What is Vega Divergence?

Vega Divergence is an advanced options analysis tool that tracks the difference between Call Vega and Put Vega over time. Vega measures how sensitive an option's price is to changes in implied volatility.

When Call Vega and Put Vega diverge significantly, it indicates that market participants expect different volatility levels for upside versus downside moves, which can signal potential market direction or hedging activity.

Screen overview

1Live Status Indicator

Shows that the displayed data is real-time market data and is being continuously refreshed. The timer displays the time elapsed since the last data update, ensuring you're viewing the most current vega divergence information.

2Last Updated Time

Displays the exact timestamp when the vega divergence data was last refreshed. This helps you verify the recency of the analysis and make informed decisions based on current market volatility conditions.

Historical Data

Allows you to select a past date to view historical vega divergence data for that specific trading day.

When a historical date is selected, all charts and metrics update to show how Call Vega vs Put Vega behaved during that day, helping you understand past volatility expectations and market sentiment.

This feature is valuable for backtesting strategies, analyzing how vega divergence correlated with price movements, and identifying patterns that repeat across different market conditions.

Header Controls

1Index Tools Dropdown

Allows users to select the type of analysis they want to view, such as Vega Divergence, Call OI vs Put OI, or build-up and unwinding. Once selected, the charts and data update accordingly.

2Symbol Selection Dropdown

Lets users choose the market index or symbol (e.g., NIFTY 50, BANK NIFTY, FINNIFTY). Selecting a different symbol updates the vega divergence data to show information specific to that index.

3Expiry Date Dropdown

Opens a list of available expiry dates. By selecting a different expiry date, users can view vega divergence data for that specific expiry, making it useful for historical and comparative analysis.

Strike Price & Interval Controls

4Start Strike Price Dropdown

Allows users to select the starting strike price for the vega analysis range. The data and charts will begin calculating Call Vega vs Put Vega from this selected strike price.

5End Strike Price Dropdown

Used to select the ending strike price for the vega analysis. Together with the start strike, it defines the complete strike price range included in the vega divergence calculation.

6Interval Selection Dropdown

Lets users choose the time interval (such as 1 min, 5 min, 15 min, or 30 min) for vega data calculation. A smaller interval shows more frequent vega changes, while a larger interval provides a smoother view of vega divergence trends.

Column/Download

1Columns Selection

Allows users to customize table columns by enabling or disabling specific data fields such as Call Vega, Put Vega, Vega Divergence, Strike Price, and timestamps based on their analysis needs.

2Download Options

Lets users export the vega divergence data in various formats:

• CSV: Download raw data for Excel analysis
• PDF: Generate formatted reports with charts
• Excel: Export with formatting for spreadsheet applications

Exported data includes timestamps, Call Vega, Put Vega, Vega Divergence values, and underlying price at each interval.

Time & Price Data

1Time Column

Displays the timestamp for each data point, showing when the vega values were recorded during the trading session.

2LTP (Last Traded Price)

Shows the underlying asset's price at each timestamp, helping correlate price movements with vega changes.

Vega Analysis Columns

3PE Vega (Put Vega)

PE Vega represents the total vega of Put options within the selected strike range.

• Shows sensitivity of put option prices to volatility changes
• If PE Vega increases → Higher volatility expectations on downside
• If PE Vega decreases → Reduced volatility expectations or position unwinding
• Red ↓ indicates reduction in Put Vega
• Green ↑ indicates increase in Put Vega

4CE Vega (Call Vega)

CE Vega represents the total vega of Call options within the same strike range.

• Shows sensitivity of call option prices to volatility changes
• If CE Vega increases → Higher volatility expectations on upside
• If CE Vega decreases → Call positions being closed or reduced volatility
• Red ↓ means reduction in Call Vega
• Green ↑ means increase in Call Vega

5Difference (CE Vega - PE Vega)

This column shows the vega divergence between Call and Put options.

• Formula: CE Vega - PE Vega
• Negative value → Put Vega is higher (bearish volatility bias)
• Positive value → Call Vega is higher (bullish volatility bias)
• Helps identify directional volatility expectations in the market

PCR & Max Pain Analysis

6PCR

Put–Call Ratio (PCR) is a market sentiment indicator that compares how many put options are being traded (or are open) to how many call options are being traded (or are open) for the same index or stock. It tells you whether traders, as a group, are more focused on protection/downside (puts) or on upside (calls).

What PCR Values Mean?

7Intraday PCR

Measures the ratio of today's put option activity to today's call option activity within the trading day. Usually calculated using today's traded volume (or today's change in OI) of puts divided by today's traded volume (or change in OI) of calls for that day. It tells you what traders are doing right now during the session, not what they have built over many days.

Formula and Difference from Normal PCR

Normal PCR uses total PE OI ÷ total CE OI for that expiry and range.

Intraday PCR uses today's fresh build-up or volume in PE ÷ today's fresh build-up or volume in CE for the same period.

So:

If Intraday PCR is very high, it means that today more puts are being added or traded than calls, showing strong fear/bearish hedging intraday (often a contrarian bullish hint if extreme).

If Intraday PCR is very low, it means today traders are aggressively taking call positions compared to puts, showing intraday bullishness that can become over-optimistic at extremes.

8Max Pain

The strike price at which option buyers (calls + puts together) would lose the most money at expiry, and option sellers would gain the most.

• If max pain is below the current LTP, it is shown in red (price trading above the max‑pain level).
• If max pain is above the current LTP, it is shown in green (price trading below the max‑pain level).