Many thanks for bringing up the much awaited option chain!
I have got a question. How come the IV of Call and Put is same? I have been using this InvestExcel spreadsheet . The only reason the spreadsheet makes sense is because if we back-solve the option price using the calculated IV, the VBA function throws back the same exact option price. Thus, confirming the validity of IV w.r.t. its option price. Have also translated the VBA to AFL and works fine on live data as well.
In academic theory, as well as in an efficient market, the call and put IV should be the same for the same strike. Examples include US / EU markets and OTC currency.
In Indian equities you could see that this is not always the same. This is because:
STT affects ITM option prices and brings down volatility
Wide bid offer spreads, and off prices in illiquid ITM options will get you an off IV value
Also, we noticed that other platforms in India including NSE assume a constant interest rate r = 10 and calculate Put and call options IVs using spot. This assumption is wrong because r does not remain constant. This is clear from the fact that sometimes stocks go in discount which violates the implied value of a positive r. We use the future price so that the r is implied and captured correctly. This r assumption gets some calculators to give different call and put vol.
To rectify this, we use the IV of the OTM option for a strike, and put the same number for both calls and puts.
Theoretically, if Put and Call options have different volatilities, there will be an arbitrage opportunity. You can try it yourself using a the following calculation.
Put Call Parity says that Call Price - Put Price = Future Price - Spot Price.
If you try this equation with different values of IV, the numbers won’t add up.
I have studied BSM not Black’76 and would be highly grateful if you could refer a book or an article for my better understanding.
Few requests
1. Please create an I.V. Percentile scanner for the liquid stocks;
This should be hopefully live tomorrow. We were supposed to be lived Friday, but then you know glitches 
2. To gain some statistical edge, please include Probability% of a Strike expiring ITM alongside the Greeks (demo spreadsheet). Also incorporate the same onto a price-chart such that the ITM Probable Price Range (70% or 90% or whatever as per user’s preference) would show a cone-shaped bell curve after the last price bar and help a trader anticipate the probable range of the underlying;
This is a philosophical question mark. While it is easy to implement, retail new traders think of this as some kind of resistance where they can blindly sell without doing their homework. They just think of probability as an absolute number that will work no matter what. If someone uses POP to bet against a trended stock, say TAMO at 310, or Adani recently, they will lose a tonne of money. So we want to discourage people from using this number and not doing the other homework.
We are figuring out a way to expose it only to people who know their option math. Let us see.
- Although approximated as twice the ITM Prob% (unaware of the actual math), Probability of Touching (POT) can be used to gauge the probability of price hitting a strike in the near future before expiry instead of piercing or breaching it. At-times price moves very strongly against a option seller and often creates a false panic as price (by its nature) tests critical support/resistance which happens to be the sold strike. POT can easily identify these naughty strikes and allow a trader to stay-in the game;
The same answer as above.
**4. Even if you ignore the above three, please do not ignore this one. Kindly introduce an Option Strategy Chart wherein a trader can visualize the possible Payoff and the theoretical P&L w.r.t. days remaining to expiry after combining several options to form a strategy (for e.g. click here). This will help a trader visualize the possible risks.
We do not ignore anything from the audience. Most of the people who have used us will vouch for that. We are extremely user driven.
The pay-off diagram is under development. You will see it in a week or two. Again, the scheduled date was this week, might just take one more.
Sorry to throw away so many requests, have been seeing too many OptionGururs using Thinkorswim platform and wishing to have something of that sort in India. Not asking for the same exact replica but at-least the good features.
We are on the same team here
Hope you will prioritize the implementation of these requests, as they will not only boost your popularity as a broker but also convert huge amount of guess-work oriented trading to factual based trading for all.
Absolutely!
Many Thanks for reading,
P.S. Great job! Yours is one of a kind tool available to Indian Retail Market. Hope to see the Beta becoming V1.
soon.