The board running in demo mode on its built-in simulated market. Live, it reads the real Fyers option chain. Click the image to open it full size.
A live board that watches the implied volatility of both legs of every NIFTY calendar and diagonal spread. It flags the moment one leg's IV suddenly jumps ahead of the other.
The board running in demo mode on its built-in simulated market. Live, it reads the real Fyers option chain. Click the image to open it full size.
How it works
Each refresh passes through the same steps. Anything that fails a check is dropped before it can produce a signal.
Both chosen expiries, the index level and India VIX, straight from the Fyers API. You pick the near and far expiry from a dropdown.
A calendar (same strike) plus diagonals 100–500 points wide, both CE and PE. Leg 1 is always the far expiry and Leg 2 the near one.
Both legs must have real traded volume today and a tight two-sided bid/ask quote. Stale last-traded prices are never used, so a quiet strike can't fake a spike. Anything else is dropped.
Each expiry gets its own forward price, worked out from put-call parity. From it the tracker gets every leg's implied volatility and delta.
If a pair's net delta leaves a tight band around zero, it disappears from the board: no history kept, no spike worked out, no display. Only delta-neutral pairs survive.
Each leg's IV change over a rolling 3-minute window, smoothed against single-tick noise and compared with that leg's normal level. This tells a real spike apart from IV simply snapping back.
Pairs are ranked by spike difference. A move that holds across several refreshes sounds an alert and is logged to a spreadsheet, and the tracker scores the result 15, 30 and 60 minutes later.
Anatomy of a signal
Spike Difference = Leg 1 IV change % − Leg 2 IV change %. The bigger the gap, the higher the pair ranks.
Event aware
High-impact events move volatility. The tracker keeps its own event calendar, updated automatically from official sources. Where the next event falls between your two expiries switches the board into a BUY or SELL regime, and after the event it watches for the IV crush.
Which side of the near expiry the event lands on decides the regime.
Built for the trading day
Made to sit open from 9:15 to 3:30 without supervision.
Live VIX, its day change and range, always visible at the top of the board.
A beep and a flashing window, but only for moves confirmed over several refreshes. A single stray tick can't trigger one.
Every alert goes into an Excel-ready file with both legs, prices, VIX and the event, then gets scored at +15, +30 and +60 minutes.
Each alert is tracked as it plays out: active, fading, reverted or gone from the board.
Login, Start Live and Demo buttons. Pick the index, the expiries, the window and the alert level with no command line.
Data keeps flowing even if the window is clicked or paused. A built-in market simulator and 64 automated tests check every rule.
Under the hood
This page shows what the tracker does. The code, trading rules and settings stay in a private repository.