Can you please shoot a mail on help at sensibull dot com. I would love to examine your point in detail and see the merit in this
Sent you email,
Another thing is you plot IV based on futures , yes options follow futures price , but during expiry day it follows index at the end , example is IV shoots up or falls when index breaks the round numbers like 12000 , 12050 etc ,and not when futures breaks out from round numbers , so it would be nice to give options to user settings where they set plot IV based on futures or index.
On expiry days futures converges to spot. So it does not really matter, IMHO.
On a side note, IV increase is not really because of levels breaking (because that would happen only when levels break downside). IV increase is because of the skew coming into play. Just my $.02
Doesn’t short covering or put unwinding cause premiums to increase which in turn results in increase of IV.
On expiry day, if we look at IVs as IVs then it is very misleading. When Vega is a small number, any increase in premium will translate to a huge jump in IV
You can play with this calculator and see for yourself with days to expiry as a fraction
http://option-price.com/
I am talking about weekly expiry
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