Calculation of Upper and Lower Circuit Limit for Index Options


Does anyone know how Upper and Lower Circuit Limits (i.e the Daily range) of Index Options are calculated, for any particular strike price?

Is there a formula for it?

There is no direct formula as I know, previously tried to get the answer from exchange but was told they use some internal models and won’t give out.

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Oh okay. Thank you very much for the information @siva.

Also, is there any way to find this information easily on any Zerodha platforms?

You can check on market depth, circuit limits are available.

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Oh wow!
Is this a new addition? Hadn’t noticed it before.

Thank you!

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