How Tradingraph calculates its numbers, and what its limits are

Anyone who reads numbers on a website should know where they come from. This page lists what each Tradingraph tool uses, what it calculates itself and where it can differ from your broker.

Data sources

All market data comes from files NSE publishes for download after the close: the F&O and cash bhavcopy, the delivery file, participant-wise open interest, the market-wide position limit report, the F&O ban list, lot sizes and index prices. The site saves new copies each evening and shows the date of the data on each page. There is no live feed.

What is taken directly from the files

• Prices, volumes and open interest of contracts, and the previous close.
• The ban list, MWPL figures, delivery quantities and participant positions.

What Tradingraph calculates

• Open interest in contracts: the file's quantity divided by the lot size.
• Implied volatility: found by repeated search so that the Black-Scholes price matches each option's closing price. The model uses a 7% risk-free rate, no dividends and the time left to expiry.
• Greeks (delta, gamma, theta, vega): calculated from that implied volatility.
• Max pain, put-call ratios and the highest OI strikes: calculated from the file's open interest.
• Pivots and CPR: arithmetic on the last session's high, low and close.
• Strategy payoffs: the payoff at expiry for the legs you enter. "Probability of profit" is a model estimate based on a normal distribution with zero drift and ignores charges.

Known simplifications

• Black-Scholes assumes constant volatility, and treats options as European-style with no dividends. Stock options are different in practice.
• Closing prices are last traded prices, so illiquid contracts may be stale.
• Margin and charges in the strategy builder are estimates, not exchange or broker figures.

Checking a number

If a figure looks wrong, compare it with NSE's own file for that date. If you find a mistake, write to the address on the Contact page, with the tool, the date shown on the page and what you expected. We will check it against the file.

What the site is not

Tradingraph is not a broker or a SEBI-registered adviser, does not place orders and does not give tips. The Risk Disclaimer explains the limits of the data in more detail.

This page is for information and education only and is not trading advice.