Hi all,
I am calculating option greeks for my strategy and have doubts regarding input parameters for the model. Could someone please clarify these for me ?
For Nifty50 index options, I am using India Vix as volatility input and my calculations are matching the @sensibull platform values.
I want to calculate greeks for mid cap nifty and sensex too. What would be the volatility value for those ? Will India Vix work for them or do I need to calculate volatility separately for those indices based on their OTMs ?
Thanks in advance.
You can use stddev of daily returns for last 6 months as a substitute.
If I try to calculate stddev for NIFTY 50 for last 180 days, it comes out to be 113.28, whereas INDIAVIX is at 11.53, this is a difference of 10 times. Do I need to use 113.28 as volatility for BS model or there is some more processing that I need to do ?
Sample code I am using:
df = index_df(symbol="NIFTY 50", from_date=fromDate, to_date=toDate)['CLOSE']
df_new = df.shift(-1) - df
return df_new.std(skipna=True)