Why does an option’s price move even when no trade has happened (volume is zero)?

This was my opinion, which seems to be wrong in hindsight. See the next post from @dtyxg for why.


This is because NSE introduced pre open session, which calculates the equilibrium price at pre-open, based on matching orders, even when there’s no trade volume.


@dtyxg Practically, it all moves on it’s own, before the underlying moves and based on whether there’s interest/supply/demand/jane street. “We don’t know what changed. What caused the spike. Let’s just call it implied volatility for the math” Also it won’t move without a trade. So if volume is 0, there shouldn’t have been any change in price, at least before Dec 8, when NSE introduced preopen session.

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