How SENSEX option prices change across strikes and expiries: the implied volatility (IV) of every call and put, the skew between puts and calls, the term structure.
In plain words: Later expiries are dearer (ATM IV 4.9% → 17.9%), the usual shape when nothing big is expected soon.
ATM IV
4.9%
12 Nov expiry
Put 2% below
–
strikes not recorded
Call 2% above
–
strikes not recorded
Skew 2% away
–
put minus call IV
ATM IV at the open
36.2%
−31.3 since
Term structure
4.9 → 17.9%
nearest to 4th expiry
Volatility smile
IV by strike for the 12 Nov expiry · grey: the other expiries · tap the chart
CallsPutsOther expiries (out-of-the-money side)SENSEX now
Term structure
ATM IV for each expiry
IV grid
Every strike within 10 strikes of the price, for each expiry. Warmer = dearer options. Out of the money: puts below the ATM strike, calls above (the ones traders mostly buy).
Strike
12 Nov (0d)
19 Nov (7d)
26 Nov (14d)
3 Dec (21d)
82,900
–
17.6
15.4
–
82,800
–
17.5
16.1
–
82,700
–
17.4
8.2
–
82,600
–
17.4
–
11.9
82,500
–
17.5
15.9
16.6
82,400
141.2
17.4
15.9
20.5
82,300
114.6
17.4
15.6
–
82,200
87.5
17.3
16.0
16.1
82,100
59.5
17.1
15.9
16.0
82,000
30.3
17.3
15.9
16.8
81,900 ATM
4.9
17.3
16.2
17.9
81,800
36.9
17.4
15.9
–
81,700
65.9
17.2
16.2
–
81,600
93.8
17.2
16.2
–
81,500
121.1
17.2
16.1
14.8
81,400
147.9
17.2
16.1
–
81,300
–
17.4
16.1
–
81,200
–
17.5
18.1
–
81,100
–
17.6
15.9
–
81,000
–
17.5
16.2
–
80,900
–
17.4
16.3
–
Skew history
A long daily skew history is kept for NIFTY only (see it here). For SENSEX this page shows the skew from today's recorded option prices.
What is volatility skew?
Options at different strikes trade at different implied volatilities (IV). In Indian index options, puts below the price usually cost more than calls the same distance above, because traders pay extra to protect against a fall. That difference is the skew. When it rises, fear is rising; when it falls or turns negative, traders are relaxed or even expect a rise.
How to read the IV grid
Down a column: the smile for one expiry. A deep "U" means far strikes are dear.
Across a row: the term structure for one strike. Nearer expiries are often dearer before events.
Warm cells are expensive options to buy and rich options to sell.
How we work it out
Every minute we record the price of each SENSEX option near the money. This page takes the latest minute (15:40, Thu, 12 Nov) and works out the IV of each one with the Black-Scholes model, priced off the forward the options themselves imply at the ATM strike, so calls and puts agree.
Information only, not investment advice.
What is SENSEX volatility skew today?
It is shown at the top of this page: how much more implied volatility SENSEX puts below the price carry than calls the same distance above. A positive number means puts are dearer.
Why do puts usually cost more than calls?
Investors and funds buy puts to protect against a fall, and falls tend to be sharper than rises, so option sellers charge more for downside protection.
What does a negative skew mean?
Calls above the price cost more than puts below it: traders are paying for a move up, or have stopped worrying about a fall.
What is an IV grid?
A table of implied volatility for every strike (rows) and expiry (columns). Down a column is the volatility smile; across a row is the term structure.
How often is it updated?
Every minute during market hours, from our recorded option prices. After the close the page shows the day's final reading. The NIFTY daily skew history is added each evening.