Why Bank Nifty PE option is trading at a discount instead of premium?

Nifty Bank closed at 43906.65 (last tick).

44500 PE 22 Jun closed at 569.2

44500 - 43906.65 = 593.35

As far as my understandin, the price of the option should be at least 593.35 + premium?

So why is it trading at 24.15 Rs discount? Any dividend or corporate action coming?


BN closed at 43938.15

44500 PE 22 Jun closed at 569.2

Intrinsic value ->> 44500 - 43938.15 = 561.85

Option Price = Intrinsic value + Time value. (569.2 = 561.85 + 7.35)

Hope you got it

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That is the last 30 min average closing price. I am talking about last minute candle price.

Futures&options are one instrument. The options will mirror the futures prices.

44500ce=46.8, 44500pe=569.2 (synthetic future price = strike price + ce -pe = 43977.6)

so, the banknifty 22nd june expiry future is trading at 43977.6

(the extrinsic value of itm option = value of otm option of same strike of same expiry)

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Equity Index Options get settled based on spot value and not futures.

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We don’t consider the last minute candle price for closing of the day.

What was your question again?

wrong, you should look up what futures and options are and how they are related

(hint: if i take a synthetic futures position using options and it doesn’t match the futures price, it would provide a great arbitrage)

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The f&o price will match the spot value at expiry but not always so pre-expiry.

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As during pre expiry there is time value in an option.

While its true that option are priced right based on synthetic futures u were incorrect in saying this statement is wrong.

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wrong reasoning

wrong understanding of F&O

K so NSE is also wrong as per your understanding of option settlement on expiry :rofl:

@t7support my apologies, seems like my explanations are coming across as nonsensical and confusing. Please ignore my above comments

Though the settlement happens at spot, options move with futures. Otherwise arbitrage opportunity kicks in.
But since futures are of monthly expiry and options weekly, there can still by some mismatch.

Not a problem. I agree that option prices track future prices. I just pointed out that settlement happens based on spot.

True. Institutional trading floors also treat futures as the underlying. For positional trend following however we need to look in to this from a different angle. There is some debate over the lead lag relationship between spot and futures for price discovery. Some say that spot leads futures and some say futures lead spot prices. Also futures being a directly traded instrument is succeptible to noise relative to spot. So while for momentum trading or other option selling strategies tracking futures help my weight is on spot for trend following.

Weekly contracts track synthetic future prices since there are no weekly future contracts.