Why do the Call and Put options show the same IV in FYERS?
In the FYERS option chain, the Implied Volatility (IV) shown for the Call (CE) and Put (PE) at the same strike and expiry is identical. This follows standard option pricing: for a given strike and expiry, Call and Put prices are linked by put–call parity, so they map to a single, consistent volatility.
Reason IV is the same
Put–call parity ties CE and PE prices at the same strike/expiry. If separate IVs were used, that relationship would not hold, leading to inconsistent valuations. To maintain pricing consistency, a single IV is maintained per strike and applied to both CE and PE.
How IV is calculated on FYERS
- The IV is derived from the Out-of-the-Money (OTM) side of that strike, which generally has better liquidity.
- The futures price for the corresponding expiry is used as the reference to capture carry and rate effects.
- The IV obtained from the OTM option is displayed for both CE and PE at that strike.
Example from the FYERS option chain
- NIFTY reference around 25,008.95; corresponding futures around 25,116.10.
- Strike considered: 25,000.
- The 25,000 CE shows IV 9.96 and the 25,000 PE shows IV 9.96.
- IV is derived from the OTM side for that strike and applied to both CE and PE, keeping the chain parity-consistent.
What If…
| Scenario | Explanation |
|---|---|
| Both CE and PE are illiquid | IV may be blank or have an outdated value until reliable quotes appear on the OTM side. |
| Underlying moves sharply | The OTM side can flip as price moves. IV is recalculated automatically using the new OTM option. |
| Separate IVs expected for CE and PE | For the same strike/expiry, a single IV is correct. Different values typically indicate inconsistent or stale prices. |
| IV seems to change frequently | IV is derived from live option prices and will update as quotes change during market hours. |
Last updated: 06 Oct 2025
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