Quantitative Models & Data Methodology

1. Data Provenance & Refresh Architecture

Market data for NIFTY 50 options contracts is ingested via authorized exchange proxy API connections during active Indian trading session hours (09:15 to 15:30 IST). Polling updates refresh automatically approximately every 3 seconds, storing encrypted time-series snapshots locally in user browser IndexedDB memory.

2. Black-Scholes-Merton Greek Models

Option Greeks are calculated dynamically for every active strike using standard Black-Scholes pricing models with a constant risk-free rate ($r = 7.0\%$):

• Delta ($\Delta$): $N(d_1)$ for calls; $N(d_1) - 1$ for puts.
• Gamma ($\Gamma$): $\frac{n(d_1)}{S \sigma \sqrt{T}}$.
• Vanna: $\frac{\partial \Delta}{\partial \sigma} = -\frac{n(d_1) d_2}{\sigma}$.
• Charm: $\frac{\partial \Delta}{\partial T} = -n(d_1) \left[ \frac{r d_1}{\sigma \sqrt{T}} - \frac{1 + d_1 d_2}{2 T} \right]$.

3. Observed Data vs. Quantitative Estimates

To maintain absolute transparency, QuantumFlow distinguishes between observed exchange metrics and derived quantitative estimates:

• Observed Exchange Data: Spot price, Strike prices, Call/Put Open Interest (OI), Volume, Bid/Ask quotes, India VIX.
• Derived Quantitative Estimates: Dealer Net GEX (₹ Cr), Zero Gamma Line (ZGL), Active Range PCR, 0DTE Avellaneda Pinning Probability, Market Regime State Classification.