I have one doubt
I took both ce and pe on sell side
And ce is in 120 premium pe is 90 premium
And the next day market is to open on huge upside 1% upside and it is 200 points upside
Delta :- ce 0.85, pe 0.75
So when nifty is above 200 points the next day ce is 200*0.85=170+120 =290
Next day ce is 290
How to calcute pe on sell side when market above huge gap up ???
I my calculation is wrong explain me