Gap Scenario — Pre-open option estimates

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Underlying —

Prev close —

Spot (last) —

Fut —

GIFT —

          Implied open
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GIFT − Fut —

GIFT − Prev —

          Est open / scenario
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Assumed open move (pts)

pts from ref

−300 +300

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Following live GIFT · estimates update as SGX moves

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Estimated open chain

Expiry Wing Est open ≈ last mark + Δ×(open − prev close) · Band ≈ IV pop risk

CALL					Strike	PUT
Mark	Δ	Est open	Band	Long ΔP		Long ΔP	Band	Est open	Δ	Mark
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Expiry dropdown — switch nearest / next week / monthly without changing Live. Next-week marks use REST chain (IV & Δ from that expiry).
Pre-open: default move = GIFT − prev close. Option marks are treated as prior close; we do not add GIFT−Fut on top of an already-moved spot print.
Implied open ≈ GIFT LTP. Scenario spot = prev close + your gap slider (same index move for every expiry).
Follow GIFT open keeps the slider locked to live SGX so estimates move as pre-market moves.
Est open = mark + Δ×gap. Longer DTE → smaller |Δ| usually → less premium swing for the same index gap. Band (~−15% / +30% pre-open) is IV uncertainty.
Long ΔP = Est − mark: rough P&L if you hold that expiry into the open.
After 9:15 the page switches to live what-if (default residual = GIFT − Fut from live spot).
Confirm on Live chain after open — auction IV can gap harder than delta.