This section defines the terms used across the data pages and calculators on this site — 16 of them so far. Each page states what the term means and the formula it comes from. It also carries a worked example on stated inputs, and a section on what the number does not say.
Levels and Pivots
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CPR is a set of three numbers worked out from the previous session’s high, low and close. The set holds a pivot, a level above it and a level below it. It is arithmetic on figures that are already fixed, so every reader of the same session gets the same three numbers.
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A pivot point is a single number worked out from the high, low and close of the previous trading session. It comes together with a set of levels derived above and below it. The whole set is arithmetic on figures that are already fixed — no judgement enters it at any step.
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VWAP is the average price of a session with each price weighted by the volume traded at it. It is computed by multiplying a typical price by volume for each interval. Those products are added up, and divided by the total volume.
Options
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An option chain is a table of every strike price of one expiry. The call figures sit on one side and the put figures on the other. Each row holds open interest, traded volume and the last traded price for that strike, on both sides.
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Open interest and change in OI
Open interest is the number of derivative contracts that are still open at a strike — neither closed out nor expired. Change in OI is the difference between that count now and the same count at the last close. Both are counts of contracts, not of rupees.
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The Put-Call Ratio divides the put figure by the call figure across an option chain. Taken on open interest it compares standing positions; taken on volume it compares the session’s trading. It is one number divided by another, and nothing more.
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Max pain is the strike where the total intrinsic payout owed by option writers would be lowest. This assumes expiry happens at that price, and that open interest does not change before then. Both of those are conditions, not facts.
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Implied volatility and the Greeks
Implied volatility is the volatility figure that makes a pricing model return the price an option is actually trading at. Delta, gamma and theta are three of the Greeks; vega and rho are the other two. Together they state how that model price moves when one input moves and the rest stay still.
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On expiry day an option is worth only its intrinsic value. That is the amount by which it is in the money, and nothing if it is not. Time value has run out, so the payoff of a trade becomes a straight arithmetic function of the expiry price.
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In its simplest options-only form, hedging near options expiry means adding a second leg that offsets part of a current position. An existing long call can be paired with a written call at a higher strike. The premium received lowers what is at risk on the first leg, in exchange for giving up gains beyond the second strike.
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Rolling a position forward means closing the contract nearing expiry and opening the matching one for a later expiry. For options, the two are rarely priced the same, even at an unchanged strike and spot. More time to expiry carries more time value. That gap is the arithmetic part of what rolling costs or credits.
Market Data
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FII and DII data is the exchanges’ record of how much foreign and domestic institutions purchased and sold in a session. Each group’s net figure is its purchases minus its sales. The numbers are released after the session and stated in rupees crore.
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A gap is the difference between a session’s opening price and the last session’s closing price. When the open is above that close it is called a gap up; when it is below, a gap down. Stated as a percentage, gaps on different instruments can be compared.
Risk Maths
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Position sizing and risk : reward
Position sizing works out a quantity from three numbers you supply: how much you are willing to risk, and two prices. Risk : reward compares the distance from one price to a third with the distance to the second. Both are division, and nothing else.
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Position sizing for larger capital
The math behind position sizing does not change as capital grows. The same risk amount, divided by the same per unit risk, gives the same share quantity. What larger capital makes clear is a further constraint. A futures or options position can only be built in whole lots. The risk based quantity a bigger capital produces is not a lot multiple.
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Margin is the amount an exchange requires against an open trade. The exchange’s own risk model computes it, not this site. This page can explain how it works, not the figure. Margin scales with the notional exposure a trade controls. Trades that offset each other’s directional risk are often margined together for less than the sum of margining each one alone.
Frequently Asked Questions
What are these pages for?
Each one defines a single term used on this site. It states what the term is, the formula it comes from, and a worked example on stated inputs. They are reference pages, not a course and not a recommendation.
Where do the example numbers come from?
Every worked example is computed at build time. The same code runs the calculators and the daily data pages on this site, using the inputs printed beside it. Where a topic has no such computation behind it, the example is labelled as illustrative on the page itself.
Do these pages say what to do?
No. Each page states what a number is and how it is computed. It also carries its own section on what that number does not say. What to do with it is not addressed on any page of this site.