Option Premium Calculator?

#1
Lets say today, Infosys is trading around 2490.

CE 2800 is 9.8.
PE 2250 is 16.15

If the results are positive and stock price increases by 100 pts to around 2600 levels will the CE gain at least 16 Rs i.e. (9+16=25?) How much can we expect it to gain & how did you calculate that?

If the results are negative.. & if stock falls by 200 pts to around 2250 levels, will the PE option gain at least 9 pts (i.e. to around 25 rs?) Again, if not, how much can we expect it to gain & how did you calculate this?

Thanks.
 

Alchemist

Administrator
Staff member
#2
There are many "option calculators" available on the internet.

Try this one:

Option premium calculator

I have tested the above one with NSE option prices and it seems to be accurate.

Note: NSE's site assumes interest rates to be 10%. I think the above calculator also assumes the interest rate to be somewhere around 10%.
 
#3
Thanks ! I'll try this.

I was bearish on Infosys, however, I'm happy that I did not trade this time.

1) I'm not able to understand why did the PE2250 did not play well.. It is somewhere around 13 Rs now (cost =16 as given below), so although the decline was in my favor, I'd have still lost money. Should we only purchase in the money or 'slightly' out of the money options ?

2) What is the volatility %age you had put? I used the above values for Infy for PE2250 but don't know what would be volatility %age?
 

Alchemist

Administrator
Staff member
#4
Should we only purchase in the money or 'slightly' out of the money options ?
The more "in the money" an option is, the greater is its delta.

Options that are deep "in the money" have a delta almost equal to 1.

The 2250 put option was far "out of the money" and thus didn't move much when Infosys came down.

Options that are far "out of the money" come with low risk (in absolute terms), but the reward is usually small too and most of them expire worthless.

2) What is the volatility %age you had put? I used the above values for Infy for PE2250 but don't know what would be volatility %age?
You can "implied volatility" data found on NSE's site.

Theoretical option prices are calculated using historical volatility of a stock.

Implied volatility is the volatility calculated using market prices of options.
 
#5
You can "implied volatility" data found on NSE's site.

Theoretical option prices are calculated using historical volatility of a stock.

Implied volatility is the volatility calculated using market prices of options.
Do you mean the VIX price or do we have %age Volatility listed for each scrip on NSE ?
 
#7
I want to take a trade similar to above. IV is around 35. I'm not sure if PE 2250 is not 'too far' out of the money to make any impact ? Any clue ?

Thanks.
 

Alchemist

Administrator
Staff member
#8
I want to take a trade similar to above. IV is around 35. I'm not sure if PE 2250 is not 'too far' out of the money to make any impact ? Any clue ?
Today, Infosys is much closer to 2250 than it was in October 2012.

On 11th October Infosys had closed at 2533.

Today it is trading at 2330.

If there is a sell-off in Infosys on Friday, traders holding 2250 puts will surely make money.
 
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