Why low delta for HDFC bank ITM contract?


Today I bought HDFC bank 1800 CE at 34 rs and that time spot price was 1796. Stock then went up by almost 20 points but call price moved only 6 rs. ie. it made high of 40. Now, this works out to be delta of just 0.3 which i am unable to understand why.

As far as i know, ITM contract ITM supposed to move by atleast delta of 0.5.

Can someone throw some light on this?

Thanks in advance!

Delta, as of closing for this strike, is 0.59

That was swift response.
Hmm,yeah i get that but it did not moved the way ITM supposed to.

It could be because of the gradual upmove in the stock and no sudden spike in volatility.

Option price is like Bhel Puri. Its taste & size depends on several components. U were probably only looking at Bhel


most probabbly its because of the fall in volatility …
today HDFC result came at around 1.30 pm and HDFCBANK options might have been little expensive because of this

[quote=“Vishal_Soni, post:1, topic:24644”]
Can someone throw some light on this?

Option price will move based on it’s future price and not on spot, as future is trading in discount, I believe it might not have moved as expected.

Doesn’t that move based on underlying stock price?

End of it future also has to sync with spot but at any particular point of time option premium will follow futures price.

You need to evaluate if the options premiums in the first place were high owing to a higher volatility. If true, the gains from the move in underlying is kind of offsetting the loss in the erosion of volatility. In other words, a delta is offsetting Vega.

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