Hi Hulmat,
Thanks for the clarification.
One question is, which IV are you referring to ? Call IV or Put IV?
Analysing the data I found that if the Call Premium goes up and the Call OI goes up and the Volume change increases but is very small (e.g. volume change was +19 and Call OI decreased by 61875 and Call Premium increased by 2.2) the market moved up. Someone closed their Short position on the Call side.
What I’m unsure is how to implement IV here? I mean which IV to consider here and what is the calculation or the logic?
Is it a combination of Call IV and Put IV. If yes, then what should be the logic?
Or is there any other logic?
Can someone please throw some light on this.
Thanks & Regards,
Anirban Deb