Strike Price : nifty 10500 CE
According to nsc website implied volatility : 23.06
Zerodha sensibul shows that 25.2 is the implied volatility on that strike price.
Question 1.
Which is correct?
According to nsc website the implied volatility of last trading day was : 23.24 and today is 23.06 so it is reduced by 0.18
According to Zerodha sensibul today vega is 7.50
Question 2.
So how much money will be deducted from premium?
Can I come to know what was the implied volatility according to sensibul of last trading day on that strike price?
Wait for @Sensibull’s reply, they will solve all your queries. Until then you can read this to know why there are differences between NSE and Sensibull IV.
Thank you
This answer is available here on Sensibull’S FAQ This is the answer:
NSE uses Black-Scholes model with a constant interest rate assumption of 10%. The observed interest rate in the market is not 10% but it varies from time to time with changes in Reserve Bank’s repo rate and interbank lending rates.
This fault can be very clearly inferred by the fact that IV of the ATM put and call are two significantly different values in NSE option chain whereas they should both have the same IV. NSE shows separate IVs for calls and puts.
The problem here is with deep ITM options. Deep ITM options prices are corrupted by illiquidity and STT. So to find the IV at a strike, the better thing to do is to derive OTM IV of a strike, and apply the same to both call and put. Basically one IV for a strike, instead of a separate call and put. This also reduces mental clutter. We use a Black 76 model, which corrects for the anomaly of interest rates, by using futures prices directly. This helps us capture the futures premium and discount, as well as any dividends etc. more accurately than NSE’s model.
This is the link: Why is the IV on NSE website different from Sensibull’s IV? : Help & FAQs