Hi everyone,
I have spent almost two decades working on exotic options valuations in OTC markets for one of the largest market makers in the world. Being in the heart of institutional market making, I’ve recently noticed the incredible rise in retail options trading on the NSE. However, I’ve also noticed a massive, systemic gap between the analytics support available to us at a leading market maker and the tools currently available to retail users.
Most retail platforms are designed for basic trade discovery or simple payoff visualization. But once you’re in a complex position, you’re often flying blind. You might be right on the direction but still lose money, and your “Vega” or “Theta” numbers often feel like they’re coming from a black box that doesn’t quite match reality.
That’s why I’ve been building Sigma—a risk workstation that brings the same level of valuation rigor used by top-tier desks to the retail community.
It Starts with Valuation Correctness
The biggest difference in Sigma is our core engine. We don’t just “display” market prices or raw IVs. Sigma is built as a cohesive, unified valuation setup based on the universal arbitrage-free principle.
- Pre-Trade Precision: Sigma provides tools for both smarter entry and institutional-grade post-trade management. Before you even enter a trade, you have access to real-time “Fair Value” benchmarks and precise, arbitrage-free Greeks.
- 3-Way Scenario Modelling: One of our most powerful pre-trade features allows for real-time analysis where you can model the simultaneous interaction of Time, Underlying Price, and Volatility. You don’t just see a static line; you see how your book evolves across three dimensions.
- Strict Risk-Neutral Probabilities: Our probability distributions are not just guesses or simple historical bars. They are derived from strict risk-neutral pricing models across the full volatility surface, giving you a rich set of information for both buy and sell decisions.
- Transparency in Calibration: We provide full transparency in our real-time volatility calibration. No more black boxes; Sigma shows you the calibrated surface as it happens.
- Arbitrage Discovery: Our Spread Screeners are built to identify risk-free or arbitrage-like trading opportunities by scanning the entire surface for mispriced legs that don’t fit the universal arbitrage-free principal.
What Sigma Delivers:
Institutional-Grade P&L Attribution: Don’t just see that you’re up or down. See exactly why. We decompose your P&L into 20+ fields, including directional move, time decay, and specific “modal” volatility risks (like level shifts, skew changes, or curvature shifts).
Professional Scenario Heatmaps: Run “What-If” analysis across time horizons. Because our engine is arbitrage-free, the P&L projections you see in our heatmaps are theoretically sound and consistent with how the market actually prices risk moves.
The Hedge Sandbox: Test delta and gamma hedges in a real-time environment. See exactly how adding a future or a specific leg flattens your “true” risk profile across the entire surface.
Ultra-Low Latency: Our custom binary protocol delivers end-to-end updates (from market tick to your screen) in under 30ms, ensuring your risk view stays live during high-volatility events.
Beta Testing & Pricing
Sigma is for the trader who wants to truly understand the valuation of their position and take calculated actions based on it.
We are currently in a Beta Testing phase, and the platform will be initially free while we analyze user load and performance. Once we move to a full release, our goal is to keep it incredibly affordable—think two cups of chai or a cup of coffee per month!
I want Sigma to be the tool that lets you manage your exposure with the same confidence a professional desk has.
“Most platforms help you enter a trade. Sigma helps you survive it.”
I’ve attached a technical overview PDF and some screenshots of the current build below.
Happy Analytics!
