Hi,
The data provided option chain seems not right especially the Put side for NIFTY. The option IV and greeks are all zero even near the ATM strikes. Please refer the screen shot(ATM is 26000-Nifty) from the option chain from Dhan. Looks like it need some correction in the computations of these values.
Thanks & Regards
Hi, @DarthTrader welcome to the MadeForTrade community.
As replicated on our end, the values are reflecting properly. In such instances, please try pressing CTRL+SHIFT+R for a hard refresh. If you still face the same inconvenience, please reach out to us at help@dhan.co so we can assist you via a video meet during live market hours.
Hi Mohseen,
Yes, it was changed to these non-zero values towards the end of the session. Now the call side has similar issues please check the strikes <=25650. I have plotted the IVs for most of the active strikes in the attached figure.
Thanks
Hi @DarthTrader, as discussed over the call this morning, we have checked this with our team.
The Greeks are calculated based on IV. Since the IV for this strike is showing as 0, the Greeks also show as 0.
IV becomes 0 when the system is unable to calculate it using the Black Scholes model. This usually happens on expiry days when the option’s actual market price and its theoretical price are very different. Because of this mismatch, the system cannot find a valid IV for that strike.
NSE option chain below for reference.
Thanks for the clarification @Mohseen_Usmani !
