Hello All ,

  1. I bought 36000 PE AT 3 PM , when spot was at 36020
  2. At 3:20 pm , spot - 35970 , 36000 PE - 62 .
  3. At 3:25 pm , spot - 35925 , 36000 pe - 61

Now we know that the ITM option has the highest delta, but still, 36000 PE moves only single digit, whereas banknifty moves approx. 45 points. How it has happened, please explain.


in this pic, BNF ranged between 35900 and 35940 at 3pm

Now, you bought an ITM put which would tend to expire at its intrinsic value at expiry, which is 30 minutes away; and immediately after buying, underlying moved up, though very slightly.
Hence it would go towards its intrinsic value slowly which is the 36000-35945= 55rs price. Obviously, they dont expire at exact, but rather at last few minutes average price.

For this ITM option to move, and rise in price, underlying should move down, right? Since there isnt much movement in underlying, this ITM option expired at its intrinsic value without much movement

welcome to trading options. Please read more about options.
One thing hard learnt about option trading (buying) is dont enter the buy position after 3 PM on expiry day.

1 Like