What is the risk free rate that we should consider to calculate the option pricing or IV (other than last day of expiry) ?
a) 0.01% as a nominal rate because we are not loosing any opportunity cost for money in trading account.
b) 10% as considered by NSE ?
c) State Bank Saving Interest Rate @ 3.50%
d) Government Bond 1 Year Rate @ 6.25%
What is the risk free rate that we should consider to calculate the option pricing or IV ( last day of expiry) ?
10% as stated in NSE
How to calculate the same?
If not getting down to complexity of calculations of average price, just add a 30 day Simple moving average line on 1 minute chart, the result would be exactly same.
nifty closing price and settlement price are more or less same today at 11980. What will be the settlement price of 11950 call option that also expired today?
I see nifty spot closed at 11,946.75, so 11950 call expired out of money, it’s value will be 0. On expiry day spot values are considered.
Can you please tell me what will be the settlement price for 11950 PE in that case? Will it be 3.25?
Right, but one should also take STT into account, STT will be around 14 to 15 points so in this case it would not make sense to exercise it and better to let it go off.
Thank you. Perhaps this issue will not be there after budget is passed. I read something like that today in one of the whatsapp messages.
What is meant by averaging average of what
The final closing price for the day is Weighted Average Price of the last 30 minutes of trading. You can read this post to know how Weighted Average Price is calculated.