Following the theoretical option price you can find the data on Greek values. As of today Nifty spot is 8085, and the closest ATM option is 8100. As we had discussed in the previous post, the ATM option should have a delta of approximately 0.5. In fact, the calculator is telling us th...
Option Greeks are forces that influence the premium of an option Delta is an Option Greek that captures the effect of the direction of the market Call option delta varies between 0 and 1, some traders prefer to use 0 to 100. Put option delta varies between -1 and 0 (-100 to 0) The ...
13.4 – Quick note on Greek interactions One of the keys to successful options trading is to understand how the individual option Greeks behave under various circumstances. Now besides understanding the individual Greek behaviour, one also needs to understand how these individual option Greeks react wi...
(Nifty in the above example) on the expiry day will gravitate towards that point at which option buyers will feel the maximum pain, basically a point where the maximum number of options, both calls and puts value could become zero (worthless) on the expiry day. To calculate this we need ...