@Karthik @siva
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.
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
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.