Query on Nifty Option Trade

Hey Guys. Please a little help/advise required.

yesterday I went long on Nifty 10600 Call @ Rs 26 per lot When nifty was trading around 10250, and it closd around 10252 yesterday.

today the same premium is again at Rs 26 only despite nifty currently is at 10345. Nearly 100 points up.

can some1 clear why is this so ?

10600 call is out of money call …they get affected less on normal movement, the more out of money you go the lesser it gets affected by underline movement.
Look at at the money call’s yesterdays price and todays they are most changed,

for more precise technical clarity read chapter on this in zerodha varsity.


It happened due to significant drop in Volatility(as exit polls suggested that BJP may win) after you put on the long position. This is a classic case when Volatility overpowers Delta (underlying price move in your favour) and thus nullifies gains. Also, since the Call was OTM its Delta was much lower (what goldb has mentioned above) hence weaker gains from underlying price movement. I have only briefly explained the phenomenon to keep it short, if you want further detailed explanation of what exactly happened then let me know, I will extend the explanation. This is similar to the situation when traders buy a Long straddle (Buy an ATM PUT and an ATM CALL) before an event expecting a move in either direction to yield profit after the event, but end up in losses despite a good move in the underlying.

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Not just significant drop in VIX, actually initial 30 mins were extremely volatile & Nifty crashed to around 300 points in a matter of seconds creating a panic.

During first hour, the 10600 call would have lost 70% of premium. And later the markets bounced back gradually so yes VIX also declined considerably & though markets returned back in green but the fall was sudden but rise didn’t happen immediately like a sudden spike.

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I think you are alluding to what transpired today, however, his post talks about what happened on last Friday. :slight_smile:

U are right my friend!! I thought he was talking about today. hahah

But then , Today nifty OTM must have been reduced to ZERO in first 30 mins.

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I agree, the low for today was 4 (premium) which must have occurred in the first 30 min. I can see it ended up at 16.05 as VIX further dropped today.


From 26 on Friday to 4 !! & then back to around 16 . Great move, great volatility.