---
title: "Derivatives and Quant: Free F&O Course | RupeeCase Learn"
description: "Free derivatives and quant course from Indian data: futures, options, Greeks, option chain, IV, spreads, hedging, arbitrage and algo rules. Dated NSE examples."
source_url: "https://www.rupeecase.com/learn/derivatives"
---

[RupeeCase Learn](/learn/)/Pillar guide/115 modules, 8 paths

# Derivatives and quant, taught from Indian data.

    I spent years on derivatives, algo and HFT desks. Here is what I would teach a friend before their first trade. Futures, options, the chain, Greeks, volatility, spreads, hedges, arbitrage and algos. Every example is a dated NSE end of day file, at least 30 days old. No tips, no calls, no "levels for today". 115 free modules live now in paths 12 to 19.

* **115**modules live
* **8**paths
* **130**questions answered
* **1087 min**of reading

    [Sign up for RupeeCase](https://invest.rupeecase.com/signup)[Start with 12.1](/learn/path-12/module-12-1-why-derivatives-exist)[Every question, answered](/learn/questions/)

## Before you trade, read SEBI's own numbers.

    Every derivatives module carries this line, because it is the most useful fact in Indian derivatives. What these paths will not do: no tips, no trading calls, no "levels for today", no strikes to trade. If a page ever reads like that, it is a bug and I want to hear about it.

    Rs 91,685 crore
net loss of individual traders in FY26
SEBI, August 2026

About 92%
of those losses came from options
SEBI, August 2026

0.5%
of traders active in all five years from FY22 to FY26 made a profit every year
SEBI, August 2026

    Close to 9 in 10 individual F&O traders made a net loss in each of the last three years

Share of individual traders in equity F&O with a net loss, by financial year. FY25 is SEBI's revised figure. Source: SEBI, Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26). As of 20 Aug 2026.

  Read one more paragraph, 37 wordsEvery lesson in these paths uses NSE end of day files at least 30 days old, dated under each chart. Nothing here is live, and nothing says where an index goes next. [The SEBI study, August 2026](https://www.sebi.gov.in/reports-and-statistics/research/aug-2026/study-profitability-of-individual-traders-in-the-equity-derivatives-segment-fy25-fy26-_103835.html)

## The rules and the contracts

    A future and an option are contracts with a lot size, an expiry day and a margin, and each line of that specification changes what a trade costs and how it can go wrong. These two paths start from what SEBI and NSE publish, and from what SEBI found when it counted who made money.

    [12.1Why derivatives exist: forwards, futures and options in one story8 min](/learn/path-12/module-12-1-why-derivatives-exist)[12.2India's F&O market map: exchanges, clearing, SEBI and who trades8 min](/learn/path-12/module-12-2-india-fo-market-map)[12.3Read SEBI's loss studies before your first trade8 min](/learn/path-12/module-12-3-sebi-fo-loss-studies)[12.4Contract specs that matter now: lots, expiry days, strikes and settlement9 min](/learn/path-12/module-12-4-contract-specs-lots-and-expiries)[12.5Margins without jargon: SPAN, exposure, expiry day margin and upfront premium8 min](/learn/path-12/module-12-5-fo-margins-explained)[12.6The real cost of a trade: STT, exchange fees, SEBI fee, GST and stamp duty7 min](/learn/path-12/module-12-6-cost-of-an-fo-trade)[12.7Position sizing and risk of ruin for F&O beginners8 min](/learn/path-12/module-12-7-position-sizing-and-risk-of-ruin)[12.8Red flags in F&O: tip groups, too good claims and registration checks7 min](/learn/path-12/module-12-8-fo-red-flags)[12.9Behaviour in F&O: loss chasing and what SEBI's behaviour study found9 min](/learn/path-12/module-12-9-fo-trading-behaviour)[13.1Futures explained: long, short, leverage and daily mark to market8 min](/learn/path-13/module-13-1-futures-basics-mark-to-market)[13.2Why futures trade above spot: basis, carry and convergence8 min](/learn/path-13/module-13-2-futures-basis-and-carry)[13.3Open interest, volume and the four build up patterns7 min](/learn/path-13/module-13-3-open-interest-and-build-ups)[13.4Rollover: when, why and what it costs8 min](/learn/path-13/module-13-4-futures-rollover)[13.5Fair value of Nifty futures with dividends9 min](/learn/path-13/module-13-5-nifty-futures-fair-value)[13.6Futures calendar spreads and roll yield9 min](/learn/path-13/module-13-6-futures-calendar-spreads)[13.7Hedging with futures: beta, hedge ratio and lots9 min](/learn/path-13/module-13-7-hedging-with-futures)
What these 16 modules cover
* **12.1 Why derivatives exist: forwards, futures and options in one story**: A price fixed today for a trade later. Three versions of the same promise, and what each one adds.
* **12.2 India's F&O market map: exchanges, clearing, SEBI and who trades**: SEBI, the exchanges, the clearing corporations and your broker, and which categories of traders sit on each side of the market.
* **12.3 Read SEBI's loss studies before your first trade**: Two SEBI studies of the same traders, one on the money and one on behaviour. Who is counted, what is measured, and what the numbers cannot tell you.
* **12.4 Contract specs that matter now: lots, expiry days, strikes and settlement**: Lot, expiry day, strikes, tick and settlement: what each means, what changed since 2024, and how to check a date before you trust a number.
* **12.5 Margins without jargon: SPAN, exposure, expiry day margin and upfront premium**: What the exchange holds against a position, layer by layer, and why the margin on a broker screen is the least capital a trade needs, not the most it can cost.
* **12.6 The real cost of a trade: STT, exchange fees, SEBI fee, GST and stamp duty**: Five collectors sit on every round trip. Which charge is large, which are not, and what a round trip costs before any profit.
* **12.7 Position sizing and risk of ruin for F&O beginners**: Size is the one input a trader sets alone. How it turns a small edge into ruin or a small loss into a slow bleed, and why a lot is a block.
* **12.8 Red flags in F&O: tip groups, too good claims and registration checks**: Who is speaking, what is promised, what is attached, who is paid and whether it can be checked, using SEBI's own rules and one dated chain.
* **12.9 Behaviour in F&O: loss chasing and what SEBI's behaviour study found**: Who kept trading after a loss, who lost again, and what a bigger stake does to the odds of ruin.
* **13.1 Futures explained: long, short, leverage and daily mark to market**: A future is settled in cash every evening, not at the end. One lot of Nifty, followed through a real ledger.
* **13.2 Why futures trade above spot: basis, carry and convergence**: The premium on a future is mostly interest, less dividends, and it melts to zero at expiry. It is a schedule, not a forecast.
* **13.3 Open interest, volume and the four build up patterns**: Open interest counts what stays open. Volume counts what traded. Four labels come from them, and the roll can fake an exit.
* **13.4 Rollover: when, why and what it costs**: A future ends on a set date. A roll keeps the exposure alive, in two trades, and the gap between the two prices is its main cost.
* **13.5 Fair value of Nifty futures with dividends**: A futures premium is interest less dividends. Solve for the dividends and you see how much of the price is a plug.
* **13.6 Futures calendar spreads and roll yield**: A roll is a calendar spread that closes one leg as it opens the next, and its price is carry for the days between expiries.
* **13.7 Hedging with futures: beta, hedge ratio and lots**: Lots are value times beta over one lot, and every hedge leaks through the basis, rounding, beta and the stocks themselves.

  Read 2 more paragraphs, 57 words[Path 12, Derivatives Basics and Rules](/learn/path-12/): Why futures and options exist, who trades them in India, contract specifications, margins, costs, SEBI's loss studies, tax and the red flags.

[Path 13, Futures](/learn/path-13/): Futures P&L and mark to market, basis and cost of carry, open interest build ups, rollover, fair value and hedging a portfolio with futures.

## Options, the chain and volatility

    An option premium is a price for time and for uncertainty. These paths take the premium apart, read a dated NSE chain column by column, and measure volatility the way the market prices it, so a chart is never read as a forecast.

    [14.1The call option, told as a story8 min](/learn/path-14/module-14-1-call-option-explained)[14.2The put option, told as a story8 min](/learn/path-14/module-14-2-put-option-explained)[14.3Buyer or seller: payoffs, margin, win rate and expectancy9 min](/learn/path-14/module-14-3-option-buyer-vs-seller)[14.4Moneyness, intrinsic value and time value8 min](/learn/path-14/module-14-4-moneyness-intrinsic-and-time-value)[14.5Five things that move an option's price8 min](/learn/path-14/module-14-5-what-moves-an-option-price)[14.6Expiry and settlement: cash, physical, exercise and STT8 min](/learn/path-14/module-14-6-expiry-and-settlement)[14.7Delta: speed, hedge ratio and the probability shortcut8 min](/learn/path-14/module-14-7-delta)[14.8Theta: the time decay curve into expiry7 min](/learn/path-14/module-14-8-theta-time-decay)[14.9From a binomial tree to Black Scholes and Black 769 min](/learn/path-14/module-14-9-binomial-tree-to-black-76)[14.10Put call parity and synthetic positions9 min](/learn/path-14/module-14-10-put-call-parity)[14.11Gamma: why it grows so fast near expiry8 min](/learn/path-14/module-14-11-gamma)[14.12Vega: volatility exposure across weekly and monthly expiries9 min](/learn/path-14/module-14-12-vega)[14.13Rho and interest rates in Indian options8 min](/learn/path-14/module-14-13-rho)[14.14Position Greeks for multi leg strategies9 min](/learn/path-14/module-14-14-position-greeks)[14.15Dynamic delta hedging and the P&L identity10 min](/learn/path-14/module-14-15-delta-hedging)[14.16Gamma scalping10 min](/learn/path-14/module-14-16-gamma-scalping)[14.17Second order Greeks: vanna, volga, charm, speed and colour13 min](/learn/path-14/module-14-17-second-order-greeks)[15.1Reading the NSE option chain, column by column8 min](/learn/path-15/module-15-1-reading-the-nse-option-chain)[15.2OI and change in OI on the chain: what they can and cannot tell you8 min](/learn/path-15/module-15-2-open-interest-on-the-option-chain)[15.3Put call ratio: definitions and what the evidence says7 min](/learn/path-15/module-15-3-put-call-ratio)[15.4Max pain: the calculation and a Nifty test7 min](/learn/path-15/module-15-4-max-pain)[15.5Liquidity in the chain: spreads, volume and tradable strikes9 min](/learn/path-15/module-15-5-option-chain-liquidity)[15.6Participant wise OI and FII derivatives data, read honestly8 min](/learn/path-15/module-15-6-participant-wise-open-interest)[15.7Expected move from the straddle and from IV9 min](/learn/path-15/module-15-7-expected-move)[15.8Who is on the other side in India10 min](/learn/path-15/module-15-8-who-is-on-the-other-side)[15.9Gamma exposure: the computation and its assumptions10 min](/learn/path-15/module-15-9-gamma-exposure-gex)[15.10Zero gamma, call wall and put wall10 min](/learn/path-15/module-15-10-zero-gamma-and-walls)[15.11Pinning and max OI strikes: the evidence10 min](/learn/path-15/module-15-11-pinning-and-max-oi-strikes)[15.12Vanna and charm flows around expiries and events12 min](/learn/path-15/module-15-12-vanna-and-charm-flows)[15.13An Indian positioning model and its limits11 min](/learn/path-15/module-15-13-indian-positioning-model)[16.1Volatility: historical against implied7 min](/learn/path-16/module-16-1-historical-vs-implied-volatility)[16.2India VIX for beginners: what it measures and what it does not8 min](/learn/path-16/module-16-2-india-vix-explained)[16.3Solving for implied volatility9 min](/learn/path-16/module-16-3-solving-for-implied-volatility)[16.4IV rank and IV percentile, done properly9 min](/learn/path-16/module-16-4-iv-rank-and-iv-percentile)[16.5Measuring realised volatility: four estimators9 min](/learn/path-16/module-16-5-realised-volatility-estimators)[16.6Events and IV crush: results, Budget, RBI and elections9 min](/learn/path-16/module-16-6-iv-crush-around-events)[16.7Smile and skew: a first look at Nifty and stocks8 min](/learn/path-16/module-16-7-volatility-smile-and-skew)[16.8Skew measures: risk reversal, butterfly and slope10 min](/learn/path-16/module-16-8-skew-measures)[16.9Term structure and event variance10 min](/learn/path-16/module-16-9-term-structure-and-event-variance)[16.10Forward volatility from two expiries10 min](/learn/path-16/module-16-10-forward-volatility)[16.11India VIX rebuilt step by step10 min](/learn/path-16/module-16-11-india-vix-rebuilt)[16.12Forecasting volatility: EWMA, GARCH and HAR11 min](/learn/path-16/module-16-12-forecasting-volatility)[16.13The variance risk premium in Nifty10 min](/learn/path-16/module-16-13-variance-risk-premium)[16.14Variance swaps and replication13 min](/learn/path-16/module-16-14-variance-swaps)[16.15Volatility surface models: SVI, SABR, local and stochastic vol13 min](/learn/path-16/module-16-15-volatility-surface-models)[16.16Skew dynamics: sticky strike against sticky delta13 min](/learn/path-16/module-16-16-skew-dynamics)
What these 46 modules cover
* **14.1 The call option, told as a story**: A call is a right to buy, paid for with a premium. What it costs, what it needs and what it pays, on one dated Nifty week.
* **14.2 The put option, told as a story**: A put is a right to sell, paid for with a premium. What it costs, what it needs and what it pays, and the six positions that make up F&O.
* **14.3 Buyer or seller: payoffs, margin, win rate and expectancy**: One Nifty call, two accounts: who can lose more than the premium, what margin each side posts, and why winning often is not the same as making money.
* **14.4 Moneyness, intrinsic value and time value**: Every option price is intrinsic value plus time value. Split it, and ITM, ATM and OTM stop being jargon.
* **14.5 Five things that move an option's price**: Why a call can fall on a day Nifty rises. Five dials move an option's price, and the index is only one of them.
* **14.6 Expiry and settlement: cash, physical, exercise and STT**: At expiry an index option is a subtraction and a cash payment. A stock contract is a delivery. What each costs, and what in the money really means.
* **14.7 Delta: speed, hedge ratio and the probability shortcut**: What delta says about an option's speed, how many units of the future it behaves like, and why it is not a chance of profit.
* **14.8 Theta: the time decay curve into expiry**: A day of decay is not a fixed fee. It is a curve that is slow with weeks left and steep on the last day.
* **14.9 From a binomial tree to Black Scholes and Black 76**: An option price is an average of payoffs, set by five inputs. Four are on the screen and the fifth, volatility, is solved from the price.
* **14.10 Put call parity and synthetic positions**: A bought call and a sold put pay what a future pays. That one fact lets every strike on the chain check the future.
* **14.11 Gamma: why it grows so fast near expiry**: Gamma is how fast delta changes. It is small with weeks left and large with a day left, and it is paid for in theta.
* **14.12 Vega: volatility exposure across weekly and monthly expiries**: Vega converts a change in implied volatility to rupees. It grows with time, and the volatility itself moves differently by expiry.
* **14.13 Rho and interest rates in Indian options**: Rho is the rate Greek. On Nifty options the sign depends on what you hold fixed, and the size is small next to vega.
* **14.14 Position Greeks for multi leg strategies**: Add the Greeks of the legs, with sign and units, and a multi leg trade turns into four numbers that say what it is exposed to.
* **14.15 Dynamic delta hedging and the P&L identity**: A hedged option earns the gap between the move that happened and the move that was priced. The direction drops out.
* **14.16 Gamma scalping**: A gamma scalper buys the days when the index moves more than priced and pays theta for the rest. The edge is not automatic.
* **14.17 Second order Greeks: vanna, volga, charm, speed and colour**: Delta, gamma, vega and theta are first drafts. Vanna, volga, charm, speed and colour say how they change. On a dated chain, each has a place where it matters.
* **15.1 Reading the NSE option chain, column by column**: Strike in the middle, calls on one side, puts on the other. What each number counts, and what it does not.
* **15.2 OI and change in OI on the chain: what they can and cannot tell you**: One pair of contracts, one buyer and one seller. What the open interest columns count, and what they cannot tell you.
* **15.3 Put call ratio: definitions and what the evidence says**: Puts divided by calls sounds like one number. On one evening the Nifty chains gave six. What the ratio counts, and what it cannot see.
* **15.4 Max pain: the calculation and a Nifty test**: A sum over the chain that picks one strike. How it works, and a test against the plainest forecast there is.
* **15.5 Liquidity in the chain: spreads, volume and tradable strikes**: Every row has a price. Not every row has a market. Three checks on volume, open interest and tick size.
* **15.6 Participant wise OI and FII derivatives data, read honestly**: Four groups, long and short contracts, and a ledger that must balance. What the FII ratio shows, and what it cannot.
* **15.7 Expected move from the straddle and from IV**: Two routes to one range, and what the range does not say.
* **15.8 Who is on the other side in India**: Every option has a seller. NSE publishes four groups and a ledger, and a sign for gamma exposure needs more than that.
* **15.9 Gamma exposure: the computation and its assumptions**: The arithmetic of GEX is exact. The sign is assumed. The same chain gives a small positive total, a large negative one, or a small positive one.
* **15.10 Zero gamma, call wall and put wall**: A line on a GEX chart looks like a level. Here is how it is found, why it moves by hundreds of points, and whether a wall held.
* **15.11 Pinning and max OI strikes: the evidence**: One expiry day looked like a pin. Three tests ask whether it was a pattern, and what a fair verdict would need.
* **15.12 Vanna and charm flows around expiries and events**: The size of a vanna or charm flow is arithmetic on a chain. Its direction rests on who holds the option, and no NSE file says.
* **15.13 An Indian positioning model and its limits**: NSE participant data is the one public input on who holds what, and only by group. It has no strike, no expiry and pools every index, so the answer still depends on assumptions.
* **16.1 Volatility: historical against implied**: Two numbers called volatility, one from past returns and one from a price. What each measures, and why they differ.
* **16.2 India VIX for beginners: what it measures and what it does not**: A thirty day price of movement, quoted as a yearly percentage. How to turn it into a range, and why it never tells you which way.
* **16.3 Solving for implied volatility**: The option price is known and the volatility is the unknown. How a solver finds it, where it fails, and why two screens can differ.
* **16.4 IV rank and IV percentile, done properly**: Two yardsticks for the same implied volatility. One reads two days of a window, the other reads all of them.
* **16.5 Measuring realised volatility: four estimators**: Four ways to measure how much the index moved, and why one day can move a realised volatility figure twice.
* **16.6 Events and IV crush: results, Budget, RBI and elections**: Options price a known event before it happens and hand the price back once it is out. Here is how that looks in Nifty data.
* **16.7 Smile and skew: a first look at Nifty and stocks**: Equally distant options do not cost the same. The curve of implied volatility across strikes shows how, and why one number never fits.
* **16.8 Skew measures: risk reversal, butterfly and slope**: A smile is a picture. Three numbers read at a fixed delta turn it into something you can compare across days, expiries and underlyings.
* **16.9 Term structure and event variance**: Every expiry carries its own implied volatility. Read as total variance, the set of them shows where the market expects the movement, and what one day was priced at.
* **16.10 Forward volatility from two expiries**: Two expiries give two vols. The volatility between them is not their average. It follows from total variance, and it is the number a calendar spread leans on.
* **16.11 India VIX rebuilt step by step**: India VIX is not an at the money implied volatility and not a model. It is a sum over a strip of options. Here is the sum, rebuilt, and where it differs from NSE's.
* **16.12 Forecasting volatility: EWMA, GARCH and HAR**: Three ways to turn past returns into a forecast of volatility, and a scorecard that shows how often simple forecasts miss.
* **16.13 The variance risk premium in Nifty**: Implied volatility sat above what followed in ten of fourteen windows, and the four others gave most of it back.
* **16.14 Variance swaps and replication**: A variance swap pays realised variance less a strike. A strip of options, weighted by one over the strike squared, prices it. Nothing here is listed in India, but India VIX is the same sum.
* **16.15 Volatility surface models: SVI, SABR, local and stochastic vol**: A chain is a set of points. A surface joins them without leaving an arbitrage. SVI and SABR draw one expiry; local and stochastic volatility add dynamics, and each fit has limits.
* **16.16 Skew dynamics: sticky strike against sticky delta**: Three rules say how the smile moves when the index does, and each gives a different hedge ratio. On the largest days in an NSE file, volatility moved further than any of them.

  Read 3 more paragraphs, 92 words[Path 14, Options and Greeks](/learn/path-14/): Calls and puts, buyers and sellers, moneyness, what moves a premium, pricing from a binomial tree to Black 76, put call parity and every Greek.

[Path 15, Option Chain and Data](/learn/path-15/): Reading the NSE option chain column by column, open interest and its change, PCR, max pain, liquidity, participant data, the expected move and GEX as a model.

[Path 16, Volatility](/learn/path-16/): Historical and implied volatility, India VIX, IV rank and percentile, events and IV crush, smile and skew, term structure, forward volatility and surfaces.

## Strategies, hedging and relative value

    Every strategy is a payoff with a cost attached. Spreads, straddles and condors are drawn from dated chains with charges left in, then come the hedges a long investor can use and the relative value trades where two prices should agree.

    [17.1Reading and building payoff diagrams7 min](/learn/path-17/module-17-1-payoff-diagrams)[17.2Vertical debit spreads: bull call and bear put8 min](/learn/path-17/module-17-2-bull-call-and-bear-put-spreads)[17.3Covered call, protective put and cash secured put8 min](/learn/path-17/module-17-3-covered-call-and-protective-put)[17.4Why and when to hedge: insurance in plain numbers8 min](/learn/path-17/module-17-4-why-hedge)[17.5Straddles and strangles, long and short8 min](/learn/path-17/module-17-5-straddles-and-strangles)[17.6Credit spreads: bull put and bear call9 min](/learn/path-17/module-17-6-credit-spreads)[17.7Iron condor and iron fly on Nifty10 min](/learn/path-17/module-17-7-iron-condor-and-iron-fly)[17.8Butterflies and broken wing butterflies9 min](/learn/path-17/module-17-8-butterflies)[17.9Option calendar spreads9 min](/learn/path-17/module-17-9-option-calendar-spreads)[17.10Choosing a strategy by view: direction, volatility and time9 min](/learn/path-17/module-17-10-strategy-by-view)[17.11Adjustments: what they really do to risk9 min](/learn/path-17/module-17-11-option-adjustments)[17.12Expiry day: gamma, theta, settlement and the rules10 min](/learn/path-17/module-17-12-expiry-day)[17.13Hedging a stock portfolio with Nifty puts9 min](/learn/path-17/module-17-13-hedging-with-nifty-puts)[17.14Collars and put spreads as cheaper hedges9 min](/learn/path-17/module-17-14-collars-and-put-spreads)[17.15Hedging mutual fund portfolios: beta and basis9 min](/learn/path-17/module-17-15-hedging-mutual-fund-portfolios)[17.16Ratio spreads and backspreads10 min](/learn/path-17/module-17-16-ratio-spreads-and-backspreads)[17.17Diagonals and double calendars11 min](/learn/path-17/module-17-17-diagonals-and-double-calendars)[17.18P&L attribution by Greeks11 min](/learn/path-17/module-17-18-pnl-attribution-by-greeks)[17.19Event hedging with event variance10 min](/learn/path-17/module-17-19-event-hedging)[17.20Tail hedging and long dated Nifty options10 min](/learn/path-17/module-17-20-tail-hedging)[17.21Hedging an option selling book: wings, vega, gaps and margin stress11 min](/learn/path-17/module-17-21-hedging-an-option-selling-book)[17.22Kelly and sizing for option strategies10 min](/learn/path-17/module-17-22-kelly-sizing)[17.23Risk for option books: scenarios, stress, VaR, ES and margin shocks11 min](/learn/path-17/module-17-23-option-book-risk)[18.1Cash futures arbitrage and the Nifty 50 Arbitrage index9 min](/learn/path-18/module-18-1-cash-futures-arbitrage)[18.2Conversions and reversals9 min](/learn/path-18/module-18-2-conversions-and-reversals)[18.3Pair trading intuition: correlation is not cointegration8 min](/learn/path-18/module-18-3-pair-trading-intuition)[18.4Futures calendar arbitrage and roll dynamics10 min](/learn/path-18/module-18-4-futures-calendar-arbitrage)[18.5Box spreads with European index options11 min](/learn/path-18/module-18-5-box-spreads)[18.6Parity deviations in practice: what the frictions cost10 min](/learn/path-18/module-18-6-parity-deviations)[18.7Cointegration toolkit: Engle Granger, ADF, half life and z score10 min](/learn/path-18/module-18-7-cointegration-toolkit)[18.8Pair trading with Indian stock futures10 min](/learn/path-18/module-18-8-pair-trading-with-stock-futures)[18.9Mean reversion against momentum10 min](/learn/path-18/module-18-9-mean-reversion-vs-momentum)[18.10Implied correlation12 min](/learn/path-18/module-18-10-implied-correlation)[18.11Dispersion trades: construction and risks11 min](/learn/path-18/module-18-11-dispersion-trades)[18.12The correlation risk premium11 min](/learn/path-18/module-18-12-correlation-risk-premium)[18.13Baskets, PCA stat arb and Johansen tests11 min](/learn/path-18/module-18-13-pca-stat-arb)[18.14Kalman filter hedge ratios11 min](/learn/path-18/module-18-14-kalman-filter-hedge-ratios)
What these 37 modules cover
* **17.1 Reading and building payoff diagrams**: A payoff diagram is a table of results drawn as one line. How to read its axes, build it from legs, and know what it cannot tell you.
* **17.2 Vertical debit spreads: bull call and bear put**: Buy one option, sell another a few strikes away. What it costs, the most it can lose or make, and what it gives away.
* **17.3 Covered call, protective put and cash secured put**: Two extra legs against a position you hold. What each one pays for, what it costs, and what it gives away.
* **17.4 Why and when to hedge: insurance in plain numbers**: A put as an insurance policy: premium, deductible, cover, term and claim. What it cost in a calm month, and what it paid in a fall.
* **17.5 Straddles and strangles, long and short**: Two legs on one expiry, a bet on how far the index moves and not which way. What each costs, where it breaks even, and what the seller gives up.
* **17.6 Credit spreads: bull put and bear call**: Sell a nearer option, buy a farther one, and be paid first. What the credit is, what it risks, and what a month of data shows.
* **17.7 Iron condor and iron fly on Nifty**: Sell a quiet zone and buy the wings. What it pays, the most it can lose, and what a success rate leaves out.
* **17.8 Butterflies and broken wing butterflies**: A tent that pays near one strike. What it costs, where the money is made, and what a broken wing does to the risk.
* **17.9 Option calendar spreads**: Sell the near expiry, buy the far one, at one strike. What it costs, what it earns, and what the margin rule changes.
* **17.10 Choosing a strategy by view: direction, volatility and time**: Three questions turn a view into a short list of payoffs. What each one decides, and what a match does not say.
* **17.11 Adjustments: what they really do to risk**: An adjustment is a new trade, not a reset. One June 2026 strangle, three adjustments, and what each locks in, changes and costs.
* **17.12 Expiry day: gamma, theta, settlement and the rules**: The last day of an option is a payoff, not a feeling. Gamma and theta on dated NSE data, three settlement regimes, SEBI's rules since 2024 and the Jane Street interim order as it reads.
* **17.13 Hedging a stock portfolio with Nifty puts**: Beta times value, divided by one lot. Two hedges, two dated windows, and the way a wrong beta or a rounded lot shows up in the result.
* **17.14 Collars and put spreads as cheaper hedges**: Cheaper cover is different cover. Two ways to cut the premium of a put, and what each one takes out of the hedge.
* **17.15 Hedging mutual fund portfolios: beta and basis**: A fund is not the index. Beta sizes the hedge, basis decides what it leaves open, and the two windows show how much.
* **17.16 Ratio spreads and backspreads**: A ratio spread is paid up front for a risk with no ceiling. A backspread pays for the opposite. Read the Greeks and the tail before the credit.
* **17.17 Diagonals and double calendars**: Sell the near expiry, buy the far one, and move the strike or add a second calendar. The trade is on how two expiries are priced against each other.
* **17.18 P&L attribution by Greeks**: Delta, gamma, vega and theta explain a day well and a fortnight badly. The residual says how well.
* **17.19 Event hedging with event variance**: An event adds a lump of variance to the expiries that hold it. Reading the lump takes a guess, and the guess moves the answer.
* **17.20 Tail hedging and long dated Nifty options**: A tail hedge pays in rare large falls and costs a premium the rest of the time. The strike and the life of the put decide most of it.
* **17.21 Hedging an option selling book: wings, vega, gaps and margin stress**: Wings cap the loss and cost most of the income. Each wing distance is a different position, not a safer version of the same one.
* **17.22 Kelly and sizing for option strategies**: Kelly sizes a bet when the odds are known. Option lots and a guessed win rate show where the formula stops.
* **17.23 Risk for option books: scenarios, stress, VaR, ES and margin shocks**: A sold strangle can look flat on delta and still lose thousands on a gap. Six layers of a report catch what each one misses.
* **18.1 Cash futures arbitrage and the Nifty 50 Arbitrage index**: Buy the shares, sell the future and keep the gap, if the gap is bigger than the costs. On the three June 2026 dates here, it was not.
* **18.2 Conversions and reversals**: Three legs on one strike lock the gap between options and the future. What a file shows is a paper lock, not a profit.
* **18.3 Pair trading intuition: correlation is not cointegration**: Two prices can move together every day and still drift apart. A pair trade needs the gap to have a home.
* **18.4 Futures calendar arbitrage and roll dynamics**: The gap between two Nifty futures is a price for carry and for the roll. Read it as an implied forward rate and see why it is not a lock.
* **18.5 Box spreads with European index options**: Four options that pay a fixed amount are a loan in disguise. Read the rate the settle prices imply, then count what the legs cost to hold.
* **18.6 Parity deviations in practice: what the frictions cost**: A gap of a few points looks like free money. Count it by strike, by date and against the charges before you call it anything.
* **18.7 Cointegration toolkit: Engle Granger, ADF, half life and z score**: Regress, test the spread, time its return, measure its stretch, then judge it on days it never saw.
* **18.8 Pair trading with Indian stock futures**: The test passed. Now the legs have lots, a calendar, a delivery date and a cost.
* **18.9 Mean reversion against momentum**: Both styles can find a quarter that suits them. Two plain measures say how much the file supports either.
* **18.10 Implied correlation**: The index is priced calmer than its parts. Implied correlation turns that gap into one number, with a floor, a ceiling and a long list of things it leaves out.
* **18.11 Dispersion trades: construction and risks**: Sell index volatility, buy stock volatility, hedge delta. What is left is a short position in correlation, and the Indian market adds settlement, lots and bans.
* **18.12 The correlation risk premium**: Index options priced the stocks to move together more than they did. What that gap is, and what it is not.
* **18.13 Baskets, PCA stat arb and Johansen tests**: Strip out the shared moves, test what is left, and count how many baskets you looked at.
* **18.14 Kalman filter hedge ratios**: A ratio that drifts looks calmer than one that is fixed. Whether it is better is a different question.

  Read 2 more paragraphs, 51 words[Path 17, Strategies and Hedging](/learn/path-17/): Payoffs of spreads, straddles, strangles, condors and calendars, adjustments and expiry day, then portfolio hedges with puts, collars and tail cover.

[Path 18, Arbitrage and Relative Value](/learn/path-18/): Cash futures arbitrage, conversions and reversals, box spreads, calendar arbitrage, pairs and cointegration, implied correlation and dispersion.

## Algos, HFT and testing

    A backtest is a claim. This path covers the rules SEBI set for retail algos, what speed and execution change, and the tests that separate a system from a lucky curve.

    [Path 19, Algo, HFT and Backtesting](/learn/path-19/): India's retail algo rules in practice, HFT against slower styles, microstructure, execution, honest backtests, overfitting and the deflated Sharpe ratio.

    [19.1What a backtest is, and five biases that ruin it9 min](/learn/path-19/module-19-1-backtest-biases)[19.2Strategy metrics: CAGR, Sharpe, Sortino, drawdown and expectancy9 min](/learn/path-19/module-19-2-strategy-metrics)[19.3HFT, MFT and LFT compared10 min](/learn/path-19/module-19-3-hft-mft-lft)[19.4Colocation, latency and fairness: NSE's history11 min](/learn/path-19/module-19-4-colocation-and-latency)[19.5Building a compliant retail algo10 min](/learn/path-19/module-19-5-building-a-compliant-algo)[19.6Backtesting options on Indian data11 min](/learn/path-19/module-19-6-backtesting-options)[19.7Walk forward and out of sample testing10 min](/learn/path-19/module-19-7-walk-forward-testing)[19.8Monte Carlo and bootstrap of trade results10 min](/learn/path-19/module-19-8-monte-carlo-and-bootstrap)[19.9Microstructure models: spreads, informed trading and price impact11 min](/learn/path-19/module-19-9-microstructure-models)[19.10Market making: inventory and quoting11 min](/learn/path-19/module-19-10-market-making)[19.11Optimal execution and market impact12 min](/learn/path-19/module-19-11-optimal-execution)[19.12HFT economics and the latency race11 min](/learn/path-19/module-19-12-hft-economics)[19.13Backtest overfitting: deflated Sharpe, PBO and multiple testing11 min](/learn/path-19/module-19-13-backtest-overfitting)[19.14Financial machine learning done carefully12 min](/learn/path-19/module-19-14-financial-machine-learning)[19.15Expiry day market integrity: a SEBI interim order, FutEq limits and surveillance12 min](/learn/path-19/module-19-15-expiry-day-market-integrity)[19.16Capstone: a research note on an Indian derivatives question12 min](/learn/path-19/module-19-16-capstone-research-note)
What these 16 modules cover
* **19.1 What a backtest is, and five biases that ruin it**: A backtest knows how the story ended. Five ways that knowledge leaks into a test, and a guard for each.
* **19.2 Strategy metrics: CAGR, Sharpe, Sortino, drawdown and expectancy**: One number never describes a record. Five measures, each with a job and a blind spot, on dated NSE closes.
* **19.3 HFT, MFT and LFT compared**: Three speeds of trading, and the one comparison that sorts them: the move you can expect against the bill to trade it.
* **19.4 Colocation, latency and fairness: NSE's history**: A case about who gets the data first. The orders, read as they are dated, and what a millisecond of Nifty movement is worth.
* **19.5 Building a compliant retail algo**: The framework as the circulars set it, turned into an architecture, with one model of why your own risk layer sets the size.
* **19.6 Backtesting options on Indian data**: The chain, the lot, the expiry regime and the costs all carry a date. Four weekly trades show how little four trades say.
* **19.7 Walk forward and out of sample testing**: Fit on one stretch, trade the next, slide forward. Four test windows from India's data show what each fold meets.
* **19.8 Monte Carlo and bootstrap of trade results**: Replay the same trades in a different order and the worst fall moves. A resample still cannot show a loss it never held.
* **19.9 Microstructure models: spreads, informed trading and price impact**: A quote pays for three things. Three models pull them apart, and one daily file cannot.
* **19.10 Market making: inventory and quoting**: A quote is a price for risk. The model sets its centre by inventory and its width by volatility, and the charges decide whether it pays.
* **19.11 Optimal execution and market impact**: Trade fast and you pay impact; trade slowly and you carry risk. A schedule is a chosen exchange rate between the two.
* **19.12 HFT economics and the latency race**: Being first wins the whole prize, so every firm pays for speed. The model shows where the profit goes, and the circulars show India's answer.
* **19.13 Backtest overfitting: deflated Sharpe, PBO and multiple testing**: The best of many noisy rules looks like skill. Count the trials, deflate the Sharpe and ask how long the history must be.
* **19.14 Financial machine learning done carefully**: The model is rarely the weak point. The labels, the cuts of the data and the count of tries are.
* **19.15 Expiry day market integrity: a SEBI interim order, FutEq limits and surveillance**: An interim order is an allegation with a right of reply. Read it beside the position limits and settlement rules that followed, in date order.
* **19.16 Capstone: a research note on an Indian derivatives question**: One question, one dated dataset, one method and an honest list of limits. The rubric is public so you can mark your own note first.

## Myth checks

    The claims I see every expiry week, each with a verdict and, as the pages go live, the evidence chart.

**Myth**Max pain predicts where Nifty settles.

**Fact**It is arithmetic on today's open interest. Any test has to beat a plain forecast, such as the close a day earlier.

**Myth**The highest OI strike is support or resistance.

**Fact**Open interest counts open contracts, not who holds them or why. The walls move as positions roll.

**Myth**PCR above 1 is bullish, below 0.7 is bearish.

**Fact**Sources disagree even on the direction. The public PCR mixes hedgers, writers and buyers.

**Myth**A cheap option on expiry day is a ticket to a big win.

**Fact**The big percentage moves are real. The average outcome after costs is a loss, and options carried about 92% of individual losses in SEBI's FY26 data.

**Myth**This strategy wins 90% of the time.

**Fact**A high win rate is easy to build. It says nothing about expectancy, which the rare large loss decides.

**Myth**Selling options pays a daily income.

**Fact**Theta is payment for gamma and gap risk. The premium comes in every day; the losses come in lumps.

**Myth**Adjustments make a short strangle safe.

**Fact**An adjustment changes the position. It does not remove the risk, and it often books a loss and adds costs.

**Myth**GEX levels show where dealers must buy and sell.

**Fact**No exchange in India publishes dealer positions by strike. The sign convention you assume decides the answer.

**Myth**A registered algo platform means a profitable algo.

**Fact**Registration says who may offer a product, not how it performs. Backtests overfit, and screenshots are not records.

  Read one more paragraph, 110 wordsThe evidence, one page each: [What is max pain, and does max pain theory work?](/learn/questions/does-max-pain-work), [Is the highest call OI strike resistance and the highest put OI strike support?](/learn/questions/highest-oi-support-resistance), [What is PCR and how do I read it?](/learn/questions/what-is-pcr), [Do expiry day setups like the 9:20 straddle or "hero zero" work?](/learn/questions/expiry-day-strategies), [Is there a "sure shot" option strategy with 90% accuracy?](/learn/questions/sure-shot-option-strategy), [Can option selling give a "daily income"?](/learn/questions/option-selling-daily-income), [How do I adjust a short strangle or iron condor?](/learn/questions/adjusting-strangle-or-condor), [Is Nifty GEX reliable in India?](/learn/questions/is-nifty-gex-reliable), [Do SEBI registered algo platforms make algo trading profitable?](/learn/questions/algo-platforms-and-profitability). Every question: [130 questions, answered one by one](/learn/questions/).

## Tools that use the same engine as the lessons

    Every preset is a dated NSE example. No broker login, no order buttons, no signals.

* [Payoff builder](/learn/tools/payoff-builder): Legs from a dated chain, the expiry and before expiry curves, breakevens and the charges.
* [Greeks calculator](/learn/tools/greeks-calculator): Delta to rho, and vanna to colour in expert mode, from one Black 76 engine.
* [IV solver](/learn/tools/iv-solver): The implied volatility behind a dated settlement price.
* [IV rank and percentile](/learn/tools/iv-rank-percentile): Both definitions side by side on a dated series.
* [Expected move](/learn/tools/expected-move): The one standard deviation range from the straddle and from IV.
* [Max pain checker](/learn/tools/max-pain-checker): The calculation, and how it compares with a plain forecast.
* [GEX lab](/learn/tools/gex-lab): Gamma exposure under three sign conventions, switched on screen.
* [Futures fair value](/learn/tools/futures-fair-value): Carry, dividends and the arbitrage band after costs.
* [Parity and box rate](/learn/tools/box-rate): Synthetic futures, the parity gap and the rate a box implies.
* [Forward vol and event move](/learn/tools/forward-vol): The volatility between two expiries and the move an event prices in.
* [Hedge calculator](/learn/tools/hedge-calculator): Futures and put lots for a sample portfolio, and what the cover costs.
* [Strategy finder](/learn/tools/strategy-finder): Direction, volatility and time to a short list of payoffs, priced from a dated chain.
* [Pair z score lab](/learn/tools/pair-lab): Hedge ratio, ADF test, half life and z score bands on two dated series.
* [Implied correlation](/learn/tools/implied-correlation): The correlation the index IV and 50 stock IVs imply on a dated session, beside the realised one.
* [F&O costs and STT](/learn/tools/fo-cost-calculator): Every statutory charge on a trade at the 2026 rates.
* [Risk of ruin](/learn/tools/risk-of-ruin): Win rate, payoff and size, simulated to the chance of losing the account.
* [Delta hedge simulator](/learn/tools/delta-hedge-simulator): Seeded paths, hedge count from 1 to 160, and hedged P&L against realised and implied vol. A model, not market data.
* [VIX replication](/learn/tools/vix-replication): The seven steps from a dated chain to a 30 day volatility number, checked against India VIX that day.
* [Scenario grid](/learn/tools/scenario-grid): A position repriced over spot, IV and days, beside what the Greeks estimate and what they miss.

PThe paths

## 8 paths carry this pillar.
[Path 12Derivatives Basics and RulesBeginner, 9 modules, 72 min](/learn/path-12/)[Path 13FuturesBeginner, 7 modules, 58 min](/learn/path-13/)[Path 14Options and GreeksBeginner, 17 modules, 149 min](/learn/path-14/)[Path 15Option Chain and DataBeginner, 13 modules, 119 min](/learn/path-15/)[Path 16VolatilityBeginner, 16 modules, 159 min](/learn/path-16/)[Path 17Strategies and HedgingBeginner, 23 modules, 215 min](/learn/path-17/)[Path 18Arbitrage and Relative ValueIntermediate, 14 modules, 143 min](/learn/path-18/)[Path 19Algo, HFT and BacktestingIntermediate, 16 modules, 172 min](/learn/path-19/)

QQuestions

## Answered from the modules.

Is this investment advice?No. It is free education. Every example uses NSE end of day data at least 30 days old, and no page says what to buy, sell or hold. RupeeCase and QC Alpha Technologies are not registered with SEBI as an investment adviser or research analyst.

Do I need a NISM certificate to trade F&O?Not to trade your own account. NISM Series VIII is the certificate SEBI requires for associated persons of a broker who deal in equity derivatives, such as dealers and sales staff.

Is it free?Yes. Every module, question page, tool and certificate is free, and you can read without signing up.

How are the certificates verified?Each certificate has an ID and a QR code that open the verify page. The page checks the ID and, where the records registry answers, looks it up in RupeeCase's certificate records. A certificate is a record of completing free education, not a NISM certificate.

How often are the pages reviewed?Each page shows the date it was last reviewed and the date of its data. Rules that change, such as lot sizes, expiry days and STT, are checked again whenever NSE or SEBI changes them and after every Budget.

Why are the examples weeks or months old?SEBI's circular of 8 May 2026 bars education from using price data of the preceding 30 days. Old, dated examples also make the point of the school: learn how it works, not what to do tomorrow.

Can I ask about my own position?I cannot advise on anyone's own position, portfolio or tax. Every question page links the modules that explain the idea; for advice on your own situation, see a SEBI registered investment adviser.

    Explore next

## Where to go next.

* [QuestionWhat are futures and options (F&O kya hai)?A short answer with a dated chart](/learn/questions/what-are-futures-and-options)
* [QuestionOption buying or option selling: which is better?A short answer with a dated chart](/learn/questions/option-buying-vs-selling)
* [Free module 6.6Derivatives, Futures and Options for the Systematic Investor8 min read](/learn/path-6/module-6-6-derivatives-futures-options)
* [GlossaryInvesting glossary, 230 termsPlain word definitions, and the app’s own](/learn/glossary)

      Community

## Join my WhatsApp group.

      Scan the code, fillFill one short form, and join my WhatsApp group. Slides, sources, factsheets and the rebalance logs live there, and members join a daily Google Meet with me.

      New to RupeeCase? [Getting started](/getting-started) [See the terminal](/terminal)

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+Other pillars

[PillarIndian Markets16 modules](/learn/indian-markets)[PillarSystematic Investing19 modules](/learn/systematic-investing)[PillarPortfolio Construction13 modules](/learn/portfolio-construction)[PillarBehaviour and Business14 modules](/learn/behaviour-and-business)[PillarMacro, Tax, Regulation14 modules](/learn/macro-tax-regulation)
Education only, not investment advice, a research report or a recommendation to buy, sell or hold any security. RupeeCase (QC Alpha Technologies Pvt Ltd) is not registered with SEBI as an investment adviser or research analyst. Contracts and prices shown are for illustration only, come from NSE end of day files at least 30 days old, and are not recommendatory. Derivatives trading carries a high risk of loss.