Continuing the discussion from [Ask me anything about options](


Continuing the discussion from Ask me anything about options:

@Sensibull Do you or anyone you have come across use Option Chain Variance data (Difference in the Theoretical value and Current Market Price) for “predicting the DIRECTION of price movement”.

Thought of asking you before i start researching into it. Is it worth spending time on this subject, what are your comments?


Hi, I wanted some tips on banknifty weekly options. Am new to this field learning using google.


Hey @weaver_bird

Sorry about the late reply. The honest answer is I do not know. Never run this kind of an analysis.

Having said that, there is a lot of noise in the signal. The theoretical versus actual price of the option chain is influenced more by STT effect, illiquidity etc. Also the fluctuating premia of spot vs future makes it hard to get a steady data set.

I would probably not chase this rabbit hole because I am not sure if I will be able to filter the noise. And there are more useful things elsewhere, even in Price action in OI. But thats just my 2 cents.