Why doesn’t Bs price match NSE option price using reported IV?

F&O
1

NSE shows the following option data:

Strike: 25150 Call
LTP: 144.60
IV: 13%
Expiry: tmrw

Since IV is obtained by reversing the Black–Scholes formula from the market price, I expected that using IV = 13% in the Bs model would reproduce the same option price.

However, the price I calculate using Black–Scholes is different from the NSE LTP.

Why does this mismatch occur? Does NSE use different assumptions for another method to compute IV? @BB789 @niftymonk @nithin_kumrr

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1 Like
2

Recommended to use Zerodha’s Black-Scholes calculator:

The IV of 13% is probably wrong unless they’re using a weighted average to calculate it and not the LTP. :face_with_monocle:

I had to use IV of 16.86% and RFR of 6% to get 144.6 CE price. :dizzy:

3

@pavinjoseph They use 10% .So for 10% the correct IV is between 13 and 16.86. For 6% it is 16.86%.

4

The interest / risk-free-rate is only 6%. :1234:

Use the 1 year term deposit rate from RBI homepage:

5

It’s also probably calculating days to expiry as 1 instead of 3 on Friday

6

Yes possible.

7

Ok @pavinjoseph