show — for the discount, because dividing by a near-zero fair value produces absurd percentages.

discount % = (BS price at σ = HV20 − market price) ÷ BS price × 100

"Fair" assumes tomorrow resembles the last 20 sessions. Before a scheduled event that assumption is exactly what the premium is paid for.

ATM straddle

The straddle (ATM call + ATM put, last traded prices) is the cleanest single number for "what does movement cost here?" — it pays off if the index moves far enough in either direction.

We show the market price next to its fair value at HV20 and the discount between them. A green discount says two-way movement is on sale relative to recent realized volatility; red says you are paying up for it.

GEX

Option market-makers hedge what they trade. Gamma measures how fast their hedge needs to change as the index moves, so gamma × open interest — scaled by the index level — estimates the rupees of hedging flow a 1% move forces through the market at each strike.

We use the convention that dealers are long calls and short puts (they mostly buy the calls the crowd writes covered, and sell the puts the crowd buys as protection). Call gamma therefore counts positive, put gamma negative. γ+ marks the strike with the largest positive exposure, γ− the largest negative.

Large positive-GEX strikes tend to pin price (dealer hedging sells rises and buys dips near them); large negative-GEX strikes accelerate moves through them.

GEX per strike = (call γ · call OI − put γ · put OI) × spot² × 1%

Dealer positioning is an assumption, not observed data — no exchange publishes who holds what. The convention is standard but can be wrong around unusual flows.

Gamma flip

We rebuild the whole net gamma profile across a ±10% range of index levels — repricing every strike's gamma with the Black-Scholes formula at that hypothetical level, using each option's own IV and expiry, across both fetched expiries — and find where the total crosses zero.

That crossing is the flip. With spot above it, dealers as a group are long gamma: their mechanical hedging sells strength and buys weakness, absorbing moves. With spot below it they are short gamma: hedging sells weakness and buys strength, feeding moves. The distance (%) tells you how much cushion the current regime has.

Shows — when no crossing exists within ±10% of spot.

Pinning / Explosive

The badge is the sign of net dealer gamma at the current index level, from the same Black-Scholes profile used for the flip.

PINNING: expect range-bound, mean-reverting behavior between the γ walls; breakouts need real force because hedging flow leans against them. EXPLOSIVE: the stabilizer is gone — the same flow now chases price, so moves run further and faster than the news alone justifies. The regime changes exactly at the gamma flip, which is why the flip's distance from spot is worth watching on red days.

Intraday / Swing / Positional

Every reading panel on the dashboard can be switched between three horizons. Intraday readings lead with today's levels — walls, max pain near expiry, the value area, the day's order flow. Swing readings lead with conditions that play out over days to weeks — whether premium is cheap or rich, how positioning is building, where value is migrating. Positional readings lead with slower structure — the IV term curve, multi-day context — and are honest when one day's data cannot support a longer view.

The switch remembers your choice across pages. The sentences are generated by fixed rules from the same numbers shown on the cards — the thresholds are the ones described in each metric's own entry.

The panels are educational summaries, not investment advice.

How this data is computed

Every scan cycle (5 minutes during market hours, 30 off-hours) the service pulls the option chain for the nearest two expiries of each index, plus daily index candles, through the broker gateway. All insights on this page are computed from that snapshot; the toolbar timestamp is the snapshot time.

Anything that cannot be computed honestly — missing IVs, insufficient candle history, no expiries — renders as an em dash (—) rather than a fabricated zero. IV history is additionally recorded once per day per index, so IV Rank / Percentile can be added once enough history accumulates.

Nothing on this page is investment advice; it is a structured view of what the options market is pricing.