Options theory – Why there’s a huge price gap between ATM call and put options sometimes?

Hello all,

I observed as we speak Nifty was closing close to 23900, so 23900 turns into ATM strike through the market shut. Normally the value distinction in ATM calls and places are very low, however as we speak, the decision was buying and selling 120+ factors above places at ATM (whereas its 5 extra days to expiry).

What would possibly trigger such enormous value distinction for ATM choices? The Black 76 calculator reveals that the value distinction is simply 40 factors, however in actuality its 3x larger. I’ve connected the choice chain under, you possibly can clearly see, sensibull marks the 24050 as ATM when nifty is buying and selling at simply 23900. Can somebody motive this? Thanks a bunch!

It’s brought on on account of implied volatility (IV) being a lot larger for calls, reflecting the market’s curiosity/expectation for it to go up.Begin by inputting the IV proven in Sensibull or the VIX for volatility within the Black Scholes calculator and enhance/lower it till you arrive on the CMP of name/put. That will be the true IV.

No, it’s as a result of choices are priced based mostly on the futures value (of expiry date), slightly than the present spot value.

For weekly choices, there will not be a futures contract, however there may be some implied futures value of December 5 expiry. I’m assuming that value shall be 100 pts above the spot value on the time you checked.

What would possibly trigger such enormous value distinction for ATM choices?

You’re checking spot costs. Test future costs and ATM strikes for each calls and places shall be at identical premium.

If IV is the explanation, each name and put costs should go up collectively proper? Even in black scholes, enhance in IV, doesn’t enhance the distinction in name and put costs that a lot.

It doesn’t finish there, I discovered a imprecise rationalization of what is perhaps occurring right here. However not fully positive, if that is how market behaviour works.

The snapshot was taken on the finish of November futures expiry day (twenty eighth Nov 2024), it reveals the choice chain for weekly expiry (Dec 5).

On expiry day (twenty eighth Nov), the Nov futures should converge with the spot, so it additionally has the identical worth because the spot. Which means Nov futures is ineffective for the evaluation. So,

Nov Futures Precise = Nov Futures Theoretical = Spot value = 23914.5

However, the december month futures was buying and selling round 24137, which is much larger (100+ factors) than the theoretical december month futures value of 24034. So,

Dec Futures Precise = 24137Dec Futures Theoretical = 23914.5*(1+0.06515*(28/365)) = 24034Future-Spot unfold = 24137 – 24034 = +103 factors. (Concludes that market notion is 103 factors larger than honest worth which is sort of excessive, and may result in unfold arbitrage as defined right here)

Now coming again to choices, there is no such thing as a weekly futures expiry, so we have to depend on theoretical costs.

Dec fifth Futures Theoretical = 23914.5*(1+0.06515*(7/365)) = 23944

Now we all know from futures value that the market is buying and selling at 103 factors above honest value, so does the ATM strike (the strike at which the present market thinks it has no intrinsic worth – defintion of ATM strike) lies 103 factors above the the dec fifth theoretical futures value. So,

ATM strike as we speak = 23944 + 103 ~ 24050 (That is additionally the identical value the precise weekly expiry futures would have traded if it existed)

However I’m not fully satisfied, any important suggestions is significantly appreciated. Thanks!

Normally on account of market inefficiencies there must be two totally different IVs for the decision and put. See this Sensibull FAQ on why they solely show one:

Assist & FAQs

Why is the IV on the decision and put the identical in your possibility chain? Why do not…

In tutorial concept, in addition to in an environment friendly market, the decision and put IV must be the identical for a similar strike. Examples embrace US / EU markets and OTC foreign money. However earlier than we go to the why, to be clear, allow us to repeat the what: Name and p…

I believe your confusion stems from utilizing the Black 76 calculator (sorry I missed it from the preliminary publish), which is used for pricing choices on futures. Regular inventory choices are priced based mostly on the Black Scholes Merton mannequin which makes use of the spot value and takes threat free fee, dividend yield, volatility, and so on. as separate parameters, because it’s not accounted for within the spot value not like the Black 76 mannequin which makes use of futures value the place all of these parameters are already accounted for. For instance, see Zerodha’s BSM calculator:

zerodha.com

Zerodha – Black & Scholes calculator

Zerodha Black and Scholes possibility pricing method calculator

I’m nonetheless studying about all this, so CMIIW.

Wow, that is one other shock for me! I exploit two calculators, one by zerodha and one by sharekhan. I assumed they had been the identical until now. Thanks for the information anyway. Right here is one attention-grabbing commentary, I merely added the future-spot unfold (103 factors) to identify value (23914.5) and gave it as enter to black 76, was capable of match the 23900 name and put value inside ±10 factors. Within the sharekhan calculator (which I imagine its BSM, was capable of get ±20 factors value distinction).

And relating to the IV publish, sure, there could be totally different IVs for Calls and Places generally they usually can get arbitraged away, however in our case the problem is with the opposite equation they point out known as put-call parity, the place it says spot ATM isn’t the precise Precise ATM and we have to account futures value.

I believe as regular possibility merchants, this deal with futures value for ATM calculation isn’t very helpful.Even Sensibull chooses the ATM strike closest to identify value to create a straddle, not the futures ATM strike with round 0.5 delta.

Don’t quote me on this, however once I backtested I imagine I bought higher outcomes with ATM based mostly on spot value than 0.5 delta ATM (which might be the place the longer term value is).

Put name parity states the sum of absolutely the delta of the identical strike’s name and put must be equal to 1. That is largely the case, however it will probably additionally deviate on account of market inefficiencies. It’s not like some basic regulation like in physics.

For instance, see what occurs to the decision/put delta and IVs on Jan 1 2024 based mostly on per-minute LTP costs:

Date = Mon, Jan 01 2024
Open = 21732; Excessive = 21832; Low = 21683; Shut = 21689

Enter strike value: 21700
Strike value = 21700

Name Value = 388.75; Delta = 0.56; IV = 15.1 || 09:15 = 21710 || Put Value = 255.00; Delta = -0.44; IV = 13.9
Name Value = 387.35; Delta = 0.55; IV = 15.4 || 09:16 = 21695 || Put Value = 256.60; Delta = -0.44; IV = 13.7
Name Value = 385.05; Delta = 0.56; IV = 15.0 || 09:17 = 21710 || Put Value = 255.15; Delta = -0.44; IV = 13.9
Name Value = 382.55; Delta = 0.56; IV = 15.1 || 09:18 = 21702 || Put Value = 256.00; Delta = -0.44; IV = 13.8
Name Value = 377.45; Delta = 0.55; IV = 15.0 || 09:19 = 21694 || Put Value = 257.45; Delta = -0.44; IV = 13.7
Name Value = 377.25; Delta = 0.55; IV = 15.1 || 09:20 = 21688 || Put Value = 259.75; Delta = -0.45; IV = 13.7
Name Value = 380.25; Delta = 0.55; IV = 15.1 || 09:21 = 21695 || Put Value = 258.90; Delta = -0.44; IV = 13.8
Name Value = 382.75; Delta = 0.55; IV = 15.3 || 09:22 = 21693 || Put Value = 256.50; Delta = -0.44; IV = 13.6
Name Value = 382.90; Delta = 0.55; IV = 15.3 || 09:23 = 21693 || Put Value = 257.00; Delta = -0.45; IV = 13.7
Name Value = 383.65; Delta = 0.55; IV = 15.3 || 09:24 = 21696 || Put Value = 255.00; Delta = -0.44; IV = 13.6
Name Value = 382.95; Delta = 0.55; IV = 15.2 || 09:25 = 21697 || Put Value = 253.15; Delta = -0.44; IV = 13.6
Name Value = 382.65; Delta = 0.55; IV = 15.1 || 09:26 = 21700 || Put Value = 253.80; Delta = -0.44; IV = 13.7
Name Value = 380.90; Delta = 0.56; IV = 14.9 || 09:27 = 21703 || Put Value = 253.75; Delta = -0.44; IV = 13.7
Name Value = 379.60; Delta = 0.55; IV = 15.0 || 09:28 = 21700 || Put Value = 254.55; Delta = -0.44; IV = 13.7
Name Value = 378.80; Delta = 0.56; IV = 14.9 || 09:29 = 21701 || Put Value = 254.15; Delta = -0.44; IV = 13.7
Name Value = 380.55; Delta = 0.55; IV = 15.1 || 09:30 = 21695 || Put Value = 253.85; Delta = -0.44; IV = 13.6
Name Value = 376.10; Delta = 0.55; IV = 15.1 || 09:31 = 21688 || Put Value = 257.50; Delta = -0.45; IV = 13.6
Name Value = 380.20; Delta = 0.55; IV = 15.1 || 09:32 = 21694 || Put Value = 253.25; Delta = -0.44; IV = 13.5
Name Value = 384.80; Delta = 0.56; IV = 15.1 || 09:33 = 21702 || Put Value = 250.00; Delta = -0.44; IV = 13.6
Name Value = 383.70; Delta = 0.56; IV = 15.1 || 09:34 = 21703 || Put Value = 250.80; Delta = -0.44; IV = 13.6
Name Value = 386.25; Delta = 0.56; IV = 15.0 || 09:35 = 21708 || Put Value = 247.75; Delta = -0.44; IV = 13.6
Name Value = 385.50; Delta = 0.56; IV = 15.0 || 09:36 = 21708 || Put Value = 249.55; Delta = -0.44; IV = 13.6
Name Value = 383.60; Delta = 0.56; IV = 15.0 || 09:37 = 21707 || Put Value = 249.85; Delta = -0.44; IV = 13.6
Name Value = 379.15; Delta = 0.56; IV = 14.9 || 09:38 = 21702 || Put Value = 252.00; Delta = -0.44; IV = 13.6
Name Value = 373.60; Delta = 0.55; IV = 15.0 || 09:39 = 21690 || Put Value = 257.10; Delta = -0.45; IV = 13.6
Name Value = 375.00; Delta = 0.55; IV = 14.9 || 09:40 = 21692 || Put Value = 255.75; Delta = -0.45; IV = 13.6
Name Value = 375.95; Delta = 0.55; IV = 15.0 || 09:41 = 21693 || Put Value = 255.85; Delta = -0.44; IV = 13.6
Name Value = 379.80; Delta = 0.55; IV = 15.0 || 09:42 = 21700 || Put Value = 251.50; Delta = -0.44; IV = 13.6
Name Value = 380.15; Delta = 0.56; IV = 15.0 || 09:43 = 21701 || Put Value = 251.55; Delta = -0.44; IV = 13.6
Name Value = 382.05; Delta = 0.56; IV = 14.9 || 09:44 = 21706 || Put Value = 250.50; Delta = -0.44; IV = 13.6
Name Value = 384.00; Delta = 0.56; IV = 15.0 || 09:45 = 21707 || Put Value = 250.40; Delta = -0.44; IV = 13.6
Name Value = 390.00; Delta = 0.56; IV = 15.0 || 09:46 = 21715 || Put Value = 245.00; Delta = -0.43; IV = 13.6
Name Value = 389.95; Delta = 0.56; IV = 15.1 || 09:47 = 21712 || Put Value = 246.75; Delta = -0.43; IV = 13.6
Name Value = 394.70; Delta = 0.56; IV = 15.3 || 09:48 = 21715 || Put Value = 242.80; Delta = -0.43; IV = 13.5
Name Value = 396.00; Delta = 0.56; IV = 15.2 || 09:49 = 21720 || Put Value = 242.10; Delta = -0.43; IV = 13.6
Name Value = 391.00; Delta = 0.56; IV = 15.0 || 09:50 = 21720 || Put Value = 241.75; Delta = -0.43; IV = 13.6
Name Value = 395.45; Delta = 0.56; IV = 15.1 || 09:51 = 21722 || Put Value = 240.70; Delta = -0.43; IV = 13.6
Name Value = 398.05; Delta = 0.57; IV = 15.1 || 09:52 = 21726 || Put Value = 239.85; Delta = -0.43; IV = 13.6
Name Value = 402.60; Delta = 0.57; IV = 15.2 || 09:53 = 21733 || Put Value = 236.70; Delta = -0.42; IV = 13.6
Name Value = 402.65; Delta = 0.57; IV = 15.2 || 09:54 = 21731 || Put Value = 238.00; Delta = -0.42; IV = 13.6
Name Value = 403.60; Delta = 0.56; IV = 15.5 || 09:55 = 21722 || Put Value = 240.00; Delta = -0.43; IV = 13.5
Name Value = 404.10; Delta = 0.57; IV = 15.4 || 09:56 = 21726 || Put Value = 240.40; Delta = -0.43; IV = 13.6
Name Value = 408.00; Delta = 0.57; IV = 15.5 || 09:57 = 21729 || Put Value = 238.20; Delta = -0.43; IV = 13.5
Name Value = 408.40; Delta = 0.57; IV = 15.6 || 09:58 = 21727 || Put Value = 238.70; Delta = -0.43; IV = 13.5
Name Value = 407.95; Delta = 0.57; IV = 15.6 || 09:59 = 21726 || Put Value = 240.00; Delta = -0.43; IV = 13.6
Name Value = 405.90; Delta = 0.56; IV = 15.5 || 10:00 = 21724 || Put Value = 241.50; Delta = -0.43; IV = 13.6
Name Value = 407.40; Delta = 0.57; IV = 15.4 || 10:01 = 21731 || Put Value = 237.30; Delta = -0.42; IV = 13.5
Name Value = 405.95; Delta = 0.57; IV = 15.4 || 10:02 = 21730 || Put Value = 237.50; Delta = -0.43; IV = 13.6
Name Value = 405.30; Delta = 0.57; IV = 15.4 || 10:03 = 21726 || Put Value = 237.65; Delta = -0.43; IV = 13.5
Name Value = 402.80; Delta = 0.56; IV = 15.4 || 10:04 = 21723 || Put Value = 239.35; Delta = -0.43; IV = 13.5
Name Value = 400.20; Delta = 0.56; IV = 15.3 || 10:05 = 21723 || Put Value = 241.50; Delta = -0.43; IV = 13.6
Name Value = 400.00; Delta = 0.56; IV = 15.4 || 10:06 = 21717 || Put Value = 241.90; Delta = -0.43; IV = 13.5
Name Value = 399.95; Delta = 0.56; IV = 15.5 || 10:07 = 21715 || Put Value = 241.80; Delta = -0.43; IV = 13.4
Name Value = 403.45; Delta = 0.56; IV = 15.5 || 10:08 = 21720 || Put Value = 239.00; Delta = -0.43; IV = 13.4
Name Value = 397.95; Delta = 0.56; IV = 15.4 || 10:09 = 21715 || Put Value = 242.80; Delta = -0.43; IV = 13.5
Name Value = 394.25; Delta = 0.56; IV = 15.3 || 10:10 = 21712 || Put Value = 244.10; Delta = -0.43; IV = 13.5
Name Value = 388.65; Delta = 0.56; IV = 15.3 || 10:11 = 21705 || Put Value = 245.00; Delta = -0.44; IV = 13.4
Name Value = 389.65; Delta = 0.56; IV = 15.3 || 10:12 = 21705 || Put Value = 246.20; Delta = -0.44; IV = 13.4
Name Value = 393.55; Delta = 0.56; IV = 15.4 || 10:13 = 21707 || Put Value = 245.95; Delta = -0.44; IV = 13.5
Name Value = 393.10; Delta = 0.56; IV = 15.3 || 10:14 = 21710 || Put Value = 246.00; Delta = -0.44; IV = 13.5
Name Value = 397.50; Delta = 0.56; IV = 15.5 || 10:15 = 21713 || Put Value = 242.55; Delta = -0.43; IV = 13.4
Name Value = 390.55; Delta = 0.56; IV = 15.3 || 10:16 = 21708 || Put Value = 247.00; Delta = -0.44; IV = 13.6
Name Value = 391.80; Delta = 0.56; IV = 15.2 || 10:17 = 21714 || Put Value = 243.90; Delta = -0.43; IV = 13.5
Name Value = 393.45; Delta = 0.56; IV = 15.1 || 10:18 = 21717 || Put Value = 244.25; Delta = -0.43; IV = 13.6
Name Value = 392.05; Delta = 0.56; IV = 15.2 || 10:19 = 21712 || Put Value = 244.45; Delta = -0.43; IV = 13.5
Name Value = 393.00; Delta = 0.56; IV = 15.2 || 10:20 = 21716 || Put Value = 244.00; Delta = -0.43; IV = 13.6
Name Value = 383.35; Delta = 0.56; IV = 15.0 || 10:21 = 21705 || Put Value = 250.00; Delta = -0.44; IV = 13.6
Name Value = 382.95; Delta = 0.55; IV = 15.1 || 10:22 = 21701 || Put Value = 249.65; Delta = -0.44; IV = 13.5
Name Value = 383.75; Delta = 0.56; IV = 15.1 || 10:23 = 21702 || Put Value = 248.75; Delta = -0.44; IV = 13.5
Name Value = 380.20; Delta = 0.55; IV = 15.0 || 10:24 = 21698 || Put Value = 252.10; Delta = -0.44; IV = 13.6
Name Value = 382.60; Delta = 0.55; IV = 15.1 || 10:25 = 21700 || Put Value = 249.85; Delta = -0.44; IV = 13.5
Name Value = 387.50; Delta = 0.56; IV = 15.2 || 10:26 = 21706 || Put Value = 247.30; Delta = -0.44; IV = 13.5
Name Value = 387.90; Delta = 0.56; IV = 15.2 || 10:27 = 21706 || Put Value = 246.00; Delta = -0.44; IV = 13.4
Name Value = 391.30; Delta = 0.56; IV = 15.2 || 10:28 = 21712 || Put Value = 244.55; Delta = -0.43; IV = 13.5
Name Value = 390.25; Delta = 0.56; IV = 15.1 || 10:29 = 21712 || Put Value = 244.15; Delta = -0.43; IV = 13.5
Name Value = 390.15; Delta = 0.56; IV = 15.2 || 10:30 = 21710 || Put Value = 243.85; Delta = -0.43; IV = 13.4
Name Value = 392.30; Delta = 0.56; IV = 15.2 || 10:31 = 21713 || Put Value = 242.65; Delta = -0.43; IV = 13.4
Name Value = 393.05; Delta = 0.56; IV = 15.2 || 10:32 = 21715 || Put Value = 241.90; Delta = -0.43; IV = 13.4
Name Value = 393.70; Delta = 0.56; IV = 15.2 || 10:33 = 21717 || Put Value = 240.65; Delta = -0.43; IV = 13.4
Name Value = 393.45; Delta = 0.56; IV = 15.1 || 10:34 = 21718 || Put Value = 240.60; Delta = -0.43; IV = 13.5
Name Value = 391.35; Delta = 0.56; IV = 15.1 || 10:35 = 21715 || Put Value = 242.55; Delta = -0.43; IV = 13.5
Name Value = 391.20; Delta = 0.56; IV = 15.1 || 10:36 = 21714 || Put Value = 242.50; Delta = -0.43; IV = 13.4
Name Value = 395.90; Delta = 0.56; IV = 15.2 || 10:37 = 21720 || Put Value = 240.00; Delta = -0.43; IV = 13.4
Name Value = 395.00; Delta = 0.56; IV = 15.2 || 10:38 = 21719 || Put Value = 240.50; Delta = -0.43; IV = 13.4
Name Value = 397.60; Delta = 0.57; IV = 15.2 || 10:39 = 21724 || Put Value = 238.75; Delta = -0.43; IV = 13.5
Name Value = 399.65; Delta = 0.57; IV = 15.2 || 10:40 = 21728 || Put Value = 237.70; Delta = -0.43; IV = 13.5
Name Value = 401.00; Delta = 0.57; IV = 15.2 || 10:41 = 21729 || Put Value = 237.05; Delta = -0.43; IV = 13.5
Name Value = 399.65; Delta = 0.57; IV = 15.3 || 10:42 = 21725 || Put Value = 238.70; Delta = -0.43; IV = 13.5
Name Value = 400.25; Delta = 0.57; IV = 15.3 || 10:43 = 21726 || Put Value = 238.75; Delta = -0.43; IV = 13.5
Name Value = 401.20; Delta = 0.57; IV = 15.3 || 10:44 = 21727 || Put Value = 237.40; Delta = -0.43; IV = 13.4
Name Value = 400.00; Delta = 0.57; IV = 15.3 || 10:45 = 21724 || Put Value = 238.85; Delta = -0.43; IV = 13.5
Name Value = 405.35; Delta = 0.57; IV = 15.4 || 10:46 = 21727 || Put Value = 236.00; Delta = -0.43; IV = 13.4
Name Value = 403.10; Delta = 0.57; IV = 15.3 || 10:47 = 21727 || Put Value = 238.00; Delta = -0.43; IV = 13.5
Name Value = 406.80; Delta = 0.57; IV = 15.5 || 10:48 = 21730 || Put Value = 236.70; Delta = -0.43; IV = 13.5
Name Value = 409.85; Delta = 0.57; IV = 15.4 || 10:49 = 21738 || Put Value = 234.00; Delta = -0.42; IV = 13.5
Name Value = 408.00; Delta = 0.57; IV = 15.3 || 10:50 = 21736 || Put Value = 235.00; Delta = -0.42; IV = 13.6
Name Value = 411.75; Delta = 0.57; IV = 15.5 || 10:51 = 21737 || Put Value = 232.55; Delta = -0.42; IV = 13.4
Name Value = 410.15; Delta = 0.57; IV = 15.4 || 10:52 = 21737 || Put Value = 234.00; Delta = -0.42; IV = 13.5
Name Value = 408.00; Delta = 0.57; IV = 15.3 || 10:53 = 21737 || Put Value = 235.40; Delta = -0.42; IV = 13.6
Name Value = 410.25; Delta = 0.57; IV = 15.4 || 10:54 = 21737 || Put Value = 234.60; Delta = -0.42; IV = 13.6
Name Value = 411.00; Delta = 0.57; IV = 15.4 || 10:55 = 21738 || Put Value = 234.00; Delta = -0.42; IV = 13.6
Name Value = 408.00; Delta = 0.57; IV = 15.4 || 10:56 = 21736 || Put Value = 233.00; Delta = -0.42; IV = 13.4
Name Value = 408.00; Delta = 0.57; IV = 15.4 || 10:57 = 21736 || Put Value = 232.95; Delta = -0.42; IV = 13.4
Name Value = 406.25; Delta = 0.57; IV = 15.3 || 10:58 = 21735 || Put Value = 234.40; Delta = -0.42; IV = 13.5
Name Value = 407.10; Delta = 0.57; IV = 15.3 || 10:59 = 21736 || Put Value = 234.15; Delta = -0.42; IV = 13.5
Name Value = 411.50; Delta = 0.57; IV = 15.4 || 11:00 = 21740 || Put Value = 231.90; Delta = -0.42; IV = 13.5
Name Value = 413.75; Delta = 0.57; IV = 15.5 || 11:01 = 21741 || Put Value = 230.40; Delta = -0.42; IV = 13.4
Name Value = 410.75; Delta = 0.57; IV = 15.4 || 11:02 = 21739 || Put Value = 232.30; Delta = -0.42; IV = 13.5
Name Value = 405.55; Delta = 0.57; IV = 15.4 || 11:03 = 21730 || Put Value = 237.00; Delta = -0.42; IV = 13.5
Name Value = 401.50; Delta = 0.57; IV = 15.3 || 11:04 = 21730 || Put Value = 236.90; Delta = -0.43; IV = 13.5
Name Value = 402.85; Delta = 0.57; IV = 15.2 || 11:05 = 21732 || Put Value = 236.00; Delta = -0.42; IV = 13.5
Name Value = 406.00; Delta = 0.57; IV = 15.4 || 11:06 = 21730 || Put Value = 236.95; Delta = -0.43; IV = 13.5
Name Value = 408.00; Delta = 0.57; IV = 15.4 || 11:07 = 21735 || Put Value = 234.45; Delta = -0.42; IV = 13.5
Name Value = 406.25; Delta = 0.57; IV = 15.3 || 11:08 = 21735 || Put Value = 235.00; Delta = -0.42; IV = 13.5
Name Value = 408.65; Delta = 0.57; IV = 15.4 || 11:09 = 21737 || Put Value = 234.30; Delta = -0.42; IV = 13.5
Name Value = 407.30; Delta = 0.57; IV = 15.3 || 11:10 = 21736 || Put Value = 235.25; Delta = -0.42; IV = 13.6
Name Value = 406.80; Delta = 0.57; IV = 15.3 || 11:11 = 21736 || Put Value = 234.90; Delta = -0.42; IV = 13.5
Name Value = 406.20; Delta = 0.57; IV = 15.3 || 11:12 = 21735 || Put Value = 234.95; Delta = -0.42; IV = 13.5
Name Value = 407.65; Delta = 0.57; IV = 15.3 || 11:13 = 21739 || Put Value = 234.25; Delta = -0.42; IV = 13.6
Name Value = 410.00; Delta = 0.57; IV = 15.3 || 11:14 = 21741 || Put Value = 233.00; Delta = -0.42; IV = 13.6
Name Value = 410.90; Delta = 0.57; IV = 15.4 || 11:15 = 21741 || Put Value = 234.60; Delta = -0.42; IV = 13.6
Name Value = 406.30; Delta = 0.57; IV = 15.3 || 11:16 = 21736 || Put Value = 236.05; Delta = -0.42; IV = 13.6
Name Value = 405.75; Delta = 0.57; IV = 15.3 || 11:17 = 21734 || Put Value = 236.70; Delta = -0.42; IV = 13.6
Name Value = 409.05; Delta = 0.57; IV = 15.3 || 11:18 = 21739 || Put Value = 234.70; Delta = -0.42; IV = 13.6
Name Value = 411.70; Delta = 0.57; IV = 15.4 || 11:19 = 21742 || Put Value = 232.40; Delta = -0.42; IV = 13.5
Name Value = 412.05; Delta = 0.57; IV = 15.4 || 11:20 = 21742 || Put Value = 232.70; Delta = -0.42; IV = 13.6
Name Value = 410.40; Delta = 0.57; IV = 15.3 || 11:21 = 21740 || Put Value = 233.40; Delta = -0.42; IV = 13.5
Name Value = 408.55; Delta = 0.57; IV = 15.3 || 11:22 = 21739 || Put Value = 233.25; Delta = -0.42; IV = 13.5
Name Value = 409.00; Delta = 0.57; IV = 15.4 || 11:23 = 21736 || Put Value = 233.30; Delta = -0.42; IV = 13.4
Name Value = 409.00; Delta = 0.57; IV = 15.4 || 11:24 = 21738 || Put Value = 232.45; Delta = -0.42; IV = 13.4
Name Value = 410.80; Delta = 0.57; IV = 15.4 || 11:25 = 21741 || Put Value = 232.40; Delta = -0.42; IV = 13.5
Name Value = 411.60; Delta = 0.57; IV = 15.4 || 11:26 = 21740 || Put Value = 231.45; Delta = -0.42; IV = 13.4
Name Value = 411.00; Delta = 0.57; IV = 15.3 || 11:27 = 21742 || Put Value = 231.90; Delta = -0.42; IV = 13.5
Name Value = 411.00; Delta = 0.57; IV = 15.4 || 11:28 = 21741 || Put Value = 231.45; Delta = -0.42; IV = 13.5
Name Value = 413.00; Delta = 0.58; IV = 15.3 || 11:29 = 21746 || Put Value = 231.00; Delta = -0.42; IV = 13.6
Name Value = 416.60; Delta = 0.57; IV = 15.5 || 11:30 = 21746 || Put Value = 228.80; Delta = -0.42; IV = 13.5
Name Value = 412.25; Delta = 0.57; IV = 15.3 || 11:31 = 21744 || Put Value = 231.00; Delta = -0.42; IV = 13.5
Name Value = 411.00; Delta = 0.57; IV = 15.4 || 11:32 = 21741 || Put Value = 231.60; Delta = -0.42; IV = 13.5
Name Value = 408.00; Delta = 0.57; IV = 15.3 || 11:33 = 21738 || Put Value = 233.00; Delta = -0.42; IV = 13.5
Name Value = 406.45; Delta = 0.57; IV = 15.3 || 11:34 = 21736 || Put Value = 234.05; Delta = -0.42; IV = 13.5
Name Value = 407.35; Delta = 0.57; IV = 15.3 || 11:35 = 21737 || Put Value = 234.00; Delta = -0.42; IV = 13.5
Name Value = 405.20; Delta = 0.57; IV = 15.3 || 11:36 = 21733 || Put Value = 234.20; Delta = -0.42; IV = 13.4
Name Value = 407.00; Delta = 0.57; IV = 15.4 || 11:37 = 21733 || Put Value = 234.15; Delta = -0.42; IV = 13.4
Name Value = 403.60; Delta = 0.57; IV = 15.3 || 11:38 = 21730 || Put Value = 235.40; Delta = -0.42; IV = 13.4
Name Value = 405.20; Delta = 0.57; IV = 15.3 || 11:39 = 21734 || Put Value = 233.55; Delta = -0.42; IV = 13.5
Name Value = 405.95; Delta = 0.57; IV = 15.3 || 11:40 = 21735 || Put Value = 233.00; Delta = -0.42; IV = 13.4
Name Value = 409.00; Delta = 0.57; IV = 15.3 || 11:41 = 21739 || Put Value = 232.10; Delta = -0.42; IV = 13.5
Name Value = 407.40; Delta = 0.57; IV = 15.3 || 11:42 = 21738 || Put Value = 232.90; Delta = -0.42; IV = 13.5
Name Value = 405.25; Delta = 0.57; IV = 15.3 || 11:43 = 21734 || Put Value = 233.85; Delta = -0.42; IV = 13.4
Name Value = 402.95; Delta = 0.57; IV = 15.3 || 11:44 = 21731 || Put Value = 234.45; Delta = -0.42; IV = 13.4
Name Value = 403.30; Delta = 0.57; IV = 15.3 || 11:45 = 21731 || Put Value = 234.15; Delta = -0.42; IV = 13.4
Name Value = 402.95; Delta = 0.57; IV = 15.3 || 11:46 = 21731 || Put Value = 236.00; Delta = -0.42; IV = 13.5
Name Value = 402.55; Delta = 0.57; IV = 15.2 || 11:47 = 21732 || Put Value = 234.35; Delta = -0.42; IV = 13.4
Name Value = 403.00; Delta = 0.57; IV = 15.3 || 11:48 = 21731 || Put Value = 234.80; Delta = -0.42; IV = 13.4
Name Value = 401.45; Delta = 0.57; IV = 15.2 || 11:49 = 21730 || Put Value = 234.70; Delta = -0.42; IV = 13.4
Name Value = 403.80; Delta = 0.57; IV = 15.2 || 11:50 = 21734 || Put Value = 234.05; Delta = -0.42; IV = 13.4
Name Value = 405.55; Delta = 0.57; IV = 15.3 || 11:51 = 21736 || Put Value = 233.15; Delta = -0.42; IV = 13.4
Name Value = 404.55; Delta = 0.57; IV = 15.3 || 11:52 = 21735 || Put Value = 233.60; Delta = -0.42; IV = 13.5
Name Value = 406.85; Delta = 0.57; IV = 15.3 || 11:53 = 21738 || Put Value = 232.95; Delta = -0.42; IV = 13.5
Name Value = 404.10; Delta = 0.57; IV = 15.2 || 11:54 = 21737 || Put Value = 234.50; Delta = -0.42; IV = 13.5
Name Value = 402.65; Delta = 0.57; IV = 15.3 || 11:55 = 21732 || Put Value = 235.35; Delta = -0.42; IV = 13.5
Name Value = 404.25; Delta = 0.57; IV = 15.3 || 11:56 = 21734 || Put Value = 235.00; Delta = -0.42; IV = 13.5
Name Value = 405.70; Delta = 0.57; IV = 15.3 || 11:57 = 21735 || Put Value = 234.00; Delta = -0.42; IV = 13.5
Name Value = 407.00; Delta = 0.57; IV = 15.3 || 11:58 = 21735 || Put Value = 233.20; Delta = -0.42; IV = 13.4
Name Value = 404.75; Delta = 0.57; IV = 15.3 || 11:59 = 21733 || Put Value = 234.45; Delta = -0.42; IV = 13.4
Name Value = 403.70; Delta = 0.57; IV = 15.3 || 12:00 = 21732 || Put Value = 236.00; Delta = -0.42; IV = 13.5
Name Value = 394.80; Delta = 0.56; IV = 15.1 || 12:01 = 21722 || Put Value = 239.40; Delta = -0.43; IV = 13.4
Name Value = 401.00; Delta = 0.56; IV = 15.4 || 12:02 = 21723 || Put Value = 236.00; Delta = -0.43; IV = 13.3
Name Value = 404.95; Delta = 0.57; IV = 15.5 || 12:03 = 21725 || Put Value = 234.15; Delta = -0.43; IV = 13.3
Name Value = 404.05; Delta = 0.56; IV = 15.5 || 12:04 = 21724 || Put Value = 234.95; Delta = -0.43; IV = 13.3
Name Value = 403.20; Delta = 0.56; IV = 15.5 || 12:05 = 21722 || Put Value = 235.05; Delta = -0.43; IV = 13.3
Name Value = 406.80; Delta = 0.57; IV = 15.6 || 12:06 = 21727 || Put Value = 233.35; Delta = -0.43; IV = 13.3
Name Value = 404.90; Delta = 0.56; IV = 15.5 || 12:07 = 21725 || Put Value = 233.60; Delta = -0.43; IV = 13.3
Name Value = 406.40; Delta = 0.56; IV = 15.6 || 12:08 = 21726 || Put Value = 232.70; Delta = -0.43; IV = 13.2
Name Value = 409.00; Delta = 0.57; IV = 15.6 || 12:09 = 21729 || Put Value = 230.30; Delta = -0.42; IV = 13.2
Name Value = 412.85; Delta = 0.57; IV = 15.7 || 12:10 = 21732 || Put Value = 227.70; Delta = -0.42; IV = 13.2
Name Value = 412.75; Delta = 0.57; IV = 15.7 || 12:11 = 21732 || Put Value = 228.05; Delta = -0.42; IV = 13.2
Name Value = 413.40; Delta = 0.57; IV = 15.7 || 12:12 = 21733 || Put Value = 227.20; Delta = -0.42; IV = 13.1
Name Value = 415.00; Delta = 0.57; IV = 15.6 || 12:13 = 21739 || Put Value = 224.00; Delta = -0.42; IV = 13.1
Name Value = 414.95; Delta = 0.57; IV = 15.5 || 12:14 = 21742 || Put Value = 222.35; Delta = -0.42; IV = 13.1
Name Value = 413.25; Delta = 0.57; IV = 15.4 || 12:15 = 21742 || Put Value = 224.55; Delta = -0.42; IV = 13.2
Name Value = 411.00; Delta = 0.57; IV = 15.4 || 12:16 = 21739 || Put Value = 225.25; Delta = -0.42; IV = 13.1
Name Value = 409.90; Delta = 0.57; IV = 15.4 || 12:17 = 21736 || Put Value = 226.15; Delta = -0.42; IV = 13.1
Name Value = 410.20; Delta = 0.57; IV = 15.6 || 12:18 = 21733 || Put Value = 227.55; Delta = -0.42; IV = 13.2
Name Value = 407.85; Delta = 0.57; IV = 15.6 || 12:19 = 21727 || Put Value = 231.30; Delta = -0.43; IV = 13.2
Name Value = 404.85; Delta = 0.57; IV = 15.5 || 12:20 = 21726 || Put Value = 232.40; Delta = -0.43; IV = 13.2
Name Value = 403.35; Delta = 0.56; IV = 15.4 || 12:21 = 21724 || Put Value = 233.50; Delta = -0.43; IV = 13.2
Name Value = 402.50; Delta = 0.56; IV = 15.4 || 12:22 = 21724 || Put Value = 233.25; Delta = -0.43; IV = 13.2
Name Value = 403.30; Delta = 0.56; IV = 15.5 || 12:23 = 21722 || Put Value = 234.30; Delta = -0.43; IV = 13.2
Name Value = 400.00; Delta = 0.56; IV = 15.4 || 12:24 = 21721 || Put Value = 235.25; Delta = -0.43; IV = 13.2
Name Value = 398.05; Delta = 0.56; IV = 15.4 || 12:25 = 21719 || Put Value = 235.90; Delta = -0.43; IV = 13.2
Name Value = 398.40; Delta = 0.56; IV = 15.4 || 12:26 = 21718 || Put Value = 234.70; Delta = -0.43; IV = 13.2
Name Value = 397.50; Delta = 0.56; IV = 15.3 || 12:27 = 21720 || Put Value = 234.60; Delta = -0.43; IV = 13.2
Name Value = 396.65; Delta = 0.56; IV = 15.4 || 12:28 = 21716 || Put Value = 236.25; Delta = -0.43; IV = 13.2
Name Value = 396.85; Delta = 0.56; IV = 15.4 || 12:29 = 21717 || Put Value = 236.55; Delta = -0.43; IV = 13.2
Name Value = 394.20; Delta = 0.56; IV = 15.3 || 12:30 = 21714 || Put Value = 235.40; Delta = -0.43; IV = 13.1
Name Value = 396.05; Delta = 0.56; IV = 15.4 || 12:31 = 21715 || Put Value = 235.80; Delta = -0.43; IV = 13.2
Name Value = 397.40; Delta = 0.56; IV = 15.3 || 12:32 = 21719 || Put Value = 235.00; Delta = -0.43; IV = 13.2
Name Value = 399.50; Delta = 0.56; IV = 15.4 || 12:33 = 21719 || Put Value = 234.00; Delta = -0.43; IV = 13.2
Name Value = 400.20; Delta = 0.57; IV = 15.3 || 12:34 = 21726 || Put Value = 232.45; Delta = -0.43; IV = 13.2
Name Value = 400.40; Delta = 0.57; IV = 15.3 || 12:35 = 21725 || Put Value = 233.15; Delta = -0.43; IV = 13.2
Name Value = 400.00; Delta = 0.57; IV = 15.3 || 12:36 = 21726 || Put Value = 232.25; Delta = -0.43; IV = 13.2
Name Value = 398.95; Delta = 0.57; IV = 15.3 || 12:37 = 21725 || Put Value = 232.90; Delta = -0.43; IV = 13.2
Name Value = 400.20; Delta = 0.57; IV = 15.3 || 12:38 = 21727 || Put Value = 231.45; Delta = -0.43; IV = 13.2
Name Value = 402.00; Delta = 0.57; IV = 15.3 || 12:39 = 21730 || Put Value = 230.05; Delta = -0.42; IV = 13.2
Name Value = 402.65; Delta = 0.57; IV = 15.3 || 12:40 = 21732 || Put Value = 231.30; Delta = -0.42; IV = 13.3
Name Value = 401.80; Delta = 0.57; IV = 15.2 || 12:41 = 21731 || Put Value = 231.45; Delta = -0.42; IV = 13.2
Name Value = 401.15; Delta = 0.57; IV = 15.2 || 12:42 = 21732 || Put Value = 231.25; Delta = -0.42; IV = 13.3
Name Value = 400.85; Delta = 0.57; IV = 15.2 || 12:43 = 21732 || Put Value = 231.55; Delta = -0.42; IV = 13.3
Name Value = 402.05; Delta = 0.57; IV = 15.1 || 12:44 = 21735 || Put Value = 230.80; Delta = -0.42; IV = 13.4
Name Value = 404.25; Delta = 0.57; IV = 15.2 || 12:45 = 21736 || Put Value = 229.45; Delta = -0.42; IV = 13.2
Name Value = 405.00; Delta = 0.57; IV = 15.1 || 12:46 = 21740 || Put Value = 228.15; Delta = -0.42; IV = 13.3
Name Value = 406.20; Delta = 0.57; IV = 15.1 || 12:47 = 21742 || Put Value = 228.00; Delta = -0.42; IV = 13.3
Name Value = 409.20; Delta = 0.58; IV = 15.1 || 12:48 = 21748 || Put Value = 226.25; Delta = -0.42; IV = 13.4
Name Value = 408.25; Delta = 0.58; IV = 15.1 || 12:49 = 21747 || Put Value = 225.75; Delta = -0.42; IV = 13.3
Name Value = 410.15; Delta = 0.58; IV = 15.2 || 12:50 = 21747 || Put Value = 224.70; Delta = -0.41; IV = 13.3
Name Value = 408.00; Delta = 0.58; IV = 15.1 || 12:51 = 21745 || Put Value = 225.85; Delta = -0.42; IV = 13.3
Name Value = 405.60; Delta = 0.57; IV = 15.1 || 12:52 = 21742 || Put Value = 227.85; Delta = -0.42; IV = 13.3
Name Value = 410.00; Delta = 0.58; IV = 15.2 || 12:53 = 21746 || Put Value = 225.35; Delta = -0.42; IV = 13.3
Name Value = 410.65; Delta = 0.58; IV = 15.2 || 12:54 = 21747 || Put Value = 225.10; Delta = -0.42; IV = 13.3
Name Value = 410.75; Delta = 0.57; IV = 15.3 || 12:55 = 21745 || Put Value = 225.15; Delta = -0.42; IV = 13.2
Name Value = 412.25; Delta = 0.57; IV = 15.4 || 12:56 = 21742 || Put Value = 225.90; Delta = -0.42; IV = 13.2
Name Value = 410.00; Delta = 0.57; IV = 15.3 || 12:57 = 21744 || Put Value = 226.90; Delta = -0.42; IV = 13.3
Name Value = 408.85; Delta = 0.57; IV = 15.3 || 12:58 = 21743 || Put Value = 227.80; Delta = -0.42; IV = 13.4
Name Value = 407.90; Delta = 0.57; IV = 15.3 || 12:59 = 21741 || Put Value = 227.80; Delta = -0.42; IV = 13.3
Name Value = 408.40; Delta = 0.57; IV = 15.3 || 13:00 = 21740 || Put Value = 227.75; Delta = -0.42; IV = 13.3
Name Value = 411.00; Delta = 0.57; IV = 15.4 || 13:01 = 21743 || Put Value = 227.00; Delta = -0.42; IV = 13.3
Name Value = 413.05; Delta = 0.57; IV = 15.4 || 13:02 = 21744 || Put Value = 223.95; Delta = -0.42; IV = 13.2
Name Value = 413.00; Delta = 0.57; IV = 15.4 || 13:03 = 21745 || Put Value = 224.30; Delta = -0.42; IV = 13.2
Name Value = 411.00; Delta = 0.57; IV = 15.4 || 13:04 = 21742 || Put Value = 225.50; Delta = -0.42; IV = 13.2
Name Value = 413.50; Delta = 0.57; IV = 15.4 || 13:05 = 21744 || Put Value = 223.80; Delta = -0.42; IV = 13.2
Name Value = 412.85; Delta = 0.57; IV = 15.4 || 13:06 = 21743 || Put Value = 224.40; Delta = -0.42; IV = 13.2
Name Value = 409.00; Delta = 0.57; IV = 15.3 || 13:07 = 21739 || Put Value = 225.85; Delta = -0.42; IV = 13.2
Name Value = 409.60; Delta = 0.57; IV = 15.4 || 13:08 = 21741 || Put Value = 225.70; Delta = -0.42; IV = 13.2
Name Value = 408.00; Delta = 0.57; IV = 15.3 || 13:09 = 21739 || Put Value = 226.10; Delta = -0.42; IV = 13.2
Name Value = 409.00; Delta = 0.57; IV = 15.4 || 13:10 = 21738 || Put Value = 226.05; Delta = -0.42; IV = 13.2
Name Value = 410.05; Delta = 0.57; IV = 15.5 || 13:11 = 21736 || Put Value = 226.10; Delta = -0.42; IV = 13.1
Name Value = 407.50; Delta = 0.57; IV = 15.4 || 13:12 = 21736 || Put Value = 226.70; Delta = -0.42; IV = 13.2
Name Value = 407.90; Delta = 0.57; IV = 15.4 || 13:13 = 21737 || Put Value = 225.40; Delta = -0.42; IV = 13.1
Name Value = 410.40; Delta = 0.57; IV = 15.4 || 13:14 = 21738 || Put Value = 224.95; Delta = -0.42; IV = 13.1
Name Value = 412.55; Delta = 0.57; IV = 15.5 || 13:15 = 21741 || Put Value = 224.05; Delta = -0.42; IV = 13.1
Name Value = 415.60; Delta = 0.57; IV = 15.6 || 13:16 = 21744 || Put Value = 222.00; Delta = -0.42; IV = 13.1
Name Value = 414.00; Delta = 0.57; IV = 15.4 || 13:17 = 21745 || Put Value = 222.05; Delta = -0.42; IV = 13.1
Name Value = 413.00; Delta = 0.57; IV = 15.5 || 13:18 = 21741 || Put Value = 222.50; Delta = -0.42; IV = 13.0
Name Value = 409.80; Delta = 0.57; IV = 15.4 || 13:19 = 21740 || Put Value = 224.80; Delta = -0.42; IV = 13.2
Name Value = 412.00; Delta = 0.57; IV = 15.4 || 13:20 = 21742 || Put Value = 223.20; Delta = -0.42; IV = 13.1
Name Value = 411.25; Delta = 0.57; IV = 15.4 || 13:21 = 21740 || Put Value = 223.55; Delta = -0.42; IV = 13.1
Name Value = 413.45; Delta = 0.57; IV = 15.4 || 13:22 = 21742 || Put Value = 222.55; Delta = -0.42; IV = 13.1
Name Value = 411.40; Delta = 0.57; IV = 15.5 || 13:23 = 21738 || Put Value = 223.70; Delta = -0.42; IV = 13.1
Name Value = 412.00; Delta = 0.57; IV = 15.5 || 13:24 = 21739 || Put Value = 223.50; Delta = -0.42; IV = 13.1
Name Value = 413.65; Delta = 0.57; IV = 15.5 || 13:25 = 21742 || Put Value = 223.05; Delta = -0.42; IV = 13.1
Name Value = 413.00; Delta = 0.57; IV = 15.4 || 13:26 = 21743 || Put Value = 222.65; Delta = -0.42; IV = 13.1
Name Value = 413.80; Delta = 0.57; IV = 15.4 || 13:27 = 21744 || Put Value = 223.00; Delta = -0.42; IV = 13.2
Name Value = 416.00; Delta = 0.57; IV = 15.5 || 13:28 = 21747 || Put Value = 221.00; Delta = -0.41; IV = 13.1
Name Value = 416.40; Delta = 0.58; IV = 15.3 || 13:29 = 21752 || Put Value = 220.80; Delta = -0.41; IV = 13.2
Name Value = 412.45; Delta = 0.58; IV = 15.2 || 13:30 = 21751 || Put Value = 222.55; Delta = -0.41; IV = 13.3
Name Value = 411.20; Delta = 0.58; IV = 15.2 || 13:31 = 21749 || Put Value = 223.55; Delta = -0.41; IV = 13.3
Name Value = 414.55; Delta = 0.58; IV = 15.3 || 13:32 = 21752 || Put Value = 221.50; Delta = -0.41; IV = 13.2
Name Value = 415.00; Delta = 0.58; IV = 15.3 || 13:33 = 21751 || Put Value = 222.00; Delta = -0.41; IV = 13.2
Name Value = 409.95; Delta = 0.58; IV = 15.2 || 13:34 = 21746 || Put Value = 224.20; Delta = -0.41; IV = 13.2
Name Value = 410.85; Delta = 0.58; IV = 15.2 || 13:35 = 21749 || Put Value = 223.60; Delta = -0.41; IV = 13.3
Name Value = 410.85; Delta = 0.58; IV = 15.3 || 13:36 = 21747 || Put Value = 223.60; Delta = -0.41; IV = 13.2
Name Value = 410.90; Delta = 0.58; IV = 15.3 || 13:37 = 21746 || Put Value = 223.95; Delta = -0.42; IV = 13.2
Name Value = 412.55; Delta = 0.58; IV = 15.3 || 13:38 = 21748 || Put Value = 222.85; Delta = -0.41; IV = 13.2
Name Value = 411.00; Delta = 0.58; IV = 15.3 || 13:39 = 21747 || Put Value = 221.85; Delta = -0.41; IV = 13.2
Name Value = 412.40; Delta = 0.58; IV = 15.2 || 13:40 = 21750 || Put Value = 223.80; Delta = -0.41; IV = 13.3
Name Value = 411.20; Delta = 0.58; IV = 15.2 || 13:41 = 21748 || Put Value = 223.75; Delta = -0.41; IV = 13.3
Name Value = 409.95; Delta = 0.58; IV = 15.2 || 13:42 = 21746 || Put Value = 223.15; Delta = -0.41; IV = 13.2
Name Value = 409.05; Delta = 0.58; IV = 15.2 || 13:43 = 21746 || Put Value = 224.80; Delta = -0.42; IV = 13.3
Name Value = 408.00; Delta = 0.57; IV = 15.2 || 13:44 = 21743 || Put Value = 225.00; Delta = -0.42; IV = 13.2
Name Value = 412.40; Delta = 0.58; IV = 15.2 || 13:45 = 21750 || Put Value = 223.70; Delta = -0.41; IV = 13.3
Name Value = 412.00; Delta = 0.58; IV = 15.3 || 13:46 = 21749 || Put Value = 223.05; Delta = -0.41; IV = 13.2
Name Value = 414.85; Delta = 0.58; IV = 15.3 || 13:47 = 21751 || Put Value = 221.15; Delta = -0.41; IV = 13.2
Name Value = 415.00; Delta = 0.58; IV = 15.2 || 13:48 = 21755 || Put Value = 221.10; Delta = -0.41; IV = 13.2
Name Value = 416.00; Delta = 0.58; IV = 15.3 || 13:49 = 21755 || Put Value = 220.35; Delta = -0.41; IV = 13.2
Name Value = 419.75; Delta = 0.58; IV = 15.3 || 13:50 = 21760 || Put Value = 219.05; Delta = -0.41; IV = 13.3
Name Value = 415.25; Delta = 0.58; IV = 15.2 || 13:51 = 21755 || Put Value = 220.95; Delta = -0.41; IV = 13.3
Name Value = 414.15; Delta = 0.58; IV = 15.3 || 13:52 = 21752 || Put Value = 221.70; Delta = -0.41; IV = 13.2
Name Value = 416.05; Delta = 0.58; IV = 15.4 || 13:53 = 21752 || Put Value = 220.65; Delta = -0.41; IV = 13.2
Name Value = 416.10; Delta = 0.58; IV = 15.3 || 13:54 = 21755 || Put Value = 220.50; Delta = -0.41; IV = 13.2
Name Value = 416.55; Delta = 0.58; IV = 15.4 || 13:55 = 21753 || Put Value = 219.85; Delta = -0.41; IV = 13.2
Name Value = 421.00; Delta = 0.58; IV = 15.5 || 13:56 = 21756 || Put Value = 218.05; Delta = -0.41; IV = 13.2
Name Value = 429.40; Delta = 0.58; IV = 15.6 || 13:57 = 21764 || Put Value = 214.65; Delta = -0.41; IV = 13.2
Name Value = 434.25; Delta = 0.58; IV = 15.7 || 13:58 = 21768 || Put Value = 212.20; Delta = -0.40; IV = 13.1
Name Value = 431.95; Delta = 0.58; IV = 15.7 || 13:59 = 21765 || Put Value = 214.15; Delta = -0.40; IV = 13.1
Name Value = 436.20; Delta = 0.59; IV = 15.7 || 14:00 = 21771 || Put Value = 211.30; Delta = -0.40; IV = 13.1
Name Value = 439.90; Delta = 0.59; IV = 15.9 || 14:01 = 21773 || Put Value = 209.90; Delta = -0.40; IV = 13.1
Name Value = 451.85; Delta = 0.59; IV = 16.2 || 14:02 = 21782 || Put Value = 206.55; Delta = -0.40; IV = 13.1
Name Value = 447.00; Delta = 0.58; IV = 16.2 || 14:03 = 21775 || Put Value = 208.50; Delta = -0.40; IV = 13.1
Name Value = 453.95; Delta = 0.59; IV = 16.4 || 14:04 = 21779 || Put Value = 206.20; Delta = -0.40; IV = 13.0
Name Value = 454.25; Delta = 0.59; IV = 16.4 || 14:05 = 21780 || Put Value = 206.35; Delta = -0.40; IV = 13.1
Name Value = 457.30; Delta = 0.59; IV = 16.4 || 14:06 = 21784 || Put Value = 204.95; Delta = -0.39; IV = 13.1
Name Value = 454.00; Delta = 0.59; IV = 16.3 || 14:07 = 21781 || Put Value = 205.95; Delta = -0.40; IV = 13.1
Name Value = 454.50; Delta = 0.59; IV = 16.4 || 14:08 = 21779 || Put Value = 206.10; Delta = -0.40; IV = 13.0
Name Value = 452.30; Delta = 0.59; IV = 16.3 || 14:09 = 21780 || Put Value = 205.95; Delta = -0.40; IV = 13.1
Name Value = 456.90; Delta = 0.59; IV = 16.4 || 14:10 = 21782 || Put Value = 205.00; Delta = -0.40; IV = 13.1
Name Value = 464.80; Delta = 0.59; IV = 16.7 || 14:11 = 21788 || Put Value = 202.65; Delta = -0.39; IV = 13.1
Name Value = 464.00; Delta = 0.59; IV = 16.5 || 14:12 = 21790 || Put Value = 202.85; Delta = -0.39; IV = 13.1
Name Value = 466.85; Delta = 0.59; IV = 16.6 || 14:13 = 21792 || Put Value = 201.15; Delta = -0.39; IV = 13.0
Name Value = 466.40; Delta = 0.59; IV = 16.6 || 14:14 = 21793 || Put Value = 200.90; Delta = -0.39; IV = 13.1
Name Value = 463.70; Delta = 0.59; IV = 16.5 || 14:15 = 21790 || Put Value = 201.45; Delta = -0.39; IV = 13.0
Name Value = 466.30; Delta = 0.59; IV = 16.6 || 14:16 = 21792 || Put Value = 201.20; Delta = -0.39; IV = 13.0
Name Value = 471.20; Delta = 0.59; IV = 16.6 || 14:17 = 21800 || Put Value = 199.75; Delta = -0.39; IV = 13.1
Name Value = 465.90; Delta = 0.59; IV = 16.6 || 14:18 = 21793 || Put Value = 201.95; Delta = -0.39; IV = 13.1
Name Value = 467.35; Delta = 0.59; IV = 16.6 || 14:19 = 21792 || Put Value = 202.20; Delta = -0.39; IV = 13.1
Name Value = 468.85; Delta = 0.59; IV = 16.7 || 14:20 = 21794 || Put Value = 203.55; Delta = -0.39; IV = 13.2
Name Value = 465.25; Delta = 0.59; IV = 16.6 || 14:21 = 21790 || Put Value = 204.70; Delta = -0.39; IV = 13.2
Name Value = 462.25; Delta = 0.59; IV = 16.5 || 14:22 = 21788 || Put Value = 206.00; Delta = -0.39; IV = 13.2
Name Value = 466.05; Delta = 0.59; IV = 16.6 || 14:23 = 21792 || Put Value = 204.30; Delta = -0.39; IV = 13.2
Name Value = 463.20; Delta = 0.59; IV = 16.4 || 14:24 = 21792 || Put Value = 205.80; Delta = -0.39; IV = 13.3
Name Value = 464.00; Delta = 0.59; IV = 16.4 || 14:25 = 21795 || Put Value = 204.00; Delta = -0.39; IV = 13.2
Name Value = 462.00; Delta = 0.59; IV = 16.4 || 14:26 = 21794 || Put Value = 204.60; Delta = -0.39; IV = 13.2
Name Value = 456.05; Delta = 0.59; IV = 16.2 || 14:27 = 21789 || Put Value = 205.50; Delta = -0.39; IV = 13.2
Name Value = 461.90; Delta = 0.59; IV = 16.5 || 14:28 = 21790 || Put Value = 204.00; Delta = -0.39; IV = 13.1
Name Value = 465.55; Delta = 0.59; IV = 16.5 || 14:29 = 21794 || Put Value = 203.55; Delta = -0.39; IV = 13.2
Name Value = 467.75; Delta = 0.59; IV = 16.5 || 14:30 = 21798 || Put Value = 203.70; Delta = -0.39; IV = 13.3
Name Value = 463.75; Delta = 0.59; IV = 16.5 || 14:31 = 21792 || Put Value = 206.30; Delta = -0.39; IV = 13.3
Name Value = 463.35; Delta = 0.59; IV = 16.4 || 14:32 = 21792 || Put Value = 206.70; Delta = -0.39; IV = 13.3
Name Value = 464.75; Delta = 0.59; IV = 16.5 || 14:33 = 21795 || Put Value = 204.75; Delta = -0.39; IV = 13.3
Name Value = 465.25; Delta = 0.59; IV = 16.5 || 14:34 = 21795 || Put Value = 204.85; Delta = -0.39; IV = 13.3
Name Value = 466.95; Delta = 0.59; IV = 16.5 || 14:35 = 21797 || Put Value = 204.45; Delta = -0.39; IV = 13.3
Name Value = 469.00; Delta = 0.59; IV = 16.6 || 14:36 = 21796 || Put Value = 203.45; Delta = -0.39; IV = 13.2
Name Value = 465.45; Delta = 0.59; IV = 16.5 || 14:37 = 21792 || Put Value = 205.00; Delta = -0.39; IV = 13.2
Name Value = 462.70; Delta = 0.59; IV = 16.5 || 14:38 = 21789 || Put Value = 204.80; Delta = -0.39; IV = 13.2
Name Value = 459.90; Delta = 0.59; IV = 16.4 || 14:39 = 21789 || Put Value = 205.75; Delta = -0.39; IV = 13.2
Name Value = 464.95; Delta = 0.59; IV = 16.5 || 14:40 = 21793 || Put Value = 203.60; Delta = -0.39; IV = 13.2
Name Value = 473.45; Delta = 0.59; IV = 16.7 || 14:41 = 21800 || Put Value = 198.95; Delta = -0.39; IV = 13.1
Name Value = 486.40; Delta = 0.60; IV = 17.0 || 14:42 = 21810 || Put Value = 193.40; Delta = -0.38; IV = 13.0
Name Value = 491.30; Delta = 0.60; IV = 17.2 || 14:43 = 21812 || Put Value = 191.60; Delta = -0.38; IV = 13.0
Name Value = 494.80; Delta = 0.60; IV = 17.3 || 14:44 = 21817 || Put Value = 191.10; Delta = -0.38; IV = 13.0
Name Value = 492.55; Delta = 0.60; IV = 17.2 || 14:45 = 21816 || Put Value = 192.10; Delta = -0.38; IV = 13.1
Name Value = 493.45; Delta = 0.60; IV = 17.2 || 14:46 = 21816 || Put Value = 193.10; Delta = -0.38; IV = 13.1
Name Value = 491.00; Delta = 0.60; IV = 17.1 || 14:47 = 21815 || Put Value = 192.30; Delta = -0.38; IV = 13.0
Name Value = 492.70; Delta = 0.60; IV = 17.2 || 14:48 = 21816 || Put Value = 191.50; Delta = -0.38; IV = 13.1
Name Value = 506.10; Delta = 0.60; IV = 17.5 || 14:49 = 21827 || Put Value = 187.40; Delta = -0.37; IV = 13.0
Name Value = 513.85; Delta = 0.60; IV = 17.7 || 14:50 = 21832 || Put Value = 188.25; Delta = -0.37; IV = 13.1
Name Value = 508.75; Delta = 0.60; IV = 17.6 || 14:51 = 21826 || Put Value = 190.20; Delta = -0.37; IV = 13.1
Name Value = 506.90; Delta = 0.60; IV = 17.7 || 14:52 = 21823 || Put Value = 191.80; Delta = -0.37; IV = 13.2
Name Value = 504.40; Delta = 0.60; IV = 17.5 || 14:53 = 21822 || Put Value = 193.00; Delta = -0.37; IV = 13.2
Name Value = 503.75; Delta = 0.60; IV = 17.6 || 14:54 = 21820 || Put Value = 193.10; Delta = -0.38; IV = 13.2
Name Value = 504.00; Delta = 0.60; IV = 17.5 || 14:55 = 21822 || Put Value = 192.45; Delta = -0.37; IV = 13.2
Name Value = 502.10; Delta = 0.60; IV = 17.5 || 14:56 = 21819 || Put Value = 193.55; Delta = -0.38; IV = 13.2
Name Value = 502.00; Delta = 0.60; IV = 17.5 || 14:57 = 21819 || Put Value = 193.00; Delta = -0.38; IV = 13.2
Name Value = 503.90; Delta = 0.60; IV = 17.5 || 14:58 = 21822 || Put Value = 193.35; Delta = -0.37; IV = 13.2
Name Value = 507.00; Delta = 0.60; IV = 17.6 || 14:59 = 21823 || Put Value = 192.90; Delta = -0.37; IV = 13.2
Name Value = 511.45; Delta = 0.60; IV = 17.7 || 15:00 = 21828 || Put Value = 192.00; Delta = -0.37; IV = 13.2
Name Value = 492.00; Delta = 0.59; IV = 17.4 || 15:01 = 21808 || Put Value = 199.00; Delta = -0.38; IV = 13.2
Name Value = 485.00; Delta = 0.59; IV = 17.2 || 15:02 = 21802 || Put Value = 200.00; Delta = -0.39; IV = 13.2
Name Value = 482.15; Delta = 0.59; IV = 17.2 || 15:03 = 21798 || Put Value = 199.85; Delta = -0.39; IV = 13.1
Name Value = 485.50; Delta = 0.59; IV = 17.3 || 15:04 = 21802 || Put Value = 198.85; Delta = -0.38; IV = 13.1
Name Value = 486.35; Delta = 0.59; IV = 17.3 || 15:05 = 21800 || Put Value = 197.80; Delta = -0.39; IV = 13.1
Name Value = 484.95; Delta = 0.59; IV = 17.4 || 15:06 = 21796 || Put Value = 199.60; Delta = -0.39; IV = 13.1
Name Value = 468.60; Delta = 0.59; IV = 16.9 || 15:07 = 21786 || Put Value = 203.85; Delta = -0.39; IV = 13.1
Name Value = 447.65; Delta = 0.58; IV = 16.4 || 15:08 = 21767 || Put Value = 210.90; Delta = -0.40; IV = 13.1
Name Value = 443.00; Delta = 0.58; IV = 16.5 || 15:09 = 21756 || Put Value = 214.10; Delta = -0.41; IV = 13.0
Name Value = 427.80; Delta = 0.57; IV = 16.3 || 15:10 = 21737 || Put Value = 222.20; Delta = -0.42; IV = 13.0
Name Value = 423.00; Delta = 0.57; IV = 16.1 || 15:11 = 21739 || Put Value = 223.65; Delta = -0.42; IV = 13.1
Name Value = 420.45; Delta = 0.57; IV = 16.1 || 15:12 = 21732 || Put Value = 227.50; Delta = -0.42; IV = 13.2
Name Value = 413.85; Delta = 0.56; IV = 16.1 || 15:13 = 21723 || Put Value = 230.60; Delta = -0.43; IV = 13.1
Name Value = 416.85; Delta = 0.56; IV = 16.1 || 15:14 = 21725 || Put Value = 231.00; Delta = -0.43; IV = 13.2
Name Value = 421.70; Delta = 0.57; IV = 16.2 || 15:15 = 21732 || Put Value = 225.10; Delta = -0.42; IV = 13.0
Name Value = 421.20; Delta = 0.56; IV = 16.3 || 15:16 = 21726 || Put Value = 229.85; Delta = -0.43; IV = 13.2
Name Value = 422.85; Delta = 0.56; IV = 16.4 || 15:17 = 21725 || Put Value = 228.60; Delta = -0.43; IV = 13.1
Name Value = 422.00; Delta = 0.56; IV = 16.4 || 15:18 = 21725 || Put Value = 229.00; Delta = -0.43; IV = 13.1
Name Value = 420.50; Delta = 0.56; IV = 16.3 || 15:19 = 21725 || Put Value = 230.35; Delta = -0.43; IV = 13.1
Name Value = 410.20; Delta = 0.56; IV = 16.2 || 15:20 = 21708 || Put Value = 238.00; Delta = -0.44; IV = 13.2
Name Value = 397.30; Delta = 0.55; IV = 15.9 || 15:21 = 21698 || Put Value = 244.20; Delta = -0.44; IV = 13.2
Name Value = 393.00; Delta = 0.55; IV = 15.9 || 15:22 = 21690 || Put Value = 246.75; Delta = -0.45; IV = 13.2
Name Value = 390.05; Delta = 0.55; IV = 15.9 || 15:23 = 21687 || Put Value = 249.10; Delta = -0.45; IV = 13.2
Name Value = 390.00; Delta = 0.55; IV = 15.9 || 15:24 = 21685 || Put Value = 249.00; Delta = -0.45; IV = 13.2
Name Value = 388.15; Delta = 0.55; IV = 15.8 || 15:25 = 21685 || Put Value = 248.15; Delta = -0.45; IV = 13.2
Name Value = 388.35; Delta = 0.55; IV = 15.7 || 15:26 = 21689 || Put Value = 248.15; Delta = -0.45; IV = 13.2
Name Value = 383.30; Delta = 0.55; IV = 15.5 || 15:27 = 21688 || Put Value = 250.45; Delta = -0.45; IV = 13.3
Name Value = 383.75; Delta = 0.54; IV = 15.7 || 15:28 = 21683 || Put Value = 251.00; Delta = -0.45; IV = 13.2
Name Value = 384.20; Delta = 0.55; IV = 15.5 || 15:29 = 21689 || Put Value = 251.40; Delta = -0.45; IV = 13.4

To generate this, I bought the historic costs from ICICI Breeze API. Then iteratively calculated the IV worth utilizing BSM mannequin that will output the historic market value of name/put. Then used that IV (totally different for name/put) to calculate the choice greeks.

There are a number of key takeaways right here:

The IV spike and corresponding contraction later within the day corresponds with possibility patrons’ growing/lowering curiosity within the name as market rose after which fell. The put maintained related IV ranges all through the day, maybe from establishments hedging draw back threat.
Put name parity (a minimum of based mostly on delta alone) is barely violated when excessive IV ranges are recorded.
The environment friendly market speculation is only a speculation and BSM mannequin is only a mannequin. They’re flawed representations of actuality however not actuality itself.

Even Sensibull chooses the ATM strike closest to identify value to create a straddle, not the futures ATM strike with round 0.5 delta.

Sensibull makes use of futures value for Auto ATM Straddles, It’s talked about on this weblog. That is primarily due to value equivalence I assume so, delta near 0.5 as you set it, ain’t it’s then extra helpful than spot ATM definition?

it reveals the choice chain for weekly expiry (Dec 5

There’s an implied weekly future which we are able to’t commerce. Choices commerce as per futures of the identical expiry. It’s not as difficult as you will have defined.If you’re a Fno dealer then spot costs are ineffective.Yesterday calls didnt transfer a lot even after getting 200 factors upmove. Could also be round 50 factors was already priced in calls.So on spot what you noticed was nifty closing round 23920. However we had been truly at round 23970.Now if all these items don’t match there’s a likelihood of arbitrage achieve. (Refer idea of artificial futures, put name parity)

Nifty spot proper now’s at 24131Nifty fifth dec futures is at 24196(Strike value + name premium – put premium)24100+208-112

If you’re a Fno dealer then spot costs are ineffective.

I encourage to vary @Jason_Castelino Certainly one of my methods solely run on the spot costs whereas taking close to OTM calls or places. I by no means use possibility charts as a result of they derive worth from the underlying and doesn’t have any worth of their very own.

Sensibull makes use of futures value for Auto ATM Straddles, It’s talked about on this weblog. That is primarily due to value equivalence I assume so, delta near 0.5 as you set it, ain’t it’s then extra helpful than spot ATM definition?

As soon as once more, we see concept and apply diverging a la Sensibull’s IV calculation. In the event you go to their technique builder and create a straddle based mostly on subsequent month expiry, it’s created based mostly on spot value and never the futures / 0.5 delta ATM which they themselves show on the choice chain.

Yesterday calls didnt transfer a lot even after getting 200 factors upmove. Could also be round 50 factors was already priced in calls.

If the decision delta will increase and the value doesn’t transfer up as anticipated, it most definitely is because of a drop in IV. Dan Passarelli in Buying and selling Choice Greeks (2nd ed.) says vol merchants (which is what most possibility merchants are) ought to by no means belief the IV offered by software program because the dealer doesn’t know which value (bid/ask/mid/LTP) it’s calculated from. Higher to calculate it oneself based mostly on the requirement by reversing the Black Scholes mannequin to calculate for IV as a substitute of value.

Discovered a calculator that does that:

option-price.com

Implied Volatility Calculator

Implied volatility Calculator. Simply enter your parameters and hit calculate.

I encourage to vary

I’ve to offer excessive examples generally. Let me strive.

Let’s say a inventory is at 100 and earlier than subsequent expiry there may be dividend of fifty rupees on it. Let’s say there may be one week to expiry. The place do you assume futures will commerce? Round 51 proper. Now when you take 50 strike name possibility it is going to be round 5 to 10 rupees relying on its IV and different components. So choices transfer as per futures and never as per cease.

Please don’t inform the futures get adjusted when there may be irregular dividend. With small dividend I wouldn’t be capable to show my level.

Apply the identical in index. The months the place dividend is there from IT corporations and heavy weights, future premium is far decrease and calls are additionally buying and selling at decrease values.

Discovered a calculator that does that:

Calculator is theoretical brother. Theoretical values don’t work in market. Theoretically I really feel OLA must be at 50 rupees. I could make my very own theories. Except there may be arbitration doable, theories received’t work.

I by no means use possibility charts as a result of they derive worth from the underlying and doesn’t have any worth of their very own.

Theoretically sure. Futures and choices are derivatives. However virtually derivatives transfer the underlying.

virtually derivatives transfer the underlying.

Virtually underlying transfer the derivatives. Have all the time been the case ever since I’m into markets. Not one single edge case. Derivatives are an indicator of kinds as to the place the market as a complete is betting on however the underlying has to maneuver.

Nifty fifth dec futures is at 24196(Strike value + name premium – put premium)24100+208-112

Right here, you might be calculating the dec fifth futures value in reverse, and I agree its certainly the artificial futures value determined by the market, I verified the identical by repeating the identical train for a number of strikes, all of them return the identical artificial value of 24196! And the closest strike to this value has delta of 0.5 (the ATM strike)!

However how does the FnO market arive at this quantity? Does any arbitrage exist if this quantity is off by say 30 factors, say this quantity is at 24166? And what kind of arbitrage exists when two totally different strikes have say a 30 level distinction of their artificial futures value. So many questions…Thanks a lot!

Virtually underlying transfer the derivatives.

It’s okay. We each can keep on with our views. I’m positive so many skilled merchants agree with me.

And the closest strike to this value has delta of 0.5 (the ATM strike)!

Precisely my level. ATM delta must be 0.5. So choices are based mostly on futures and never spot.

However how does the FnO market arive at this quantity?

Out of expectations in close to futures after contemplating the plain time worth. Am positive you know the way theoretical value of future is derived.

And what kind of arbitrage exists when two totally different strikes have say a 30 level distinction of their artificial futures value.

There received’t be such variations. If there may be you possibly can promote one artificial future and purchase the opposite one. It’s not doable for retailer to use this. There isn’t any free lunch.

So many questions…

You may ask as many questions as you need if you find yourself able to study and versatile to accommodate others views.