I'm building an options tool and need to match your IV calculations.
Quick questions: 1. Model: Black-Scholes or Black-76? 2. Underlying: Spot or Futures? 3. Risk-free rate: What % do you use? 4. Time: Calendar days/365 or Trading days/252?
Example to verify: - NIFTY 24000 CE, 7 days to expiry - Market Price: ₹150, Spot: 23,950 - My IV: 15.23% (using BS, spot, 7%, 7/365) - Does this match your calculation?
We use data provided by Sensibull, which employs a modified version of the Black-76 model, tailored for Indian markets and widely used by professional traders. Below are the key details of the model: - Model: Modified Black-76 model (instead of Black-Scholes). - Underlying: The Futures price is used instead of the spot price, as it already incorporates interest rates and dividends. - Risk-free rate: The risk-free rate is implied within the futures price. For the exact rate, you may refer to the exchange data. - Time basis: 252 trading days are used for IV calculations on Sensibull.
- Model: Modified Black-76 model (instead of Black-Scholes).
- Underlying: The Futures price is used instead of the spot price, as it already incorporates interest rates and dividends.
- Risk-free rate: The risk-free rate is implied within the futures price. For the exact rate, you may refer to the exchange data.
- Time basis: 252 trading days are used for IV calculations on Sensibull.