Comment on Application of Option Greeks

Karthik Rangappa commented on 28 Aug 2014, 11:29 AM

Hi Sukesh…glad you liked the article.

Nifty has exhibited Volatility range of anywhere between 14% to 24%…and of course during events it can peak beyond the normal range. However, individual stock volatility can gyrate to a large extent. You may be surprised to know that stocks like Infosys exhibits volatility of close to 45% – 50% just before its quarterly result announcement.

Anyway, the whole point is to illustrate the fact that premiums react sharply to volatility, and one must always have a view on where vega is heading before taking an options position.

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