Glossary

30 terms, one to a page. Each is a paragraph and a way on to the piece that explains it properly.

Average true rangeThe average size of a session's full range over the past fourteen sessions, including any gap from the previous close. It is this desk's unit of distance: saying a level is 1.2 ATR away means the market has to travel about one and a fifth ordinary days to reach it, which compares across indices and across a decade in a way that a number of points does not.
Base rateA count of what happened in past cases like the one in front of you, reported with how many cases there were. "The last 24 policy decisions moved the index about 0.6% either way" is a base rate. It is a statement about the past, and the count beside it is not decoration — the same figure over nine cases and over nine hundred means entirely different things.
BasisThe gap between a futures price and the index it settles against. It exists because holding a position to the settlement date has a cost, it narrows as expiry approaches, and it is ordinary rather than informative. Its practical consequence on this desk is that a futures price and an index level are compared as CHANGES and never subtracted from one another.
Call optionA contract giving its holder the right to trade the underlying at a fixed strike, in the direction that gains when the index is above that strike at expiry. Its writer takes the matching obligation. On an index it settles in cash: nothing is delivered and the difference is paid across.
DeltaHow much a premium changes for a one-point move in the index. A call's runs from near zero to near one and a put's from zero to minus one, with about a half at the money. Traders also read it as rough shorthand for the chance a contract ends in the money; the two are close but they are not the same quantity.
ExpiryThe date a contract ends. Indian index options settle in cash against a level computed from a window near the close on that date, so no single print decides what every contract pays. Days to expiry is the number this desk sorts every chain on, because the bucket names it could have used sort in the wrong order.
Foreign portfolio investorsThe participant categories the exchange publishes open interest for: foreign portfolio investors, domestic institutions, proprietary desks and clients. The figures are aggregate across indices and published once a session, so nothing here can say what price a book was built at — only which sessions it grew on.
GammaHow fast delta itself changes as the index moves. It is largest at the money and close to expiry, which is the mechanical reason a contract behaves so differently in its last days: the same index move that barely touched the premium a week ago moves it a great deal now.
Implied volatilityAn option's price restated as an annualised rate of movement: the one number that, put into a pricing formula, returns the premium the market is actually charging. It is a PRICE for movement rather than an opinion about it, and a level means little without the percentile beside it, since the reading that counts as high changes from year to year and from index to index.
India VIXThe exchange's own volatility index, computed across the whole near-dated NIFTY chain rather than at one strike, and quoted as an annualised percentage. This desk shows where it sits as a percentile of the past year, and beside that what the index has actually gone on to do from similar readings — with the count of past cases printed.
Intrinsic valueThe part of a premium that arithmetic alone accounts for: what the contract would be worth if it ended right now. It is never negative, because nobody is obliged to exercise, so an out-of-the-money contract has none at all and its whole price is time value.
Lot sizeThe fixed quantity one contract covers — 65 units of the index for NIFTY and 25 for BANKNIFTY at the time of writing. It has changed more than once, which is why every quantity this desk stores is in index points or open-interest units rather than in rupees.
Max painThe strike at which the total amount option writers would owe across the whole chain is smallest, computed from today's open interest. It is an accounting identity rather than a destination, and this desk draws it in open-interest units because the lot size has changed twice inside this archive's lifetime.
MoneynessWhere a strike sits relative to the index. A contract is in the money when exercising it now would be worth something, out of the money when it would be worth nothing, and at the money at the strike nearest the index — which is the one this desk quotes volatility and the straddle price from, because it holds the most time value and the least intrinsic value.
Open interestThe number of contracts still alive at the end of a session. It rises when a new holder and a new writer create a contract between them and falls when both sides close; a position simply changing hands does not move it. Read together with the change in price it gives the four-state classification this desk prints per strike.
PercentileWhere today's reading sits among the past readings of the same thing — a figure of 80 means eighty of the last hundred comparable readings were lower. This desk uses it wherever a raw level cannot be placed without its own history, and says it in plain words on the page rather than printing the rank.
PremiumWhat an option costs — paid by the holder to the writer at the start and never returned. It splits into intrinsic value, which is what exercising now would be worth, and time value, which is everything above that and is the whole price of an out-of-the-money contract.
Put optionThe mirror of a call. It gives its holder the right to trade the underlying at a fixed strike, in the direction that gains when the index is below that strike at expiry, and gives its writer the matching obligation. Index puts settle in cash like index calls.
Put-call ratioTotal put open interest divided by total call open interest, taken over the WHOLE chain rather than the strikes on screen. Above one there are more puts outstanding than calls. This desk prints a percentile beside it, because the level that counts as high on one index in one year is ordinary on another.
Realised volatilityHow much the index actually moved, measured from its own closes over a window and annualised. It is the other half of the comparison implied volatility sits in: implied is what movement cost, realised is what movement happened, and the gap between the two is the variance premium.
RegimeThe desk's one-word description of the shape the recent sessions have made — rising, falling or sideways — read from confirmed swing pivots and, where a pattern is half formed, from the latest close. It DESCRIBES what has happened. It is not a forward statement and it never chooses a side.
ResistanceThe mirror of support: a price above the current level where the index has turned before, built from the same confirmed pivots by the same rule. Like support it is drawn as a location rather than as a claim about what happens there.
StraddleA call and a put at the same strike and expiry, held or written together. Held, it gains when the index travels far in either direction and loses when it sits still; written, the reverse. It is the least design-dependent structure there is, which is why this desk used it to MEASURE whether volatility was richly priced rather than as a position.
StrangleA call and a put at different strikes, both out of the money, held or written together. It costs less than a straddle at the same expiry and needs a larger move before it is worth anything.
Strike priceThe fixed price written into an option contract. The exchange lists a whole ladder of them around the current index level — fifty points apart on NIFTY near the money, a hundred on BANKNIFTY — and every figure on an option board is computed per strike before anything is summarised across the ladder.
SupportA price below the current level where the index has turned before. This desk builds them from confirmed swing pivots, weights a zone by how many times it was touched and whether a weekly or monthly level coincides, and prints how far away each one is. It draws them as LOCATIONS and claims nothing about what price does on arrival — the family of claims that said otherwise was tested here and closed.
ThetaWhat a day costs the holder of an option and pays its writer — the rate at which time value falls away. It grows towards expiry rather than running evenly, so the last week of a contract's life carries far more of the decay than the first.
Time valueEverything a premium carries above its intrinsic value. It reflects how long is left and how much movement the market is pricing into that time, and it decays towards expiry — faster in the last days than earlier, and even on a session where the index closes exactly where it opened. It is largest at the money, where the outcome is least settled.
Variance risk premiumThe tendency of implied volatility to sit above the realised volatility that follows it. It is an observed feature of most option markets and it is the reason option writing is often described as being paid to carry risk. It is a statement about two volatility measures and nothing more: whether any particular structure converts that gap into a result depends on the path the index actually takes and on what the position costs to open and to close.
VegaHow much a premium changes when implied volatility changes by one point. It is largest on contracts with time left and near zero on expiry day, where there is no volatility left to reprice.