Comment on Basics on Options Shorting/Writing

ragendth commented on 09 Aug 2014, 09:19 PM

Hi Nithin ,

So is it possible to get a rough premium value of the option for the next day by putting in these values. From the site “”. I am not seeing any volatility%. But when I put the below values in “”. I got the volatilty as 18. I would like to know if i am doing it correct. Pls correct me if I am wrong

Calculate Implied Volatility for 14800 Put Option 28-aug-14

Underlying Price =14700
Exercise Price =14800
Days Until Expiration =19
Interest Rate =8.3
Dividend Yield =1.34
Market Price =265

Implied Volatility = 18 %

Then putting these same values in option calculator I got Below values. So what i guess is the premium for the 14800 Put Option 28-aug-14 would be around 278 Rs?

Put Option
Theoretical Price 278.321
Delta -0.52
Gamma 0.001
Gamma 1% 1.351
Vega 13.363
Theta -4.88

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