Today (26/Nov/2020), ‘NIFTY BANK’ index was at around 29600 at 3:29PM and ‘BANKNIFTY NOV FUT’ was at around 29550 at 3:29PM.
At 3:30PM, trading stopped and both the above scrips were at above levels only.
So I was wondering if ‘BANKNIFTY NOV 29500 CE’ would be cash settled at value of 100/- or 50/-.
But after few minutes, Zerodha showed ‘NIFTY BANK’ index value at around 29550.
This can be clearly seen in the 1minute candle chart in Zerodha for ‘NIFTY BANK’ index. The last candle at 3:29PM is showing C:29603.2 where as the close price in the ‘market watch/depth’ is showing 29549.75.
How come the close value changed (and also this much) after 3:30PM?
Could anyone check their ITM BANKNIFTY options in today’s contract note and let me know at what value of ‘NIFTY BANK’ index the options are settled?
The closing price which you see at 3:30 PM in LTP (Last Traded Price), after market closes exchange adjusts final closing price to Weighted Average Price of last 30 minutes, so the final closing price will always be different from LTP. More on this has been explained here.
This Option was settled at 29,549.75, You can also check the same on NSE website.
Thanks @ShubhS9 for the clarification.
- Could you let me know if this Weighted Average Price of last 30 min is applicable to every stock, index, futures and options or any limitations? Also is it applicable for every trading session?
- Is Weighted Average Price calculated based on Volume weightage? If yes, how is it calculated for Indexes? If volumes of all scrips that are part of Index are considered for Indexes, is it same for Index futures or only futures weightage is calculated?
Yes, this is applicable on every Index, Stock, and F&O.
The WAP is calculated at the end of every trading day, based on trades in last 30 minutes.
You check this post to know how WAP is calculated.
WAP for Index will be based on stocks it constitutes.
Thanks for the clarifications.
How about Index futures say ‘NIFTY DEC FUT’?
Is VWAP calculated based on the prices of NIFTY DEC FUT or WAP of all the 50 stocks VWAP or WAP of all the 50 stock futures VWAP?
The daily settlement price of the Futures Contract will be based on trading for the last 30 minutes in Futures Contract only. The final settlement price of Futures will be the closing price of underlying on expiry day. NSE has explained it in detail here, do check out.