Advanced Quantitative Data Analytics Lab
LynqVerse Research conducts a systematic study of end-of-day NIFTY50 option chains and volatility surfaces, emphasizing Open Interest dynamics, Implied Volatility term structures, and skew evolution. Through quantitative modeling, we isolate institutional hedging pressures and infer directional bias, producing probability-weighted signals grounded in rigorous option market research. Founded by Anupam Dutta.
Our Focus
We conduct a systematic study of end-of-day NIFTY50 option chains, focusing on changes in Open Interest (OI) across strikes and expiries, shifts in Implied Volatility (IV) surfaces, and patterns in option premiums. By analyzing how OI builds up or unwinds in calls versus puts and how IV skews evolve, we extract signals of institutional hedging pressure and potential directional bias.
This framework allows us to quantify whether large participants are positioning defensively through protective puts, aggressively through call writing, or signaling volatility expectations through changes in the term structure and the smile of implied volatility.
Our Discipline
We do not rely on unavailable raw trade or proprietary feeds from exchanges. Instead, our methodology is grounded in the analysis of volatility dislocations, implied volatility skew, and term structure shifts as measurable proxies for institutional activity.
By examining how Open Interest aligns with changes in Implied Volatility across strikes and maturities, we build a disciplined framework to infer whether market participants are hedging risk, supplying liquidity, or expressing directional conviction through option structures.
Modulus NCP40 Algorithm
The Modulus NCP40 is our proprietary quantitative engine that processes end-of-day option chain and volatility surface data to detect statistically significant fair-value dislocations across strikes and expiries. By integrating Open Interest (OI) dynamics with Implied Volatility (IV) surface shifts, NCP40 systematically identifies where option markets may be mispricing risk.
The framework incorporates skew analysis, term structure modeling, and premium decay projections to generate probability-weighted insights. These signals highlight whether institutional participants are hedging, accumulating directional exposure, or supplying liquidity.
Exclusive access to the NCP40 engine is available through ncp40.lynqverse.com ↗ .
RSEDAO Framework
The Regime-Switching Exponential Operators (RSEDAO) framework is designed to construct synthetic option surfaces from end-of-day market data. Unlike traditional stochastic models, RSEDAO applies a deterministic regime-switching process that adapts to volatility clustering and non-linear shifts in the derivatives market.
By calibrating strike-level valuations through exponential operators, the framework captures volatility skew, convexity effects, and surface dislocations. This allows for consistent estimation of fair value across the option chain, even when liquidity is fragmented or when implied volatility data is sparse.
RSEDAO serves as a robust complement to our NCP40 engine, providing an independent lens for identifying hedging imbalances, directional conviction, and systematic mispricing in NIFTY50 option markets.
Explore more at Project RSEDAO ↗ .