Comment on Introducing Sensibull -- the Options Trading Platform

Abid commented on 10 Sep 2018, 07:10 PM

Satish,

Sorry about the delayed reply. We are just six people racing against time every day

Quoting the answer from the Black Scholes page of Sensibull

WHY IS THE IV ON NSE WEBSITE DIFFERENT FROM OUR IV?
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. The fault is NSE’s IV calculation 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.

View the full comment thread »