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 Algorithm is our proprietary option pricing architecture developed after years of live derivatives market study. The model processes option chain structure, Open Interest (OI) dynamics, implied volatility shifts, and strike-level liquidity behavior to detect statistically meaningful fair-value deviations across the option surface.
By integrating skew behavior, term structure distortion, premium imbalance, and market maker positioning, NCP40 identifies where risk may be underpriced or overstated. The framework is designed to capture real-world microstructure effects that traditional volatility-only models often miss.
The GammaGrid Option Engine is built directly on the Modulus NCP40 core architecture, delivering risk-adjusted synthetic valuations and Market Maker Risk (MMR) insights through a structured and access-controlled web platform.
Experience the live implementation at gammagrid.lynqverse.com ↗ .