Comment on How to use the option calculator?

Priyesh commented on 29 Sep 2016, 09:12 AM

thank you for a prompt reply.

I had this question as NSE under it’s option chain (for Nifty) assumes 10% interest rate which is not real, as RBI 91 days is around 6.52%. Hence, all IV on NSE website were not matching with B&S calculations assuming RBI’s risk-free rate.

Since Annual Volatility and Interest Rate are the only 2 variables not readily available from the market (Time, Price, Strike, Dividend are fixed & actual), i wanted to conclude whether NSE’s computation is correct or computation with RBI rate is correct.

Hence, the question, how do we know our theoretical values are correct and matching the real time market data!

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