IV Calculation for BankNifty to select the appropriate Strike

F&O
1

Dear Karthick,

My Query: How to determine IV (Implied volatility) for Banknifty ? In the Varsity, in Module 5, Chapter 17 you discussed on calculation of historical volatility using excel and then determining the Strike price. In my understanding, in order to determine the correct strike price, we would need IV and HV and then determine a +1 -1 SD range and decide on a strike.

Please if you can share the process of

a) Determine the IV
b) How to consider the IV and HV and then come out with a % that can be applied to determine upper limit and lower limit for the Normal distribution

My objective is to feed the IV, Strike Price and oher details in the B&S calculator and then get Options greek.

Thank you in advance.
Anurag

2

You can check sensibull for greeks and much more.

3

Hi Siva,

I had checked Sensibull.com and their education section as well. Couldn’t find the video/post.

Please I will request you to paste the exact URL of the video/post from Sensibull

Thank you

4

May be @Sensibull Can guide you.