Why Option premium goes up while stock is opened gap down?

Yesterday I took an overnight position in the OTM option of Britannia 4400CE at 13.5 at a market price of the share at 4278, today it’s opened the gap down at 4239…

but as soon as the market opened, the price of options skyrocket from 9Rs to 17 within a second and currently running at 20.5 even though prices didn’t come at yesterday’s closing price.

May I know the reason? Please give some insight about this.

There is demand for that particular option.

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Stock options esp OTMs of smaller lot size, bigger share price stocks like MRF have huge spreads.

N that makes determining the exact price at which option is trading tough to guess. All it takes is a 1-1.5% shift. Just like how britania moved today

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Only the demand factor or any other parameters are also responsible for that.?

options are fundamentally priced based on the expected move of the underlying. The price of the straddle indicates the 1 standard deviation expected move (i.e. 68% probability of the price staying in that range).

When markets gapped open this morning, the perceived expected move of Britannia increased (iv increase). This makes the ce options go up even though the underlying fell.

Edit: Also, the futures&options market are one. So, if futures go up, so will the synthetic future of options. In case of Britannia, the underlying fell but the futures went up & so did the ce option prices.

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Your reply taught me a diff. way to see the option.