| FUTURES | OTM PUTS · next − near IV gap | ATM | OTM CALLS · next − near IV gap | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Connecting and loading the F&O universe… | |||||||||||
Near IV > next (inverted)
Next > near
sell-calendar edge
buy-calendar edge
not two-sided at the last chain scan
Cell: strike + gap, then Δ near · next
Faded = next spread above the limit · Click a row for every leg · Hover a strike for detail
How each number is calculated
- Strikes
- OTM only: puts below the ATM strike, calls above, both months at the same strike. Every 15 min (or on Rescan strikes) the app pulls each stock's near and next option chain from the Fyers REST API and keeps the 3 OTM strikes per side with the tightest books in both months. The score is the next spread % plus half the near spread %, plus a penalty for each step away from ATM. Those strikes are then streamed live. ATM is the strike nearest the near future, re-centred every 15 s, and shows whichever of CE/PE has the tighter books.
- IV
- Black-76 on each month's own future (mid), r = 0, time to 15:30 IST expiry.
- Delta (Δ near · next)
- Each leg's own Black-76 forward delta at its mid IV, ×100. The near month comes first, then the next month. Puts are shown as absolute values; the signed values are in the tooltip and detail row.
- Mid gap
(Next mid IV − Near mid IV) × 100bps. Negative = near IV above next = inverted, shaded light → deep red at 10 / 50 / 100 / 200 / 400 bps.- Bid gap
Next bid IV − Near ask IV: what selling the calendar locks in (hit next bid, lift near ask).- Ask gap
Next ask IV − Near bid IV: what buying the calendar costs (lift next ask, hit near bid). Ask gap ≤ −X means the next month can be bought X bps cheaper than the near is sold.- Futures
- Near LTP; calendar
next mid − near mid; carry(next ÷ near − 1) × 365 ÷ Δdays × 10,000bps.