Options theory - Why there's a huge price gap between ATM call and put options sometimes?

F&O
1

Hi all,

I noticed today Nifty was closing near 23900, so 23900 becomes ATM strike during the market close. Usually the price difference in ATM calls and puts are very low, but today, the call was trading 120+ points above puts at ATM (while its 5 more days to expiry).

What might cause such huge price difference for ATM options? The Black 76 calculator shows that the price difference is just 40 points, but in reality its 3x higher. I have attached the option chain below, you can clearly see, sensibull marks the 24050 as ATM when nifty is trading at just 23900. Can someone reason this? Thanks a bunch!

image
image1754Ă—775 116 KB

2

It’s caused due to implied volatility (IV) being much higher for calls, reflecting the market’s interest/expectation for it to go up.
Start by inputting the IV shown in Sensibull or the VIX for volatility in the Black Scholes calculator and increase/decrease it until you arrive at the CMP of call/put. That would be the real IV.

3

No, it is because options are priced based on the futures price (of expiry date), rather than the current spot price.

For weekly options, there may not be a futures contract, but there is some implied futures price of December 5 expiry. I’m assuming that price will be 100 pts above the spot price at the time you checked.

1 Like
4

You are checking spot prices. Check future prices and ATM strikes for both calls and puts will be at same premium.

5

If IV is the reason, both call and put prices must go up together right? Even in black scholes, increase in IV, doesn’t increase the difference in call and put prices that much.

6

It doesn’t end there, I found a vague explanation of what might be happening here. But not entirely sure, if this is how market behaviour works.

The snapshot was taken at the end of November futures expiry day (28th Nov 2024), it shows the option chain for weekly expiry (Dec 5).

On expiry day (28th Nov), the Nov futures must converge with the spot, so it also has the same value as the spot. That means Nov futures is useless for the analysis. So,

Nov Futures Actual = Nov Futures Theoretical = Spot price = 23914.5

But, the december month futures was trading around 24137, which is far higher (100+ points) than the theoretical december month futures price of 24034. So,

Dec Futures Actual = 24137
Dec Futures Theoretical = 23914.5*(1+0.06515*(28/365)) = 24034
Future-Spot spread = 24137 - 24034 = +103 points. (Concludes that market perception is 103 points higher than fair value which is quite high, and can lead to spread arbitrage as explained here)

Now coming back to options, there is no weekly futures expiry, so we need to rely on theoretical prices.

Dec 5th Futures Theoretical = 23914.5*(1+0.06515*(7/365)) = 23944

Now we know from futures price that the market is trading at 103 points above fair price, so does the ATM strike (the strike at which the current market thinks it has no intrinsic value - defintion of ATM strike) lies 103 points above the the dec 5th theoretical futures price. So,

ATM strike today = 23944 + 103 ~ 24050 (This is also the same price the actual weekly expiry futures would have traded if it existed)

But I am not entirely convinced, any critical feedback is greatly appreciated. Thanks!

7

Usually due to market inefficiencies there should be two different IVs for the call and put. See this Sensibull FAQ on why they only display one:

I think your confusion stems from using the Black 76 calculator (sorry I missed it from the initial post), which is used for pricing options on futures. Normal stock options are priced based on the Black Scholes Merton model which uses the spot price and takes risk free rate, dividend yield, volatility, etc. as separate parameters, since it’s not accounted for in the spot price unlike the Black 76 model which uses futures price where all of those parameters are already accounted for. For example, see Zerodha’s BSM calculator:

I’m still learning about all this, so CMIIW. :dizzy:

8

Wow, this is another surprise for me! I use two calculators, one by zerodha and one by sharekhan. I thought they were the same till now. Thanks for the info anyway. Here is one interesting observation, I simply added the future-spot spread (103 points) to spot price (23914.5) and gave it as input to black 76, was able to match the 23900 call and put price within ±10 points. In the sharekhan calculator (which I believe its BSM, was able to get ±20 points price difference).

image
image1186Ă—738 35 KB

And regarding the IV post, yes, there can be different IVs for Calls and Puts sometimes and they can get arbitraged away, but in our case the issue is with the other equation they mention called put-call parity, where it says spot ATM is not the actual Actual ATM and we need to account futures price.

9

I think as normal option traders, this focus on futures price for ATM calculation is not very useful.
Even Sensibull chooses the ATM strike closest to spot price to create a straddle, not the futures ATM strike with around 0.5 delta.

Don’t quote me on this, but when I backtested I believe I got better results with ATM based on spot price than 0.5 delta ATM (which would be where the future price is).

Put call parity states the sum of the absolute delta of the same strike’s call and put should be equal to 1. This is mostly the case, but it can also deviate due to market inefficiencies. It’s not like some fundamental law like in physics.

For example, see what happens to the call/put delta and IVs on Jan 1 2024 based on per-minute LTP prices:

Date = Mon, Jan 01 2024
Open = 21732; High = 21832; Low = 21683; Close = 21689

Enter strike price: 21700
Strike price = 21700

Call Price = 388.75; Delta = 0.56; IV = 15.1 || 09:15 = 21710 || Put Price = 255.00; Delta = -0.44; IV = 13.9
Call Price = 387.35; Delta = 0.55; IV = 15.4 || 09:16 = 21695 || Put Price = 256.60; Delta = -0.44; IV = 13.7
Call Price = 385.05; Delta = 0.56; IV = 15.0 || 09:17 = 21710 || Put Price = 255.15; Delta = -0.44; IV = 13.9
Call Price = 382.55; Delta = 0.56; IV = 15.1 || 09:18 = 21702 || Put Price = 256.00; Delta = -0.44; IV = 13.8
Call Price = 377.45; Delta = 0.55; IV = 15.0 || 09:19 = 21694 || Put Price = 257.45; Delta = -0.44; IV = 13.7
Call Price = 377.25; Delta = 0.55; IV = 15.1 || 09:20 = 21688 || Put Price = 259.75; Delta = -0.45; IV = 13.7
Call Price = 380.25; Delta = 0.55; IV = 15.1 || 09:21 = 21695 || Put Price = 258.90; Delta = -0.44; IV = 13.8
Call Price = 382.75; Delta = 0.55; IV = 15.3 || 09:22 = 21693 || Put Price = 256.50; Delta = -0.44; IV = 13.6
Call Price = 382.90; Delta = 0.55; IV = 15.3 || 09:23 = 21693 || Put Price = 257.00; Delta = -0.45; IV = 13.7
Call Price = 383.65; Delta = 0.55; IV = 15.3 || 09:24 = 21696 || Put Price = 255.00; Delta = -0.44; IV = 13.6
Call Price = 382.95; Delta = 0.55; IV = 15.2 || 09:25 = 21697 || Put Price = 253.15; Delta = -0.44; IV = 13.6
Call Price = 382.65; Delta = 0.55; IV = 15.1 || 09:26 = 21700 || Put Price = 253.80; Delta = -0.44; IV = 13.7
Call Price = 380.90; Delta = 0.56; IV = 14.9 || 09:27 = 21703 || Put Price = 253.75; Delta = -0.44; IV = 13.7
Call Price = 379.60; Delta = 0.55; IV = 15.0 || 09:28 = 21700 || Put Price = 254.55; Delta = -0.44; IV = 13.7
Call Price = 378.80; Delta = 0.56; IV = 14.9 || 09:29 = 21701 || Put Price = 254.15; Delta = -0.44; IV = 13.7
Call Price = 380.55; Delta = 0.55; IV = 15.1 || 09:30 = 21695 || Put Price = 253.85; Delta = -0.44; IV = 13.6
Call Price = 376.10; Delta = 0.55; IV = 15.1 || 09:31 = 21688 || Put Price = 257.50; Delta = -0.45; IV = 13.6
Call Price = 380.20; Delta = 0.55; IV = 15.1 || 09:32 = 21694 || Put Price = 253.25; Delta = -0.44; IV = 13.5
Call Price = 384.80; Delta = 0.56; IV = 15.1 || 09:33 = 21702 || Put Price = 250.00; Delta = -0.44; IV = 13.6
Call Price = 383.70; Delta = 0.56; IV = 15.1 || 09:34 = 21703 || Put Price = 250.80; Delta = -0.44; IV = 13.6
Call Price = 386.25; Delta = 0.56; IV = 15.0 || 09:35 = 21708 || Put Price = 247.75; Delta = -0.44; IV = 13.6
Call Price = 385.50; Delta = 0.56; IV = 15.0 || 09:36 = 21708 || Put Price = 249.55; Delta = -0.44; IV = 13.6
Call Price = 383.60; Delta = 0.56; IV = 15.0 || 09:37 = 21707 || Put Price = 249.85; Delta = -0.44; IV = 13.6
Call Price = 379.15; Delta = 0.56; IV = 14.9 || 09:38 = 21702 || Put Price = 252.00; Delta = -0.44; IV = 13.6
Call Price = 373.60; Delta = 0.55; IV = 15.0 || 09:39 = 21690 || Put Price = 257.10; Delta = -0.45; IV = 13.6
Call Price = 375.00; Delta = 0.55; IV = 14.9 || 09:40 = 21692 || Put Price = 255.75; Delta = -0.45; IV = 13.6
Call Price = 375.95; Delta = 0.55; IV = 15.0 || 09:41 = 21693 || Put Price = 255.85; Delta = -0.44; IV = 13.6
Call Price = 379.80; Delta = 0.55; IV = 15.0 || 09:42 = 21700 || Put Price = 251.50; Delta = -0.44; IV = 13.6
Call Price = 380.15; Delta = 0.56; IV = 15.0 || 09:43 = 21701 || Put Price = 251.55; Delta = -0.44; IV = 13.6
Call Price = 382.05; Delta = 0.56; IV = 14.9 || 09:44 = 21706 || Put Price = 250.50; Delta = -0.44; IV = 13.6
Call Price = 384.00; Delta = 0.56; IV = 15.0 || 09:45 = 21707 || Put Price = 250.40; Delta = -0.44; IV = 13.6
Call Price = 390.00; Delta = 0.56; IV = 15.0 || 09:46 = 21715 || Put Price = 245.00; Delta = -0.43; IV = 13.6
Call Price = 389.95; Delta = 0.56; IV = 15.1 || 09:47 = 21712 || Put Price = 246.75; Delta = -0.43; IV = 13.6
Call Price = 394.70; Delta = 0.56; IV = 15.3 || 09:48 = 21715 || Put Price = 242.80; Delta = -0.43; IV = 13.5
Call Price = 396.00; Delta = 0.56; IV = 15.2 || 09:49 = 21720 || Put Price = 242.10; Delta = -0.43; IV = 13.6
Call Price = 391.00; Delta = 0.56; IV = 15.0 || 09:50 = 21720 || Put Price = 241.75; Delta = -0.43; IV = 13.6
Call Price = 395.45; Delta = 0.56; IV = 15.1 || 09:51 = 21722 || Put Price = 240.70; Delta = -0.43; IV = 13.6
Call Price = 398.05; Delta = 0.57; IV = 15.1 || 09:52 = 21726 || Put Price = 239.85; Delta = -0.43; IV = 13.6
Call Price = 402.60; Delta = 0.57; IV = 15.2 || 09:53 = 21733 || Put Price = 236.70; Delta = -0.42; IV = 13.6
Call Price = 402.65; Delta = 0.57; IV = 15.2 || 09:54 = 21731 || Put Price = 238.00; Delta = -0.42; IV = 13.6
Call Price = 403.60; Delta = 0.56; IV = 15.5 || 09:55 = 21722 || Put Price = 240.00; Delta = -0.43; IV = 13.5
Call Price = 404.10; Delta = 0.57; IV = 15.4 || 09:56 = 21726 || Put Price = 240.40; Delta = -0.43; IV = 13.6
Call Price = 408.00; Delta = 0.57; IV = 15.5 || 09:57 = 21729 || Put Price = 238.20; Delta = -0.43; IV = 13.5
Call Price = 408.40; Delta = 0.57; IV = 15.6 || 09:58 = 21727 || Put Price = 238.70; Delta = -0.43; IV = 13.5
Call Price = 407.95; Delta = 0.57; IV = 15.6 || 09:59 = 21726 || Put Price = 240.00; Delta = -0.43; IV = 13.6
Call Price = 405.90; Delta = 0.56; IV = 15.5 || 10:00 = 21724 || Put Price = 241.50; Delta = -0.43; IV = 13.6
Call Price = 407.40; Delta = 0.57; IV = 15.4 || 10:01 = 21731 || Put Price = 237.30; Delta = -0.42; IV = 13.5
Call Price = 405.95; Delta = 0.57; IV = 15.4 || 10:02 = 21730 || Put Price = 237.50; Delta = -0.43; IV = 13.6
Call Price = 405.30; Delta = 0.57; IV = 15.4 || 10:03 = 21726 || Put Price = 237.65; Delta = -0.43; IV = 13.5
Call Price = 402.80; Delta = 0.56; IV = 15.4 || 10:04 = 21723 || Put Price = 239.35; Delta = -0.43; IV = 13.5
Call Price = 400.20; Delta = 0.56; IV = 15.3 || 10:05 = 21723 || Put Price = 241.50; Delta = -0.43; IV = 13.6
Call Price = 400.00; Delta = 0.56; IV = 15.4 || 10:06 = 21717 || Put Price = 241.90; Delta = -0.43; IV = 13.5
Call Price = 399.95; Delta = 0.56; IV = 15.5 || 10:07 = 21715 || Put Price = 241.80; Delta = -0.43; IV = 13.4
Call Price = 403.45; Delta = 0.56; IV = 15.5 || 10:08 = 21720 || Put Price = 239.00; Delta = -0.43; IV = 13.4
Call Price = 397.95; Delta = 0.56; IV = 15.4 || 10:09 = 21715 || Put Price = 242.80; Delta = -0.43; IV = 13.5
Call Price = 394.25; Delta = 0.56; IV = 15.3 || 10:10 = 21712 || Put Price = 244.10; Delta = -0.43; IV = 13.5
Call Price = 388.65; Delta = 0.56; IV = 15.3 || 10:11 = 21705 || Put Price = 245.00; Delta = -0.44; IV = 13.4
Call Price = 389.65; Delta = 0.56; IV = 15.3 || 10:12 = 21705 || Put Price = 246.20; Delta = -0.44; IV = 13.4
Call Price = 393.55; Delta = 0.56; IV = 15.4 || 10:13 = 21707 || Put Price = 245.95; Delta = -0.44; IV = 13.5
Call Price = 393.10; Delta = 0.56; IV = 15.3 || 10:14 = 21710 || Put Price = 246.00; Delta = -0.44; IV = 13.5
Call Price = 397.50; Delta = 0.56; IV = 15.5 || 10:15 = 21713 || Put Price = 242.55; Delta = -0.43; IV = 13.4
Call Price = 390.55; Delta = 0.56; IV = 15.3 || 10:16 = 21708 || Put Price = 247.00; Delta = -0.44; IV = 13.6
Call Price = 391.80; Delta = 0.56; IV = 15.2 || 10:17 = 21714 || Put Price = 243.90; Delta = -0.43; IV = 13.5
Call Price = 393.45; Delta = 0.56; IV = 15.1 || 10:18 = 21717 || Put Price = 244.25; Delta = -0.43; IV = 13.6
Call Price = 392.05; Delta = 0.56; IV = 15.2 || 10:19 = 21712 || Put Price = 244.45; Delta = -0.43; IV = 13.5
Call Price = 393.00; Delta = 0.56; IV = 15.2 || 10:20 = 21716 || Put Price = 244.00; Delta = -0.43; IV = 13.6
Call Price = 383.35; Delta = 0.56; IV = 15.0 || 10:21 = 21705 || Put Price = 250.00; Delta = -0.44; IV = 13.6
Call Price = 382.95; Delta = 0.55; IV = 15.1 || 10:22 = 21701 || Put Price = 249.65; Delta = -0.44; IV = 13.5
Call Price = 383.75; Delta = 0.56; IV = 15.1 || 10:23 = 21702 || Put Price = 248.75; Delta = -0.44; IV = 13.5
Call Price = 380.20; Delta = 0.55; IV = 15.0 || 10:24 = 21698 || Put Price = 252.10; Delta = -0.44; IV = 13.6
Call Price = 382.60; Delta = 0.55; IV = 15.1 || 10:25 = 21700 || Put Price = 249.85; Delta = -0.44; IV = 13.5
Call Price = 387.50; Delta = 0.56; IV = 15.2 || 10:26 = 21706 || Put Price = 247.30; Delta = -0.44; IV = 13.5
Call Price = 387.90; Delta = 0.56; IV = 15.2 || 10:27 = 21706 || Put Price = 246.00; Delta = -0.44; IV = 13.4
Call Price = 391.30; Delta = 0.56; IV = 15.2 || 10:28 = 21712 || Put Price = 244.55; Delta = -0.43; IV = 13.5
Call Price = 390.25; Delta = 0.56; IV = 15.1 || 10:29 = 21712 || Put Price = 244.15; Delta = -0.43; IV = 13.5
Call Price = 390.15; Delta = 0.56; IV = 15.2 || 10:30 = 21710 || Put Price = 243.85; Delta = -0.43; IV = 13.4
Call Price = 392.30; Delta = 0.56; IV = 15.2 || 10:31 = 21713 || Put Price = 242.65; Delta = -0.43; IV = 13.4
Call Price = 393.05; Delta = 0.56; IV = 15.2 || 10:32 = 21715 || Put Price = 241.90; Delta = -0.43; IV = 13.4
Call Price = 393.70; Delta = 0.56; IV = 15.2 || 10:33 = 21717 || Put Price = 240.65; Delta = -0.43; IV = 13.4
Call Price = 393.45; Delta = 0.56; IV = 15.1 || 10:34 = 21718 || Put Price = 240.60; Delta = -0.43; IV = 13.5
Call Price = 391.35; Delta = 0.56; IV = 15.1 || 10:35 = 21715 || Put Price = 242.55; Delta = -0.43; IV = 13.5
Call Price = 391.20; Delta = 0.56; IV = 15.1 || 10:36 = 21714 || Put Price = 242.50; Delta = -0.43; IV = 13.4
Call Price = 395.90; Delta = 0.56; IV = 15.2 || 10:37 = 21720 || Put Price = 240.00; Delta = -0.43; IV = 13.4
Call Price = 395.00; Delta = 0.56; IV = 15.2 || 10:38 = 21719 || Put Price = 240.50; Delta = -0.43; IV = 13.4
Call Price = 397.60; Delta = 0.57; IV = 15.2 || 10:39 = 21724 || Put Price = 238.75; Delta = -0.43; IV = 13.5
Call Price = 399.65; Delta = 0.57; IV = 15.2 || 10:40 = 21728 || Put Price = 237.70; Delta = -0.43; IV = 13.5
Call Price = 401.00; Delta = 0.57; IV = 15.2 || 10:41 = 21729 || Put Price = 237.05; Delta = -0.43; IV = 13.5
Call Price = 399.65; Delta = 0.57; IV = 15.3 || 10:42 = 21725 || Put Price = 238.70; Delta = -0.43; IV = 13.5
Call Price = 400.25; Delta = 0.57; IV = 15.3 || 10:43 = 21726 || Put Price = 238.75; Delta = -0.43; IV = 13.5
Call Price = 401.20; Delta = 0.57; IV = 15.3 || 10:44 = 21727 || Put Price = 237.40; Delta = -0.43; IV = 13.4
Call Price = 400.00; Delta = 0.57; IV = 15.3 || 10:45 = 21724 || Put Price = 238.85; Delta = -0.43; IV = 13.5
Call Price = 405.35; Delta = 0.57; IV = 15.4 || 10:46 = 21727 || Put Price = 236.00; Delta = -0.43; IV = 13.4
Call Price = 403.10; Delta = 0.57; IV = 15.3 || 10:47 = 21727 || Put Price = 238.00; Delta = -0.43; IV = 13.5
Call Price = 406.80; Delta = 0.57; IV = 15.5 || 10:48 = 21730 || Put Price = 236.70; Delta = -0.43; IV = 13.5
Call Price = 409.85; Delta = 0.57; IV = 15.4 || 10:49 = 21738 || Put Price = 234.00; Delta = -0.42; IV = 13.5
Call Price = 408.00; Delta = 0.57; IV = 15.3 || 10:50 = 21736 || Put Price = 235.00; Delta = -0.42; IV = 13.6
Call Price = 411.75; Delta = 0.57; IV = 15.5 || 10:51 = 21737 || Put Price = 232.55; Delta = -0.42; IV = 13.4
Call Price = 410.15; Delta = 0.57; IV = 15.4 || 10:52 = 21737 || Put Price = 234.00; Delta = -0.42; IV = 13.5
Call Price = 408.00; Delta = 0.57; IV = 15.3 || 10:53 = 21737 || Put Price = 235.40; Delta = -0.42; IV = 13.6
Call Price = 410.25; Delta = 0.57; IV = 15.4 || 10:54 = 21737 || Put Price = 234.60; Delta = -0.42; IV = 13.6
Call Price = 411.00; Delta = 0.57; IV = 15.4 || 10:55 = 21738 || Put Price = 234.00; Delta = -0.42; IV = 13.6
Call Price = 408.00; Delta = 0.57; IV = 15.4 || 10:56 = 21736 || Put Price = 233.00; Delta = -0.42; IV = 13.4
Call Price = 408.00; Delta = 0.57; IV = 15.4 || 10:57 = 21736 || Put Price = 232.95; Delta = -0.42; IV = 13.4
Call Price = 406.25; Delta = 0.57; IV = 15.3 || 10:58 = 21735 || Put Price = 234.40; Delta = -0.42; IV = 13.5
Call Price = 407.10; Delta = 0.57; IV = 15.3 || 10:59 = 21736 || Put Price = 234.15; Delta = -0.42; IV = 13.5
Call Price = 411.50; Delta = 0.57; IV = 15.4 || 11:00 = 21740 || Put Price = 231.90; Delta = -0.42; IV = 13.5
Call Price = 413.75; Delta = 0.57; IV = 15.5 || 11:01 = 21741 || Put Price = 230.40; Delta = -0.42; IV = 13.4
Call Price = 410.75; Delta = 0.57; IV = 15.4 || 11:02 = 21739 || Put Price = 232.30; Delta = -0.42; IV = 13.5
Call Price = 405.55; Delta = 0.57; IV = 15.4 || 11:03 = 21730 || Put Price = 237.00; Delta = -0.42; IV = 13.5
Call Price = 401.50; Delta = 0.57; IV = 15.3 || 11:04 = 21730 || Put Price = 236.90; Delta = -0.43; IV = 13.5
Call Price = 402.85; Delta = 0.57; IV = 15.2 || 11:05 = 21732 || Put Price = 236.00; Delta = -0.42; IV = 13.5
Call Price = 406.00; Delta = 0.57; IV = 15.4 || 11:06 = 21730 || Put Price = 236.95; Delta = -0.43; IV = 13.5
Call Price = 408.00; Delta = 0.57; IV = 15.4 || 11:07 = 21735 || Put Price = 234.45; Delta = -0.42; IV = 13.5
Call Price = 406.25; Delta = 0.57; IV = 15.3 || 11:08 = 21735 || Put Price = 235.00; Delta = -0.42; IV = 13.5
Call Price = 408.65; Delta = 0.57; IV = 15.4 || 11:09 = 21737 || Put Price = 234.30; Delta = -0.42; IV = 13.5
Call Price = 407.30; Delta = 0.57; IV = 15.3 || 11:10 = 21736 || Put Price = 235.25; Delta = -0.42; IV = 13.6
Call Price = 406.80; Delta = 0.57; IV = 15.3 || 11:11 = 21736 || Put Price = 234.90; Delta = -0.42; IV = 13.5
Call Price = 406.20; Delta = 0.57; IV = 15.3 || 11:12 = 21735 || Put Price = 234.95; Delta = -0.42; IV = 13.5
Call Price = 407.65; Delta = 0.57; IV = 15.3 || 11:13 = 21739 || Put Price = 234.25; Delta = -0.42; IV = 13.6
Call Price = 410.00; Delta = 0.57; IV = 15.3 || 11:14 = 21741 || Put Price = 233.00; Delta = -0.42; IV = 13.6
Call Price = 410.90; Delta = 0.57; IV = 15.4 || 11:15 = 21741 || Put Price = 234.60; Delta = -0.42; IV = 13.6
Call Price = 406.30; Delta = 0.57; IV = 15.3 || 11:16 = 21736 || Put Price = 236.05; Delta = -0.42; IV = 13.6
Call Price = 405.75; Delta = 0.57; IV = 15.3 || 11:17 = 21734 || Put Price = 236.70; Delta = -0.42; IV = 13.6
Call Price = 409.05; Delta = 0.57; IV = 15.3 || 11:18 = 21739 || Put Price = 234.70; Delta = -0.42; IV = 13.6
Call Price = 411.70; Delta = 0.57; IV = 15.4 || 11:19 = 21742 || Put Price = 232.40; Delta = -0.42; IV = 13.5
Call Price = 412.05; Delta = 0.57; IV = 15.4 || 11:20 = 21742 || Put Price = 232.70; Delta = -0.42; IV = 13.6
Call Price = 410.40; Delta = 0.57; IV = 15.3 || 11:21 = 21740 || Put Price = 233.40; Delta = -0.42; IV = 13.5
Call Price = 408.55; Delta = 0.57; IV = 15.3 || 11:22 = 21739 || Put Price = 233.25; Delta = -0.42; IV = 13.5
Call Price = 409.00; Delta = 0.57; IV = 15.4 || 11:23 = 21736 || Put Price = 233.30; Delta = -0.42; IV = 13.4
Call Price = 409.00; Delta = 0.57; IV = 15.4 || 11:24 = 21738 || Put Price = 232.45; Delta = -0.42; IV = 13.4
Call Price = 410.80; Delta = 0.57; IV = 15.4 || 11:25 = 21741 || Put Price = 232.40; Delta = -0.42; IV = 13.5
Call Price = 411.60; Delta = 0.57; IV = 15.4 || 11:26 = 21740 || Put Price = 231.45; Delta = -0.42; IV = 13.4
Call Price = 411.00; Delta = 0.57; IV = 15.3 || 11:27 = 21742 || Put Price = 231.90; Delta = -0.42; IV = 13.5
Call Price = 411.00; Delta = 0.57; IV = 15.4 || 11:28 = 21741 || Put Price = 231.45; Delta = -0.42; IV = 13.5
Call Price = 413.00; Delta = 0.58; IV = 15.3 || 11:29 = 21746 || Put Price = 231.00; Delta = -0.42; IV = 13.6
Call Price = 416.60; Delta = 0.57; IV = 15.5 || 11:30 = 21746 || Put Price = 228.80; Delta = -0.42; IV = 13.5
Call Price = 412.25; Delta = 0.57; IV = 15.3 || 11:31 = 21744 || Put Price = 231.00; Delta = -0.42; IV = 13.5
Call Price = 411.00; Delta = 0.57; IV = 15.4 || 11:32 = 21741 || Put Price = 231.60; Delta = -0.42; IV = 13.5
Call Price = 408.00; Delta = 0.57; IV = 15.3 || 11:33 = 21738 || Put Price = 233.00; Delta = -0.42; IV = 13.5
Call Price = 406.45; Delta = 0.57; IV = 15.3 || 11:34 = 21736 || Put Price = 234.05; Delta = -0.42; IV = 13.5
Call Price = 407.35; Delta = 0.57; IV = 15.3 || 11:35 = 21737 || Put Price = 234.00; Delta = -0.42; IV = 13.5
Call Price = 405.20; Delta = 0.57; IV = 15.3 || 11:36 = 21733 || Put Price = 234.20; Delta = -0.42; IV = 13.4
Call Price = 407.00; Delta = 0.57; IV = 15.4 || 11:37 = 21733 || Put Price = 234.15; Delta = -0.42; IV = 13.4
Call Price = 403.60; Delta = 0.57; IV = 15.3 || 11:38 = 21730 || Put Price = 235.40; Delta = -0.42; IV = 13.4
Call Price = 405.20; Delta = 0.57; IV = 15.3 || 11:39 = 21734 || Put Price = 233.55; Delta = -0.42; IV = 13.5
Call Price = 405.95; Delta = 0.57; IV = 15.3 || 11:40 = 21735 || Put Price = 233.00; Delta = -0.42; IV = 13.4
Call Price = 409.00; Delta = 0.57; IV = 15.3 || 11:41 = 21739 || Put Price = 232.10; Delta = -0.42; IV = 13.5
Call Price = 407.40; Delta = 0.57; IV = 15.3 || 11:42 = 21738 || Put Price = 232.90; Delta = -0.42; IV = 13.5
Call Price = 405.25; Delta = 0.57; IV = 15.3 || 11:43 = 21734 || Put Price = 233.85; Delta = -0.42; IV = 13.4
Call Price = 402.95; Delta = 0.57; IV = 15.3 || 11:44 = 21731 || Put Price = 234.45; Delta = -0.42; IV = 13.4
Call Price = 403.30; Delta = 0.57; IV = 15.3 || 11:45 = 21731 || Put Price = 234.15; Delta = -0.42; IV = 13.4
Call Price = 402.95; Delta = 0.57; IV = 15.3 || 11:46 = 21731 || Put Price = 236.00; Delta = -0.42; IV = 13.5
Call Price = 402.55; Delta = 0.57; IV = 15.2 || 11:47 = 21732 || Put Price = 234.35; Delta = -0.42; IV = 13.4
Call Price = 403.00; Delta = 0.57; IV = 15.3 || 11:48 = 21731 || Put Price = 234.80; Delta = -0.42; IV = 13.4
Call Price = 401.45; Delta = 0.57; IV = 15.2 || 11:49 = 21730 || Put Price = 234.70; Delta = -0.42; IV = 13.4
Call Price = 403.80; Delta = 0.57; IV = 15.2 || 11:50 = 21734 || Put Price = 234.05; Delta = -0.42; IV = 13.4
Call Price = 405.55; Delta = 0.57; IV = 15.3 || 11:51 = 21736 || Put Price = 233.15; Delta = -0.42; IV = 13.4
Call Price = 404.55; Delta = 0.57; IV = 15.3 || 11:52 = 21735 || Put Price = 233.60; Delta = -0.42; IV = 13.5
Call Price = 406.85; Delta = 0.57; IV = 15.3 || 11:53 = 21738 || Put Price = 232.95; Delta = -0.42; IV = 13.5
Call Price = 404.10; Delta = 0.57; IV = 15.2 || 11:54 = 21737 || Put Price = 234.50; Delta = -0.42; IV = 13.5
Call Price = 402.65; Delta = 0.57; IV = 15.3 || 11:55 = 21732 || Put Price = 235.35; Delta = -0.42; IV = 13.5
Call Price = 404.25; Delta = 0.57; IV = 15.3 || 11:56 = 21734 || Put Price = 235.00; Delta = -0.42; IV = 13.5
Call Price = 405.70; Delta = 0.57; IV = 15.3 || 11:57 = 21735 || Put Price = 234.00; Delta = -0.42; IV = 13.5
Call Price = 407.00; Delta = 0.57; IV = 15.3 || 11:58 = 21735 || Put Price = 233.20; Delta = -0.42; IV = 13.4
Call Price = 404.75; Delta = 0.57; IV = 15.3 || 11:59 = 21733 || Put Price = 234.45; Delta = -0.42; IV = 13.4
Call Price = 403.70; Delta = 0.57; IV = 15.3 || 12:00 = 21732 || Put Price = 236.00; Delta = -0.42; IV = 13.5
Call Price = 394.80; Delta = 0.56; IV = 15.1 || 12:01 = 21722 || Put Price = 239.40; Delta = -0.43; IV = 13.4
Call Price = 401.00; Delta = 0.56; IV = 15.4 || 12:02 = 21723 || Put Price = 236.00; Delta = -0.43; IV = 13.3
Call Price = 404.95; Delta = 0.57; IV = 15.5 || 12:03 = 21725 || Put Price = 234.15; Delta = -0.43; IV = 13.3
Call Price = 404.05; Delta = 0.56; IV = 15.5 || 12:04 = 21724 || Put Price = 234.95; Delta = -0.43; IV = 13.3
Call Price = 403.20; Delta = 0.56; IV = 15.5 || 12:05 = 21722 || Put Price = 235.05; Delta = -0.43; IV = 13.3
Call Price = 406.80; Delta = 0.57; IV = 15.6 || 12:06 = 21727 || Put Price = 233.35; Delta = -0.43; IV = 13.3
Call Price = 404.90; Delta = 0.56; IV = 15.5 || 12:07 = 21725 || Put Price = 233.60; Delta = -0.43; IV = 13.3
Call Price = 406.40; Delta = 0.56; IV = 15.6 || 12:08 = 21726 || Put Price = 232.70; Delta = -0.43; IV = 13.2
Call Price = 409.00; Delta = 0.57; IV = 15.6 || 12:09 = 21729 || Put Price = 230.30; Delta = -0.42; IV = 13.2
Call Price = 412.85; Delta = 0.57; IV = 15.7 || 12:10 = 21732 || Put Price = 227.70; Delta = -0.42; IV = 13.2
Call Price = 412.75; Delta = 0.57; IV = 15.7 || 12:11 = 21732 || Put Price = 228.05; Delta = -0.42; IV = 13.2
Call Price = 413.40; Delta = 0.57; IV = 15.7 || 12:12 = 21733 || Put Price = 227.20; Delta = -0.42; IV = 13.1
Call Price = 415.00; Delta = 0.57; IV = 15.6 || 12:13 = 21739 || Put Price = 224.00; Delta = -0.42; IV = 13.1
Call Price = 414.95; Delta = 0.57; IV = 15.5 || 12:14 = 21742 || Put Price = 222.35; Delta = -0.42; IV = 13.1
Call Price = 413.25; Delta = 0.57; IV = 15.4 || 12:15 = 21742 || Put Price = 224.55; Delta = -0.42; IV = 13.2
Call Price = 411.00; Delta = 0.57; IV = 15.4 || 12:16 = 21739 || Put Price = 225.25; Delta = -0.42; IV = 13.1
Call Price = 409.90; Delta = 0.57; IV = 15.4 || 12:17 = 21736 || Put Price = 226.15; Delta = -0.42; IV = 13.1
Call Price = 410.20; Delta = 0.57; IV = 15.6 || 12:18 = 21733 || Put Price = 227.55; Delta = -0.42; IV = 13.2
Call Price = 407.85; Delta = 0.57; IV = 15.6 || 12:19 = 21727 || Put Price = 231.30; Delta = -0.43; IV = 13.2
Call Price = 404.85; Delta = 0.57; IV = 15.5 || 12:20 = 21726 || Put Price = 232.40; Delta = -0.43; IV = 13.2
Call Price = 403.35; Delta = 0.56; IV = 15.4 || 12:21 = 21724 || Put Price = 233.50; Delta = -0.43; IV = 13.2
Call Price = 402.50; Delta = 0.56; IV = 15.4 || 12:22 = 21724 || Put Price = 233.25; Delta = -0.43; IV = 13.2
Call Price = 403.30; Delta = 0.56; IV = 15.5 || 12:23 = 21722 || Put Price = 234.30; Delta = -0.43; IV = 13.2
Call Price = 400.00; Delta = 0.56; IV = 15.4 || 12:24 = 21721 || Put Price = 235.25; Delta = -0.43; IV = 13.2
Call Price = 398.05; Delta = 0.56; IV = 15.4 || 12:25 = 21719 || Put Price = 235.90; Delta = -0.43; IV = 13.2
Call Price = 398.40; Delta = 0.56; IV = 15.4 || 12:26 = 21718 || Put Price = 234.70; Delta = -0.43; IV = 13.2
Call Price = 397.50; Delta = 0.56; IV = 15.3 || 12:27 = 21720 || Put Price = 234.60; Delta = -0.43; IV = 13.2
Call Price = 396.65; Delta = 0.56; IV = 15.4 || 12:28 = 21716 || Put Price = 236.25; Delta = -0.43; IV = 13.2
Call Price = 396.85; Delta = 0.56; IV = 15.4 || 12:29 = 21717 || Put Price = 236.55; Delta = -0.43; IV = 13.2
Call Price = 394.20; Delta = 0.56; IV = 15.3 || 12:30 = 21714 || Put Price = 235.40; Delta = -0.43; IV = 13.1
Call Price = 396.05; Delta = 0.56; IV = 15.4 || 12:31 = 21715 || Put Price = 235.80; Delta = -0.43; IV = 13.2
Call Price = 397.40; Delta = 0.56; IV = 15.3 || 12:32 = 21719 || Put Price = 235.00; Delta = -0.43; IV = 13.2
Call Price = 399.50; Delta = 0.56; IV = 15.4 || 12:33 = 21719 || Put Price = 234.00; Delta = -0.43; IV = 13.2
Call Price = 400.20; Delta = 0.57; IV = 15.3 || 12:34 = 21726 || Put Price = 232.45; Delta = -0.43; IV = 13.2
Call Price = 400.40; Delta = 0.57; IV = 15.3 || 12:35 = 21725 || Put Price = 233.15; Delta = -0.43; IV = 13.2
Call Price = 400.00; Delta = 0.57; IV = 15.3 || 12:36 = 21726 || Put Price = 232.25; Delta = -0.43; IV = 13.2
Call Price = 398.95; Delta = 0.57; IV = 15.3 || 12:37 = 21725 || Put Price = 232.90; Delta = -0.43; IV = 13.2
Call Price = 400.20; Delta = 0.57; IV = 15.3 || 12:38 = 21727 || Put Price = 231.45; Delta = -0.43; IV = 13.2
Call Price = 402.00; Delta = 0.57; IV = 15.3 || 12:39 = 21730 || Put Price = 230.05; Delta = -0.42; IV = 13.2
Call Price = 402.65; Delta = 0.57; IV = 15.3 || 12:40 = 21732 || Put Price = 231.30; Delta = -0.42; IV = 13.3
Call Price = 401.80; Delta = 0.57; IV = 15.2 || 12:41 = 21731 || Put Price = 231.45; Delta = -0.42; IV = 13.2
Call Price = 401.15; Delta = 0.57; IV = 15.2 || 12:42 = 21732 || Put Price = 231.25; Delta = -0.42; IV = 13.3
Call Price = 400.85; Delta = 0.57; IV = 15.2 || 12:43 = 21732 || Put Price = 231.55; Delta = -0.42; IV = 13.3
Call Price = 402.05; Delta = 0.57; IV = 15.1 || 12:44 = 21735 || Put Price = 230.80; Delta = -0.42; IV = 13.4
Call Price = 404.25; Delta = 0.57; IV = 15.2 || 12:45 = 21736 || Put Price = 229.45; Delta = -0.42; IV = 13.2
Call Price = 405.00; Delta = 0.57; IV = 15.1 || 12:46 = 21740 || Put Price = 228.15; Delta = -0.42; IV = 13.3
Call Price = 406.20; Delta = 0.57; IV = 15.1 || 12:47 = 21742 || Put Price = 228.00; Delta = -0.42; IV = 13.3
Call Price = 409.20; Delta = 0.58; IV = 15.1 || 12:48 = 21748 || Put Price = 226.25; Delta = -0.42; IV = 13.4
Call Price = 408.25; Delta = 0.58; IV = 15.1 || 12:49 = 21747 || Put Price = 225.75; Delta = -0.42; IV = 13.3
Call Price = 410.15; Delta = 0.58; IV = 15.2 || 12:50 = 21747 || Put Price = 224.70; Delta = -0.41; IV = 13.3
Call Price = 408.00; Delta = 0.58; IV = 15.1 || 12:51 = 21745 || Put Price = 225.85; Delta = -0.42; IV = 13.3
Call Price = 405.60; Delta = 0.57; IV = 15.1 || 12:52 = 21742 || Put Price = 227.85; Delta = -0.42; IV = 13.3
Call Price = 410.00; Delta = 0.58; IV = 15.2 || 12:53 = 21746 || Put Price = 225.35; Delta = -0.42; IV = 13.3
Call Price = 410.65; Delta = 0.58; IV = 15.2 || 12:54 = 21747 || Put Price = 225.10; Delta = -0.42; IV = 13.3
Call Price = 410.75; Delta = 0.57; IV = 15.3 || 12:55 = 21745 || Put Price = 225.15; Delta = -0.42; IV = 13.2
Call Price = 412.25; Delta = 0.57; IV = 15.4 || 12:56 = 21742 || Put Price = 225.90; Delta = -0.42; IV = 13.2
Call Price = 410.00; Delta = 0.57; IV = 15.3 || 12:57 = 21744 || Put Price = 226.90; Delta = -0.42; IV = 13.3
Call Price = 408.85; Delta = 0.57; IV = 15.3 || 12:58 = 21743 || Put Price = 227.80; Delta = -0.42; IV = 13.4
Call Price = 407.90; Delta = 0.57; IV = 15.3 || 12:59 = 21741 || Put Price = 227.80; Delta = -0.42; IV = 13.3
Call Price = 408.40; Delta = 0.57; IV = 15.3 || 13:00 = 21740 || Put Price = 227.75; Delta = -0.42; IV = 13.3
Call Price = 411.00; Delta = 0.57; IV = 15.4 || 13:01 = 21743 || Put Price = 227.00; Delta = -0.42; IV = 13.3
Call Price = 413.05; Delta = 0.57; IV = 15.4 || 13:02 = 21744 || Put Price = 223.95; Delta = -0.42; IV = 13.2
Call Price = 413.00; Delta = 0.57; IV = 15.4 || 13:03 = 21745 || Put Price = 224.30; Delta = -0.42; IV = 13.2
Call Price = 411.00; Delta = 0.57; IV = 15.4 || 13:04 = 21742 || Put Price = 225.50; Delta = -0.42; IV = 13.2
Call Price = 413.50; Delta = 0.57; IV = 15.4 || 13:05 = 21744 || Put Price = 223.80; Delta = -0.42; IV = 13.2
Call Price = 412.85; Delta = 0.57; IV = 15.4 || 13:06 = 21743 || Put Price = 224.40; Delta = -0.42; IV = 13.2
Call Price = 409.00; Delta = 0.57; IV = 15.3 || 13:07 = 21739 || Put Price = 225.85; Delta = -0.42; IV = 13.2
Call Price = 409.60; Delta = 0.57; IV = 15.4 || 13:08 = 21741 || Put Price = 225.70; Delta = -0.42; IV = 13.2
Call Price = 408.00; Delta = 0.57; IV = 15.3 || 13:09 = 21739 || Put Price = 226.10; Delta = -0.42; IV = 13.2
Call Price = 409.00; Delta = 0.57; IV = 15.4 || 13:10 = 21738 || Put Price = 226.05; Delta = -0.42; IV = 13.2
Call Price = 410.05; Delta = 0.57; IV = 15.5 || 13:11 = 21736 || Put Price = 226.10; Delta = -0.42; IV = 13.1
Call Price = 407.50; Delta = 0.57; IV = 15.4 || 13:12 = 21736 || Put Price = 226.70; Delta = -0.42; IV = 13.2
Call Price = 407.90; Delta = 0.57; IV = 15.4 || 13:13 = 21737 || Put Price = 225.40; Delta = -0.42; IV = 13.1
Call Price = 410.40; Delta = 0.57; IV = 15.4 || 13:14 = 21738 || Put Price = 224.95; Delta = -0.42; IV = 13.1
Call Price = 412.55; Delta = 0.57; IV = 15.5 || 13:15 = 21741 || Put Price = 224.05; Delta = -0.42; IV = 13.1
Call Price = 415.60; Delta = 0.57; IV = 15.6 || 13:16 = 21744 || Put Price = 222.00; Delta = -0.42; IV = 13.1
Call Price = 414.00; Delta = 0.57; IV = 15.4 || 13:17 = 21745 || Put Price = 222.05; Delta = -0.42; IV = 13.1
Call Price = 413.00; Delta = 0.57; IV = 15.5 || 13:18 = 21741 || Put Price = 222.50; Delta = -0.42; IV = 13.0
Call Price = 409.80; Delta = 0.57; IV = 15.4 || 13:19 = 21740 || Put Price = 224.80; Delta = -0.42; IV = 13.2
Call Price = 412.00; Delta = 0.57; IV = 15.4 || 13:20 = 21742 || Put Price = 223.20; Delta = -0.42; IV = 13.1
Call Price = 411.25; Delta = 0.57; IV = 15.4 || 13:21 = 21740 || Put Price = 223.55; Delta = -0.42; IV = 13.1
Call Price = 413.45; Delta = 0.57; IV = 15.4 || 13:22 = 21742 || Put Price = 222.55; Delta = -0.42; IV = 13.1
Call Price = 411.40; Delta = 0.57; IV = 15.5 || 13:23 = 21738 || Put Price = 223.70; Delta = -0.42; IV = 13.1
Call Price = 412.00; Delta = 0.57; IV = 15.5 || 13:24 = 21739 || Put Price = 223.50; Delta = -0.42; IV = 13.1
Call Price = 413.65; Delta = 0.57; IV = 15.5 || 13:25 = 21742 || Put Price = 223.05; Delta = -0.42; IV = 13.1
Call Price = 413.00; Delta = 0.57; IV = 15.4 || 13:26 = 21743 || Put Price = 222.65; Delta = -0.42; IV = 13.1
Call Price = 413.80; Delta = 0.57; IV = 15.4 || 13:27 = 21744 || Put Price = 223.00; Delta = -0.42; IV = 13.2
Call Price = 416.00; Delta = 0.57; IV = 15.5 || 13:28 = 21747 || Put Price = 221.00; Delta = -0.41; IV = 13.1
Call Price = 416.40; Delta = 0.58; IV = 15.3 || 13:29 = 21752 || Put Price = 220.80; Delta = -0.41; IV = 13.2
Call Price = 412.45; Delta = 0.58; IV = 15.2 || 13:30 = 21751 || Put Price = 222.55; Delta = -0.41; IV = 13.3
Call Price = 411.20; Delta = 0.58; IV = 15.2 || 13:31 = 21749 || Put Price = 223.55; Delta = -0.41; IV = 13.3
Call Price = 414.55; Delta = 0.58; IV = 15.3 || 13:32 = 21752 || Put Price = 221.50; Delta = -0.41; IV = 13.2
Call Price = 415.00; Delta = 0.58; IV = 15.3 || 13:33 = 21751 || Put Price = 222.00; Delta = -0.41; IV = 13.2
Call Price = 409.95; Delta = 0.58; IV = 15.2 || 13:34 = 21746 || Put Price = 224.20; Delta = -0.41; IV = 13.2
Call Price = 410.85; Delta = 0.58; IV = 15.2 || 13:35 = 21749 || Put Price = 223.60; Delta = -0.41; IV = 13.3
Call Price = 410.85; Delta = 0.58; IV = 15.3 || 13:36 = 21747 || Put Price = 223.60; Delta = -0.41; IV = 13.2
Call Price = 410.90; Delta = 0.58; IV = 15.3 || 13:37 = 21746 || Put Price = 223.95; Delta = -0.42; IV = 13.2
Call Price = 412.55; Delta = 0.58; IV = 15.3 || 13:38 = 21748 || Put Price = 222.85; Delta = -0.41; IV = 13.2
Call Price = 411.00; Delta = 0.58; IV = 15.3 || 13:39 = 21747 || Put Price = 221.85; Delta = -0.41; IV = 13.2
Call Price = 412.40; Delta = 0.58; IV = 15.2 || 13:40 = 21750 || Put Price = 223.80; Delta = -0.41; IV = 13.3
Call Price = 411.20; Delta = 0.58; IV = 15.2 || 13:41 = 21748 || Put Price = 223.75; Delta = -0.41; IV = 13.3
Call Price = 409.95; Delta = 0.58; IV = 15.2 || 13:42 = 21746 || Put Price = 223.15; Delta = -0.41; IV = 13.2
Call Price = 409.05; Delta = 0.58; IV = 15.2 || 13:43 = 21746 || Put Price = 224.80; Delta = -0.42; IV = 13.3
Call Price = 408.00; Delta = 0.57; IV = 15.2 || 13:44 = 21743 || Put Price = 225.00; Delta = -0.42; IV = 13.2
Call Price = 412.40; Delta = 0.58; IV = 15.2 || 13:45 = 21750 || Put Price = 223.70; Delta = -0.41; IV = 13.3
Call Price = 412.00; Delta = 0.58; IV = 15.3 || 13:46 = 21749 || Put Price = 223.05; Delta = -0.41; IV = 13.2
Call Price = 414.85; Delta = 0.58; IV = 15.3 || 13:47 = 21751 || Put Price = 221.15; Delta = -0.41; IV = 13.2
Call Price = 415.00; Delta = 0.58; IV = 15.2 || 13:48 = 21755 || Put Price = 221.10; Delta = -0.41; IV = 13.2
Call Price = 416.00; Delta = 0.58; IV = 15.3 || 13:49 = 21755 || Put Price = 220.35; Delta = -0.41; IV = 13.2
Call Price = 419.75; Delta = 0.58; IV = 15.3 || 13:50 = 21760 || Put Price = 219.05; Delta = -0.41; IV = 13.3
Call Price = 415.25; Delta = 0.58; IV = 15.2 || 13:51 = 21755 || Put Price = 220.95; Delta = -0.41; IV = 13.3
Call Price = 414.15; Delta = 0.58; IV = 15.3 || 13:52 = 21752 || Put Price = 221.70; Delta = -0.41; IV = 13.2
Call Price = 416.05; Delta = 0.58; IV = 15.4 || 13:53 = 21752 || Put Price = 220.65; Delta = -0.41; IV = 13.2
Call Price = 416.10; Delta = 0.58; IV = 15.3 || 13:54 = 21755 || Put Price = 220.50; Delta = -0.41; IV = 13.2
Call Price = 416.55; Delta = 0.58; IV = 15.4 || 13:55 = 21753 || Put Price = 219.85; Delta = -0.41; IV = 13.2
Call Price = 421.00; Delta = 0.58; IV = 15.5 || 13:56 = 21756 || Put Price = 218.05; Delta = -0.41; IV = 13.2
Call Price = 429.40; Delta = 0.58; IV = 15.6 || 13:57 = 21764 || Put Price = 214.65; Delta = -0.41; IV = 13.2
Call Price = 434.25; Delta = 0.58; IV = 15.7 || 13:58 = 21768 || Put Price = 212.20; Delta = -0.40; IV = 13.1
Call Price = 431.95; Delta = 0.58; IV = 15.7 || 13:59 = 21765 || Put Price = 214.15; Delta = -0.40; IV = 13.1
Call Price = 436.20; Delta = 0.59; IV = 15.7 || 14:00 = 21771 || Put Price = 211.30; Delta = -0.40; IV = 13.1
Call Price = 439.90; Delta = 0.59; IV = 15.9 || 14:01 = 21773 || Put Price = 209.90; Delta = -0.40; IV = 13.1
Call Price = 451.85; Delta = 0.59; IV = 16.2 || 14:02 = 21782 || Put Price = 206.55; Delta = -0.40; IV = 13.1
Call Price = 447.00; Delta = 0.58; IV = 16.2 || 14:03 = 21775 || Put Price = 208.50; Delta = -0.40; IV = 13.1
Call Price = 453.95; Delta = 0.59; IV = 16.4 || 14:04 = 21779 || Put Price = 206.20; Delta = -0.40; IV = 13.0
Call Price = 454.25; Delta = 0.59; IV = 16.4 || 14:05 = 21780 || Put Price = 206.35; Delta = -0.40; IV = 13.1
Call Price = 457.30; Delta = 0.59; IV = 16.4 || 14:06 = 21784 || Put Price = 204.95; Delta = -0.39; IV = 13.1
Call Price = 454.00; Delta = 0.59; IV = 16.3 || 14:07 = 21781 || Put Price = 205.95; Delta = -0.40; IV = 13.1
Call Price = 454.50; Delta = 0.59; IV = 16.4 || 14:08 = 21779 || Put Price = 206.10; Delta = -0.40; IV = 13.0
Call Price = 452.30; Delta = 0.59; IV = 16.3 || 14:09 = 21780 || Put Price = 205.95; Delta = -0.40; IV = 13.1
Call Price = 456.90; Delta = 0.59; IV = 16.4 || 14:10 = 21782 || Put Price = 205.00; Delta = -0.40; IV = 13.1
Call Price = 464.80; Delta = 0.59; IV = 16.7 || 14:11 = 21788 || Put Price = 202.65; Delta = -0.39; IV = 13.1
Call Price = 464.00; Delta = 0.59; IV = 16.5 || 14:12 = 21790 || Put Price = 202.85; Delta = -0.39; IV = 13.1
Call Price = 466.85; Delta = 0.59; IV = 16.6 || 14:13 = 21792 || Put Price = 201.15; Delta = -0.39; IV = 13.0
Call Price = 466.40; Delta = 0.59; IV = 16.6 || 14:14 = 21793 || Put Price = 200.90; Delta = -0.39; IV = 13.1
Call Price = 463.70; Delta = 0.59; IV = 16.5 || 14:15 = 21790 || Put Price = 201.45; Delta = -0.39; IV = 13.0
Call Price = 466.30; Delta = 0.59; IV = 16.6 || 14:16 = 21792 || Put Price = 201.20; Delta = -0.39; IV = 13.0
Call Price = 471.20; Delta = 0.59; IV = 16.6 || 14:17 = 21800 || Put Price = 199.75; Delta = -0.39; IV = 13.1
Call Price = 465.90; Delta = 0.59; IV = 16.6 || 14:18 = 21793 || Put Price = 201.95; Delta = -0.39; IV = 13.1
Call Price = 467.35; Delta = 0.59; IV = 16.6 || 14:19 = 21792 || Put Price = 202.20; Delta = -0.39; IV = 13.1
Call Price = 468.85; Delta = 0.59; IV = 16.7 || 14:20 = 21794 || Put Price = 203.55; Delta = -0.39; IV = 13.2
Call Price = 465.25; Delta = 0.59; IV = 16.6 || 14:21 = 21790 || Put Price = 204.70; Delta = -0.39; IV = 13.2
Call Price = 462.25; Delta = 0.59; IV = 16.5 || 14:22 = 21788 || Put Price = 206.00; Delta = -0.39; IV = 13.2
Call Price = 466.05; Delta = 0.59; IV = 16.6 || 14:23 = 21792 || Put Price = 204.30; Delta = -0.39; IV = 13.2
Call Price = 463.20; Delta = 0.59; IV = 16.4 || 14:24 = 21792 || Put Price = 205.80; Delta = -0.39; IV = 13.3
Call Price = 464.00; Delta = 0.59; IV = 16.4 || 14:25 = 21795 || Put Price = 204.00; Delta = -0.39; IV = 13.2
Call Price = 462.00; Delta = 0.59; IV = 16.4 || 14:26 = 21794 || Put Price = 204.60; Delta = -0.39; IV = 13.2
Call Price = 456.05; Delta = 0.59; IV = 16.2 || 14:27 = 21789 || Put Price = 205.50; Delta = -0.39; IV = 13.2
Call Price = 461.90; Delta = 0.59; IV = 16.5 || 14:28 = 21790 || Put Price = 204.00; Delta = -0.39; IV = 13.1
Call Price = 465.55; Delta = 0.59; IV = 16.5 || 14:29 = 21794 || Put Price = 203.55; Delta = -0.39; IV = 13.2
Call Price = 467.75; Delta = 0.59; IV = 16.5 || 14:30 = 21798 || Put Price = 203.70; Delta = -0.39; IV = 13.3
Call Price = 463.75; Delta = 0.59; IV = 16.5 || 14:31 = 21792 || Put Price = 206.30; Delta = -0.39; IV = 13.3
Call Price = 463.35; Delta = 0.59; IV = 16.4 || 14:32 = 21792 || Put Price = 206.70; Delta = -0.39; IV = 13.3
Call Price = 464.75; Delta = 0.59; IV = 16.5 || 14:33 = 21795 || Put Price = 204.75; Delta = -0.39; IV = 13.3
Call Price = 465.25; Delta = 0.59; IV = 16.5 || 14:34 = 21795 || Put Price = 204.85; Delta = -0.39; IV = 13.3
Call Price = 466.95; Delta = 0.59; IV = 16.5 || 14:35 = 21797 || Put Price = 204.45; Delta = -0.39; IV = 13.3
Call Price = 469.00; Delta = 0.59; IV = 16.6 || 14:36 = 21796 || Put Price = 203.45; Delta = -0.39; IV = 13.2
Call Price = 465.45; Delta = 0.59; IV = 16.5 || 14:37 = 21792 || Put Price = 205.00; Delta = -0.39; IV = 13.2
Call Price = 462.70; Delta = 0.59; IV = 16.5 || 14:38 = 21789 || Put Price = 204.80; Delta = -0.39; IV = 13.2
Call Price = 459.90; Delta = 0.59; IV = 16.4 || 14:39 = 21789 || Put Price = 205.75; Delta = -0.39; IV = 13.2
Call Price = 464.95; Delta = 0.59; IV = 16.5 || 14:40 = 21793 || Put Price = 203.60; Delta = -0.39; IV = 13.2
Call Price = 473.45; Delta = 0.59; IV = 16.7 || 14:41 = 21800 || Put Price = 198.95; Delta = -0.39; IV = 13.1
Call Price = 486.40; Delta = 0.60; IV = 17.0 || 14:42 = 21810 || Put Price = 193.40; Delta = -0.38; IV = 13.0
Call Price = 491.30; Delta = 0.60; IV = 17.2 || 14:43 = 21812 || Put Price = 191.60; Delta = -0.38; IV = 13.0
Call Price = 494.80; Delta = 0.60; IV = 17.3 || 14:44 = 21817 || Put Price = 191.10; Delta = -0.38; IV = 13.0
Call Price = 492.55; Delta = 0.60; IV = 17.2 || 14:45 = 21816 || Put Price = 192.10; Delta = -0.38; IV = 13.1
Call Price = 493.45; Delta = 0.60; IV = 17.2 || 14:46 = 21816 || Put Price = 193.10; Delta = -0.38; IV = 13.1
Call Price = 491.00; Delta = 0.60; IV = 17.1 || 14:47 = 21815 || Put Price = 192.30; Delta = -0.38; IV = 13.0
Call Price = 492.70; Delta = 0.60; IV = 17.2 || 14:48 = 21816 || Put Price = 191.50; Delta = -0.38; IV = 13.1
Call Price = 506.10; Delta = 0.60; IV = 17.5 || 14:49 = 21827 || Put Price = 187.40; Delta = -0.37; IV = 13.0
Call Price = 513.85; Delta = 0.60; IV = 17.7 || 14:50 = 21832 || Put Price = 188.25; Delta = -0.37; IV = 13.1
Call Price = 508.75; Delta = 0.60; IV = 17.6 || 14:51 = 21826 || Put Price = 190.20; Delta = -0.37; IV = 13.1
Call Price = 506.90; Delta = 0.60; IV = 17.7 || 14:52 = 21823 || Put Price = 191.80; Delta = -0.37; IV = 13.2
Call Price = 504.40; Delta = 0.60; IV = 17.5 || 14:53 = 21822 || Put Price = 193.00; Delta = -0.37; IV = 13.2
Call Price = 503.75; Delta = 0.60; IV = 17.6 || 14:54 = 21820 || Put Price = 193.10; Delta = -0.38; IV = 13.2
Call Price = 504.00; Delta = 0.60; IV = 17.5 || 14:55 = 21822 || Put Price = 192.45; Delta = -0.37; IV = 13.2
Call Price = 502.10; Delta = 0.60; IV = 17.5 || 14:56 = 21819 || Put Price = 193.55; Delta = -0.38; IV = 13.2
Call Price = 502.00; Delta = 0.60; IV = 17.5 || 14:57 = 21819 || Put Price = 193.00; Delta = -0.38; IV = 13.2
Call Price = 503.90; Delta = 0.60; IV = 17.5 || 14:58 = 21822 || Put Price = 193.35; Delta = -0.37; IV = 13.2
Call Price = 507.00; Delta = 0.60; IV = 17.6 || 14:59 = 21823 || Put Price = 192.90; Delta = -0.37; IV = 13.2
Call Price = 511.45; Delta = 0.60; IV = 17.7 || 15:00 = 21828 || Put Price = 192.00; Delta = -0.37; IV = 13.2
Call Price = 492.00; Delta = 0.59; IV = 17.4 || 15:01 = 21808 || Put Price = 199.00; Delta = -0.38; IV = 13.2
Call Price = 485.00; Delta = 0.59; IV = 17.2 || 15:02 = 21802 || Put Price = 200.00; Delta = -0.39; IV = 13.2
Call Price = 482.15; Delta = 0.59; IV = 17.2 || 15:03 = 21798 || Put Price = 199.85; Delta = -0.39; IV = 13.1
Call Price = 485.50; Delta = 0.59; IV = 17.3 || 15:04 = 21802 || Put Price = 198.85; Delta = -0.38; IV = 13.1
Call Price = 486.35; Delta = 0.59; IV = 17.3 || 15:05 = 21800 || Put Price = 197.80; Delta = -0.39; IV = 13.1
Call Price = 484.95; Delta = 0.59; IV = 17.4 || 15:06 = 21796 || Put Price = 199.60; Delta = -0.39; IV = 13.1
Call Price = 468.60; Delta = 0.59; IV = 16.9 || 15:07 = 21786 || Put Price = 203.85; Delta = -0.39; IV = 13.1
Call Price = 447.65; Delta = 0.58; IV = 16.4 || 15:08 = 21767 || Put Price = 210.90; Delta = -0.40; IV = 13.1
Call Price = 443.00; Delta = 0.58; IV = 16.5 || 15:09 = 21756 || Put Price = 214.10; Delta = -0.41; IV = 13.0
Call Price = 427.80; Delta = 0.57; IV = 16.3 || 15:10 = 21737 || Put Price = 222.20; Delta = -0.42; IV = 13.0
Call Price = 423.00; Delta = 0.57; IV = 16.1 || 15:11 = 21739 || Put Price = 223.65; Delta = -0.42; IV = 13.1
Call Price = 420.45; Delta = 0.57; IV = 16.1 || 15:12 = 21732 || Put Price = 227.50; Delta = -0.42; IV = 13.2
Call Price = 413.85; Delta = 0.56; IV = 16.1 || 15:13 = 21723 || Put Price = 230.60; Delta = -0.43; IV = 13.1
Call Price = 416.85; Delta = 0.56; IV = 16.1 || 15:14 = 21725 || Put Price = 231.00; Delta = -0.43; IV = 13.2
Call Price = 421.70; Delta = 0.57; IV = 16.2 || 15:15 = 21732 || Put Price = 225.10; Delta = -0.42; IV = 13.0
Call Price = 421.20; Delta = 0.56; IV = 16.3 || 15:16 = 21726 || Put Price = 229.85; Delta = -0.43; IV = 13.2
Call Price = 422.85; Delta = 0.56; IV = 16.4 || 15:17 = 21725 || Put Price = 228.60; Delta = -0.43; IV = 13.1
Call Price = 422.00; Delta = 0.56; IV = 16.4 || 15:18 = 21725 || Put Price = 229.00; Delta = -0.43; IV = 13.1
Call Price = 420.50; Delta = 0.56; IV = 16.3 || 15:19 = 21725 || Put Price = 230.35; Delta = -0.43; IV = 13.1
Call Price = 410.20; Delta = 0.56; IV = 16.2 || 15:20 = 21708 || Put Price = 238.00; Delta = -0.44; IV = 13.2
Call Price = 397.30; Delta = 0.55; IV = 15.9 || 15:21 = 21698 || Put Price = 244.20; Delta = -0.44; IV = 13.2
Call Price = 393.00; Delta = 0.55; IV = 15.9 || 15:22 = 21690 || Put Price = 246.75; Delta = -0.45; IV = 13.2
Call Price = 390.05; Delta = 0.55; IV = 15.9 || 15:23 = 21687 || Put Price = 249.10; Delta = -0.45; IV = 13.2
Call Price = 390.00; Delta = 0.55; IV = 15.9 || 15:24 = 21685 || Put Price = 249.00; Delta = -0.45; IV = 13.2
Call Price = 388.15; Delta = 0.55; IV = 15.8 || 15:25 = 21685 || Put Price = 248.15; Delta = -0.45; IV = 13.2
Call Price = 388.35; Delta = 0.55; IV = 15.7 || 15:26 = 21689 || Put Price = 248.15; Delta = -0.45; IV = 13.2
Call Price = 383.30; Delta = 0.55; IV = 15.5 || 15:27 = 21688 || Put Price = 250.45; Delta = -0.45; IV = 13.3
Call Price = 383.75; Delta = 0.54; IV = 15.7 || 15:28 = 21683 || Put Price = 251.00; Delta = -0.45; IV = 13.2
Call Price = 384.20; Delta = 0.55; IV = 15.5 || 15:29 = 21689 || Put Price = 251.40; Delta = -0.45; IV = 13.4

To generate this, I got the historical prices from ICICI Breeze API. Then iteratively calculated the IV value using BSM model that would output the historical market price of call/put. Then used that IV (different for call/put) to calculate the option greeks.

There are a few key takeaways here:

  1. The IV spike and corresponding contraction later in the day corresponds with option buyers’ increasing/decreasing interest in the call as market rose and then fell. The put maintained similar IV levels throughout the day, perhaps from institutions hedging downside risk.
  2. Put call parity (at least based on delta alone) is slightly violated when high IV levels are recorded.
  3. The efficient market hypothesis is just a hypothesis and BSM model is just a model. They’re flawed representations of reality but not reality itself.
10

Sensibull uses futures price for Auto ATM Straddles, It is mentioned in this blog. This is mainly because of price equivalence I guess so, delta close to 0.5 as you put it, ain’t it is then more useful than spot ATM definition?

11

There is an implied weekly future which we can’t trade. Options trade as per futures of the same expiry. It’s not as complicated as you have explained.
If you are a Fno trader then spot prices are useless.
Yesterday calls didnt move much even after getting 200 points upmove. May be around 50 points was already priced in calls.
So on spot what you saw was nifty closing around 23920. But we were actually at around 23970.
Now if all these things don’t match there is a chance of arbitrage gain. (Refer concept of synthetic futures, put call parity)

Nifty spot right now is at 24131
Nifty 5th dec futures is at 24196
(Strike price + call premium - put premium)
24100+208-112

12

I beg to differ @Jason_Castelino One of my strategies solely run on the spot prices while taking near OTM calls or puts. I never use option charts because they derive value from the underlying and doesn’t have any value of their own.

13

Once again, we see theory and practice diverging a la Sensibull’s IV calculation. If you go to their strategy builder and create a straddle based on next month expiry, it’s created based on spot price and not the futures / 0.5 delta ATM which they themselves display on the option chain.

If the call delta increases and the price doesn’t move up as expected, it most certainly is due to a drop in IV. Dan Passarelli in Trading Option Greeks (2nd ed.) says vol traders (which is what most option traders are) should never trust the IV provided by software as the trader does not know which price (bid/ask/mid/LTP) it’s calculated from. Better to calculate it oneself based on the requirement by reversing the Black Scholes model to calculate for IV instead of price.

Found a calculator that does that:

14

I have to give extreme examples sometimes. Let me try.

Let’s say a stock is at 100 and before next expiry there is dividend of 50 rupees on it. Let’s say there is one week to expiry. Where do you think futures will trade? Around 51 right. Now if you take 50 strike call option it will be around 5 to 10 rupees depending on its IV and other factors. So options move as per futures and not as per stop.

Please don’t tell the futures get adjusted when there is abnormal dividend. With small dividend I wouldn’t be able to prove my point.

Apply the same in index. The months where dividend is there from IT companies and heavy weights, future premium is much lower and calls are also trading at lower values.

15

Calculator is theoretical brother. Theoretical values don’t work in market. Theoretically I feel OLA should be at 50 rupees. I can make my own theories. Unless there is arbitration possible, theories won’t work.

1 Like
16

Theoretically yes. Futures and options are derivatives. But practically derivatives move the underlying.

17

Practically underlying move the derivatives. Have always been the case ever since I am into markets. Not one single edge case. Derivatives are an indicator of sorts as to where the market as a whole is betting on but the underlying has to move.

18

Here, you are calculating the dec 5th futures price in reverse, and I agree its indeed the synthetic futures price decided by the market, I verified the same by repeating the same exercise for multiple strikes, they all return the same synthetic price of 24196! And the nearest strike to this price has delta of 0.5 (the ATM strike)!

But how does the FnO market arive at this number? Does any arbitrage exist if this number is off by say 30 points, say this number is at 24166? And what sort of arbitrage exists when two different strikes have say a 30 point difference in their synthetic futures price. So many questions…Thank you so much!

19

It’s okay. We both can stick to our views. I am sure so many experienced traders agree with me.

2 Likes
20

Exactly my point. ATM delta has to be 0.5. So options are based on futures and not spot.

Out of expectations in near futures after considering the obvious time value. Am sure you know how theoretical price of future is derived.

There won’t be such differences. If there is you can sell one synthetic future and buy the other one. It’s not possible for retailer to exploit this. There is no free lunch.

You can ask as many questions as you want when you are ready to learn and flexible to accommodate others views.