Comment on The Option Greeks (Delta) Part 1

Debasish Panigrahi commented on 08 Jun 2015, 03:24 PM

Hi Karthik,

It’s a really nice write up.I have some queries.

Say NIFTY is trading at 8300 and there are still 10 days to expiry.Assume NIFTY 8400CE is trading at 30. Suddenly NIFTY spikes by 50 points and 8400CE suddenly becomes 50 +. Why the demand-supply equation doesn’t govern the option price ?Is it like sellers drop suddenly or buyers increase instantly ?Even if the option greeks control premium pricing,shouldn’t buy/sell numbers decide the price ? Sometimes the nifty spot price moves by 10 points (+ve), nearest CE moves by 2 rs sometimes and sometimes 5 rs. So what should be the definitive way to calculate ?

Thanks,
Debasish.

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