Option Greeks & Implied Volatility

Quantitative options analytics for Indian markets including Black-Scholes pricing, Greeks, implied volatility, max pain, and put-call ratio.

Greeks

import { greeks } from "@nemesis-oss/dhanhq-sdk";

const result = greeks({
  spot: 24_000,
  strike: 24_200,
  timeToExpiry: 10 / 365,
  riskFreeRate: 0.065,
  volatility: 0.15,
  optionType: "call",
});

console.log("Delta:", result.delta);
console.log("Gamma:", result.gamma);
console.log("Theta:", result.theta);
console.log("Vega:", result.vega);

Implied Volatility

import { impliedVolatility } from "@nemesis-oss/dhanhq-sdk";

const iv = impliedVolatility({
  spot: 24_000,
  strike: 24_200,
  timeToExpiry: 10 / 365,
  riskFreeRate: 0.065,
  marketPrice: 150,
  optionType: "call",
});

Max Pain

maxPain() returns just the strike; detailedMaxPain() also returns the full pain curve, for plotting:

import { detailedMaxPain, maxPain, openInterestFromChain } from "@nemesis-oss/dhanhq-sdk";

const chain = await client.optionChain.fetchNormalized({
  underlyingScrip: 13,
  underlyingSeg: "IDX_I",
  expiry: "2026-08-04",
});

const oi = openInterestFromChain(chain);
console.log("Max pain strike:", maxPain(oi));

const detail = detailedMaxPain(oi);
console.log("Total pain at max pain:", detail?.totalPain);

Put-Call Ratio

By open interest, and separately by traded volume:

import { openInterestFromChain, putCallRatio, volumePutCallRatio } from "@nemesis-oss/dhanhq-sdk";

console.log("PCR (OI):", putCallRatio(openInterestFromChain(chain)));
console.log("PCR (Volume):", volumePutCallRatio(chain));

Open Interest Concentration

The strikes carrying the most OI on each side — support (put OI) and resistance (call OI):

import { highestCallOi, highestPutOi } from "@nemesis-oss/dhanhq-sdk";

console.log("Resistance (highest call OI):", highestCallOi(chain, 3));
console.log("Support (highest put OI):", highestPutOi(chain, 3));