On the intraday basis, is there a way to know about the change in option premium as per change in Nifty ?
For example at 9:30 am Nifty is trading at 10370 and option premium of 10300 CE is 56
At 11 am Nifty goes to 10450 i.e a movement of 80 points.
Is there a method to know what will be call option premium at that time.
I am aware it won’t move exactly 80 points.
Any formula that can determine the value of option premium with as nifty goes up or down from current level ?
Let’s assume volatility stays same during this session.