Announcing, Option Trade Analyser

Sensibull is a few days away from the launch. We do not want to keep you waiting for the launch, so we thought we will give you a small part of Sensibull which is useful to you. A super-simplified, user-friendly, no-nonsense Option Trade Analyser.

This helps you compare Buy Call Option, Sell Put Option, Buy Put Option and Sell Call Option for a given view in Nifty, Bank Nifty, and other single stocks on NSE. It also tells you Option Pay offs, and Option Greeks such as delta, vega, gamma, and theta.

What is different about our model?

We use an improvised Black 76 model instead of the conventional Black Scholes model, which suits Indian markets better. Most professional traders across the country use the same. 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. Also, when futures are in discount, a positive interest rate will result in big errors in the Black Scholes model.

Why is the IV on NSE website different from yours?

NSE uses Black-Scholes model with a constant interest rate assumption of 10%. The observed interest rate in the market is not 10% but it varies time to time with changes in Reserve Bank’s repo rate and interbank lending rates.

What if a stock has a dividend payout?

This is all the more a reason why you should use our calculator instead of the conventional Black Scholes calculators. We use the futures price which captures the expected dividend correctly and cleanly.

What is the best part?

Tough one. I will go with the Implied Futures on the Weekly Bank NIFTY options. As there are no weekly futures on Bank NIFTY, a lot of traders make mistakes as they use the spot/ monthly futures. We calculate the implied futures from the Bank NIFTY options, which prices options correctly.

Do you find this tool useful. Is there a feature you would like to see? Let us know in the comments!

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