No more black-box pricing. Sigma brings the same options analytics framework used by institutional market makers — directly to the Indian retail derivatives trader.
SEBI's September 2024 report: aggregate retail losses exceeded ₹1.8 lakh crore in FY22–FY24. Fair pricing has been invisible. Until now.
Retail traders see traded prices — but the model-based fair value, derived from an arbitrage-free volatility surface, is completely hidden from them.
Every platform is built for trade entry and strategy building. Once in a trade, there is no live risk management, P&L attribution, or monitoring for retail users.
Traders cannot separate what moved their position: was it spot? Time decay? A vol level shift? Skew? Without attribution, every loss is a mystery.
Institutional desks have pricing models, vol surfaces, scenario engines, and attribution tools. Retail traders have payoff diagrams and intuition.
Sigma Wealth Analytix was built to close a single, critical gap: institutional options desks have continuously calibrated volatility surfaces, stochastic pricing engines, and full P&L attribution. Indian retail traders have payoff diagrams and intuition. We fix that.
No retail platform in India exposes continuously calibrated, model-based fair value from a live vol surface in real time. Sigma does. Every price is explained, not just displayed.
Post-entry P&L decomposition across all risk factors: spot, time, vol level, skew, curvature, correlation. Retail traders can finally answer why their position moved — quantitatively.
Sub-second surface recalibration and risk refresh. Stale analytics in fast-moving options markets are nearly as dangerous as no analytics. Sigma stays live throughout the trade.
From fully hedged and risk-averse to directional and leveraged — every structure is quantitatively controlled. Traders manage risk to their appetite, not their intuition.
Highly optimised compute architecture enables full cutting-edge analytics at the price of a cup of coffee per month. The moat is the engine, not the hardware — enabling huge reach across retail India.
Built for Nifty/BankNifty structure: protective put demand, weekly expiry vol crush, Budget/RBI/Fed event vol spikes — all handled correctly by the stochastic vol engine.
The same class of models used by the world's largest derivatives desks. A continuous volatility surface calibrated live from market bid/ask — not isolated IV data points from individual options.
Volatility is modelled as a random process — it rises, falls, mean-reverts. This matches how markets actually behave. Produces a coherent vol surface across all strikes and expiries simultaneously.
Not disconnected implied vols — a continuous, arbitrage-free valuation surface. Every point is internally consistent. No calendar spreads or butterfly spreads can be arbitraged.
The surface is recalibrated in under one second from live NSE bid/ask data. Fair value, Greeks, scenarios, and attribution all stay current as markets move.
P&L decomposed into Vol Level, Slope, Curvature, Correlation — surface-aware Greeks that account for how vol moves as spot moves. Impossible under Black-Scholes.
Institutional desks abandoned Black-Scholes for live trading decades ago. Sigma brings that same evolution to Indian retail options traders.
| Capability | Black-Scholes (Retail Today) | Sigma Analytix |
|---|---|---|
| Volatility Model | Constant vol assumption — wrong by design | Stochastic vol — matches real market dynamics |
| Volatility Surface | One IV per option, disconnected | Continuous arbitrage-free surface across all strikes and expiries |
| Greeks Accuracy | Ignore vol surface movement — dangerous for Gamma, Vanna, Volga | Surface-aware Greeks — accurate Gamma, Vanna, Volga |
| Skew and Term Structure | Systematic mispricing on OTM puts | Correct pricing of smile, skew, and term structure |
| P&L Attribution | Impossible — guesswork at best | Full decomposition: level, slope, curvature, correl |
| OTM Put Pricing (Nifty) | Systematic underpricing due to constant vol | Correctly priced via stochastic skew |
| Institutional Standard | Abandoned by major desks decades ago | Same framework as institutional market makers |
One unified platform. Every screen driven by the same mathematically consistent valuation framework.
Live decomposition into Delta, Gamma, Theta, VolLevel, VolSlope, VolCurvature, Correl, VolShift. Know exactly what moved your position — in real time, quantitatively.
ExploreMulti-factor forward analysis: spot, vol structure, and time evolve together — not isolated one-factor bumps. NPV and P&L grids at two user-defined horizons.
ExploreQ-measure expiry distribution from the live implied surface. P(ITM), P(Profit), E[Profit|Profit], E[Loss|Loss] and P(Range) per strike — live, not approximated.
ExploreBuild and monitor hedges in real time. Live NPV, Greeks, and market moves per expiry. Fully consistent with all other screens — same unified engine, no inconsistencies.
ExploreCross-strike, cross-expiry scan: Bid, Ask, NPV, and spreads for every instrument. Instantly surfaces actionable pricing opportunities as they appear in the market.
ExploreFull mathematical audit for any option: forward, Greeks, SVI vectors, spot bumps, vol bumps. Complete pricing transparency — every number provable, no black boxes.
ExploreRisk-neutral valuation converts opinion-heavy trading into market-implied mathematics. It strips out subjective views and returns the arbitrage-free price that rational agents collectively imply.
The gap between ₹127 and ₹114 is the actionable valuation insight — directional and measurable.
A 70% probability of profit is meaningless if you're overpaying for it. Risk-neutral pricing answers the critical question: are you paying a fair price for that probability? Without this, high-probability trades can still be negative expected value.
Even if you disagree with the model, knowing risk-neutral fair value tells you exactly how far the market has deviated — and in which direction. That deviation is directionally actionable. It is the edge.
Every major derivatives desk globally prices in the risk-neutral framework. It is the universal standard. Sigma brings this cutting-edge analytical anchor to the retail trader — for the first time in the Indian market.
Black-Scholes assumes constant volatility — the market immediately rejects this (the volatility smile exists). Sigma uses a parameterised stochastic vol engine that produces a continuous, arbitrage-free valuation surface.
OTM puts are structurally expensive due to institutional hedging demand. BS sees constant vol and misses this entirely. Stochastic vol captures put skew explicitly.
BS systematically underprices OTM puts on NiftyNear-expiry options experience rapid vol collapse — especially in weekly contracts. BS has no mechanism to model this. Stochastic vol mean-reversion handles it correctly.
BS overvalues near-expiry optionsBudget, RBI policy, US Fed events cause discrete vol jumps that BS cannot anticipate. Stochastic vol with jump components handles these realistically.
BS leaves traders exposed through eventsReal-time NSE bid/ask data feeds directly into the Sigma engine for all liquid F&O instruments.
The stochastic vol surface is calibrated in under one second — arbitrage-free, strike and expiry consistent.
Every option receives a risk-neutral fair value derived from the calibrated surface. No opinions.
P&L decomposed into specific risk factors. You see exactly why your position moved and what to do next.
Continuous arbitrage-free surface across all strikes and expiries — not isolated implied vols.
Accurate Gamma, Vanna, Volga accounting for how the surface moves as spot moves.
Decompose P&L into Vol Level, Slope, Curvature, and Correlation contributions.
All indices and stocks with liquid F&O are supported — not limited to a fixed set.
Accurate time decay to the business day with full NSE holiday calendar awareness.
Cross-strike, cross-expiry scan surfaces actionable pricing opportunities in real time.
Full mathematical audit for any option — every number provable, zero black boxes.
Build and monitor multi-leg hedges with live NPV, Greeks, and consistent valuation.
Black-Scholes cannot separate what moved your position. Sigma decomposes every rupee of P&L into its source — live, per option, per position.
Spot move contribution — how much your P&L came from the underlying moving, and how much from the curvature of that move.
Accurate time decay to the business day. Not a naive clock subtraction — full NSE holiday calendar and IST market hours built in.
Full decomposition of vol surface movement: how much came from a parallel shift, from skew rotation, and from wing movements.
For multi-leg positions, correlation between underlying movements contributes measurably. Sigma surfaces this contribution explicitly.
Without P&L attribution, you see only +₹2,390 and don't know that theta cost you ₹1,220 or that vol level contributed ₹890 — making tomorrow's decision far less informed.
Full surface coverage with strong put skew handling and weekly expiry vol crush
Event-aware calibration for RBI policy dates and high vol regime transitions
Consistent stochastic vol framework extended across sector index options
All liquid stock options with idiosyncratic vol surface calibration per name
Risk-neutral valuation converts opinion-heavy trading into market-implied mathematics. The Sigma engine is built on these foundations — no guesswork, no black boxes, every number provable.
"A fool knows the price of everything and the value of nothing."— Oscar Wilde, Lady Windermere's Fan (1892) · popularised in finance by Aswath Damodaran
Risk-neutral pricing converts opinion-heavy trading into market-implied mathematics — creating fair value, arbitrage consistency, and probability in one comparable framework.
Nifty options have specific structural features — protective put demand, expiry vol crush, event spikes — that Black-Scholes systematically misprices. Stochastic vol handles all three.
SEBI's September 2024 data shows ₹1.8 lakh crore in aggregate retail losses. The gap between institutional and retail tools is the primary root cause.
Under the risk-neutral measure, every asset grows at the risk-free rate. The model strips out subjective views — returning the arbitrage-free price the collective market implies.
A continuous, arbitrage-aware valuation layer across all strikes and expiries. The surface turns scattered quotes into a tradable, coherent structure — not disconnected IVs.
The surface is calibrated continuously from live NSE bid/ask data. Sub-second recalibration means fair value stays current as markets move — not a static morning snapshot.
P&L is decomposed into Vol Level, Vol Slope, Vol Curvature, and Correlation components. Impossible under Black-Scholes. Standard practice at cutting-edge institutional desks — now at retail.
Knowing risk-neutral fair value tells you exactly how far the market has deviated — and in which direction. That deviation is directionally actionable. It is the edge.
Get your first 2 months free — pay just ₹99 for 3 months upfront. Then ₹99/month after that.
Sigma uses a continuously calibrated stochastic volatility surface — the same class of models used by institutional market makers. Other retail platforms use static or manually updated Black-Scholes IVs. The difference is a live, arbitrage-free valuation map versus a collection of disconnected numbers.
Risk-neutral valuation prices options by discounting payoffs under the market-implied measure — not your personal forecast. It strips out subjective views and returns the arbitrage-free price that rational agents collectively imply. It is the universal institutional pricing standard globally.
Black-Scholes assumes constant volatility across all strikes and expiries — the market immediately shows this is wrong (the volatility smile exists). It systematically misprices Nifty OTM puts, near-expiry options, and cannot handle event vol spikes. Stochastic vol addresses all of these structurally.
P&L Attribution decomposes your position's daily P&L into specific sources: how much came from delta (spot move), gamma, theta (time decay), vol level change, vol slope (skew shift), vol curvature, and correlation. You stop guessing why your position moved and start knowing precisely.
The entire stochastic vol surface — calibrated across all live strikes and expiries — is refreshed in under one second. This means fair value, Greeks, scenarios, and attribution all stay current with the live market throughout the trading day, not the state it was in at open.
Sigma is designed for traders who take options seriously. The platform is built to be transparent rather than opaque: every number is explainable, every metric is labelled, and the AI Chatbot guides you through the platform's capabilities. The first 2 months are free — pay just ₹99 for 3 months upfront.
Sigma partners with brokerages, prop desks, and distribution platforms on a profit-sharing model. Partners bring data infrastructure and user distribution; Sigma brings the analytics engine, platform IP, and full deployment stack. Enables huge reach across India's growing retail derivatives community. Reach out via the contact form for partnership discussions.
Yes. The free trial gives complete access to the entire Sigma platform — stochastic vol surface, P&L attribution, scenario analysis, hedging calculator, spread screener, and all seven Greeks — for the first two months. No feature is locked or limited. Simply pay ₹99 upfront for 3 months; the first 2 are free, then ₹99/month thereafter.
We welcome the opportunity to present a live demonstration of the Sigma engine. Interested brokerages and distribution partners can reach out for a partnership discussion.
Institutional & Distribution Partners:
Sigma brings Platform IP, analytics engine, and full deployment stack built over 5 years of cutting-edge quant development. We are seeking distribution access to retail derivatives users and live market data infrastructure. Profit-sharing model available. Enables huge reach across India's growing F&O trader base.
Cutting-edge intelligence at your fingertips. Ask me anything about options analytics, our valuation framework, or navigate the platform.