Many times, when the NIFTY or BANK NIFTY is around 1-1.5% higher , then also why ATM or ITM CE options rise only 8-10%, whereas PE side there is hefty decay in premiums of around 30- 35% . Can anyone share knowledge on this query ??
This is due to option greek and implied volatility.This is generally on gap down moment where IV get drastically increase but when market is in no move or going opposite then IV gets cool down which reduces price drastically. You should also watch INDIAVIX as if price action is in downtrend the INDIAVIX tend to get increased and vice versa. Every options strike price as different IVs.
Greek :-
VEGA is on volatility
Theta Time Decay
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