Comment on Greek Interactions

Druv commented on 28 Oct 2015, 06:44 PM

Sir, in the interpretation you mentioned that “option 8200 CE, expiring 29-Oct-2015, then it means that today 8200 CE is experiencing an implied volatility, which is higher (by +2SD) than the volatility experienced in this stock whenever there are “43 days to expiry” over the last 15 months [remember we have considered data for 15 months]. Therefore this option has a high IV, hence the premiums would be high and one can consider designing a trade to short the ‘volatility’ with an expectation that the volatility will cool off.” but on checking the historical data of 8200CE for past one month in NSE website (http://www.nseindia.com/live_market/dynaContent/live_watch/get_quote/GetQuoteFO.jsp?underlying=NIFTY&instrument=OPTIDX&expiry=29OCT2015&type=CE&strike=8200.00#) the premium price never came down. Could you please explain the reason?

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