Question regarding option prices are closing time of last day

On 26 Nov 2020 (Thursday) at closing 3:29 pm NIFTY was 13015.
13000 Call option was at 0.2
13000 PUT option was at 12.

Why was that so. CALL should be nearby 12. PUT should anyway expire worthless.

Could someone provide explanation for this?

The price you see at 3:30 is Last Traded Price, the final closing price is derived by using Weighted Average Price of last 30 minutes which can be higher or lower than the price you see at 3:30.

The final settlement price for 13000 CE/PE was around 12987, so Call Option expired OTM and Put Option expired with Intrinsic Value of around Rs. 12.

Is this weighted average price done for futures/options as well? Like for a futures contract, the last traded price at 3:30 differs from the price price later in the day? Clarify the same for an option contract as well. Thanks in advance.

The daily settlement price of Futures contract is WAP of last 30 minutes, the final settlement price (expiry day) will be closing price of underlying. Can check this for more information.

Price of Options isn’t adjusted to WAP of last 30 minutes, when underlying closing price gets adjusted Option price changes accordingly.

What does this mean?
Does the exchange price the options at the end of each day? Or do the buyers and sellers themselves inherently happen to close the contracts according to what the settlement price of the underlying would be? Like it’s a natural effect of demand and supply? Sorry, I am being dumb I know.

Options follow price of underlying, right? So what I wanted to say was when underlying price is adjusted to WAP of last 30 minutes, Options price too will see some variance from LTP as underlying price changes.


A slightly different question on the same topic:
On what parameter is option price modified to match avg close price of underlying? Eg: On a non expiry day the LTP of say nifty was 13000 and got adjusted to 12975. Now say 13000 ce LTP Rs.100 and say the option has not priced in the adjusted close. So after the index adjusts will the option price adjust just the delta i.e. in this case say 0.5x25 = 12.5 => Rs 87.5 ( approximate as i assumed delta 0.5 ). Or will the adjust based on other parameters as well?

Ideally i am assuming the option pricing will take care of this as i can plot weighted price and the arbitrage will usually be closed and the option price will reflect this adjusted value before hand towards 3:30.

Sorry but that didn’t answer my question. I am asking who exactly adjusts the option’s price to the WAP of the underlying. Cause the underlying’s price would be adjusted to its WAP after the market closes. So when the market closes does the exchange by itself adjusts the price of the option or is the last traded price of the option itself is reflective of the WAP of the underlying?

So is it possible to see the running “Weighted Average Price” during the last 30 min of the day? Does NSE/BSE publish that?