Total the bank nifty closed at 15:26 the market was trading above 36526. But the bnf 36500 ce was trading at just 7 rupees even though its intrinsic value is 26 rupees. If I am not mistaken that is 18 rupees discount. the discount was more than double its price. So why was this the case? If someone held onto to the option they will be paid the 26 rupees intrinsic value, right? Is there a greater reason like margin requirements or something I am not aware of? Or is this just the options market pricing it wrong in anticipation of opposite move?
Intrinsic value is dependent on the final adjusted closing price.
Final adjusted closing price is the weighted average price of last 30 mins. If you were tracking closely, banknifty was below 36500 for a considerate period of time and only in the last 10 mins it was above 36500. The trades in the last 10 mins weren’t enough to pull the weighted average higher.
If it was trading at 26 as per your calculation, some big players would explore artibrate opportunity by selling the call because he know the closing will be at lower level.
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I didnt know about the adjusted closing price part. Thank you for explaining
How can I set up my charts to see the weighted average price for the last 30 minutes?