Spot & Parity Forward
24,946.45
Syn: 24,218.6 · Basis -14.2
Broker ATM IV
14.65%
76th %ile (±3 DTE cycle)
Realized HV30 / GARCH
11.71% / 12.18%
10D Yang-Zhang: 11.12%
VRP Edge (IV - RV)
+2.94 pp
IV - GARCH: +2.47 pp (84th %ile)
1σ Expected Move
±265 pts (±1.10%)
Band: 23,934 – 24,464
⚡ Desk Signal
SELL VEGA · IRON CONDOR
Sell 23,950 PE / 24,450 CE
NIFTY · Broker ATM IV (%) vs. 30D Realized Volatility, 10D Realized & GARCH(1,1) Forecast
Rule: Sell Vega when IV - HV30 > +1.50 pp & IV > GARCH
Maturity-Matched Relative Value (±3 DTE Historical Cycles)
1-Year Cycle Distribution
| Metric | Current | Cycle Median | 1Y Percentile | Z-Score | Desk Action |
|---|
Econometric Horizon Forecasts vs. IV
Trading Sessions
| Horizon | GARCH FRV | EWMA FRV | Yang-Zhang RV | IV - GARCH |
|---|
Listed Expiries · Spot ATM IV (%) vs. Implied Forward Vol (σ_fwd) & GARCH(1,1) Term Forecast
Rule: Sell front / Buy back Calendar when Forward Vol σ_fwd > Spot IV
| Listed Expiry | Cycle | DTE | Parity Forward | Spot ATM IV | Forward Vol σ_fwd | GARCH FRV | IV - GARCH Gap | ATM Straddle (₹) | Best Structure |
|---|
Parallel IV Shift0 bps
25Δ Risk Reversal (Put - Call)+2.10 pp
25Δ Butterfly (Wings - ATM)+0.68 pp
Cross-Strike Implied Volatility Smile · Broker Mid IV (%) vs. Arbitrage-Free SVI Fair Curve (%)
Rule: Sell strikes ≥ +15 bps above SVI · Buy protective wings below SVI
| Delta Zone | Call LTP (₹) | Call Δ | Strike | Put LTP (₹) | Put Δ | Broker IV % | SVI Fair IV % | Mispricing (bps) | Strike Action |
|---|
Position Stress Matrix (INR)
Instant T+1d P&L across Spot shocks (-2% to +2%) and IV shifts (-3 pp to +3 pp), net of Upstox charges:
| Spot \ IV | -3.0 pp | -1.5 pp | 0.0 pp | +1.5 pp | +3.0 pp |
|---|