Why nifty close value gets changed after market get closed, how to identify what could be that value?

Nifty & Bank Nifty discussions
1

Why nifty close value gets changed after market get closed,& how to identify what could be that value?

Today at 3:30 nifty was closed at 12758. But after around 5-10 minutes it chabged to 12771. 1. Why did this happened.
2. How to identify while taking positions during market hours - what would be actual changed close price after market hours.
3. Also i observed ITM options for todays expiry were trading at 2:29 at a rate discounted by changes in nifty that happened after market hours.

Please shed light on these in deeper manner.

2

NSE derives actual close price by calculating Weighted Average Price of last 30 minutes, that is why there is difference in price you see at 3:30 which is LTP, after that it changes by applying above formula.

If you want to calculate, you will need data of all the trades that have happened in last 30 minutes, based in that you will have to calculate the price, currently there is no Indicator to this.

Just my guess, as we are this close to expiry ITM Options value will be all Intrinsic Value and very less to none Time Value, so Options will trade nearby what underlying is trading at.

3

So ITM options will be settled by exchange at this close price or the LTP?

4

This happens with nifty and its derivatives only or for all stocks and derivatives?

5

Options will be settled at close price of the underlying, which will be Weighed Average Price of last 30 minutes.

Close price for all stocks is Weighted Average Price of last 30 minutes, and same for derivatives.

1 Like
6

What are the weights for the trade prices?

7

To understand how Weighted Average Price is calculated will suggest you read this post:

8

Thanks