A Project Report On

Relationship between Call and Put

Option using Individual Stocks and Nifty
Options

Introduction
The understanding of call and put options and the dynamics of their relationship is extremely important in
getting to know the options market.
The underlying currents that govern their relationship is useful for their efficient analysis.
Through this project we aim:

To establish relationship between Call and Put Options

Understand how Premium moves of both call and put option on the basis of Strike Price

Understand how Premium moves of both call and put option on the basis of Underlying Asset

Understand how Premium moves of both call and put option on the basis of Time to maturity

To understand the Premium mechanism

To derive which factor affects the most to premium movement

Relationship between Premium and

Underlying Asset
ITC

Call Option
Date
Expiry
Strike Price Close
15-Nov-12 29-Nov-12
280
3.25
16-Nov-12 29-Nov-12
280
2.45
19-Nov-12 29-Nov-12
280
5.25
20-Nov-12 29-Nov-12
280
4.15
21-Nov-12 29-Nov-12
280
7.35
22-Nov-12 29-Nov-12
280
9.6
23-Nov-12 29-Nov-12
280
7.2
26-Nov-12 29-Nov-12
280
7.5
27-Nov-12 29-Nov-12
280
14.1
29-Nov-12 29-Nov-12
280
17.65

Put Option
Strike Price Close
280
5.15
280
7.1
280
3.05
280
3.35
280
1.3
280
0.85
280
0.9
280
0.5
280
0.15
280
0.05

ITC
20
18
16
14
12
10
8
6
4
2
0

Call Option
Put Option

Strike
Price
(280)

AXIS Bank

Call Option
Date
Expiry
Strike Price Close
15-Nov-12 29-Nov-12
1250 20.55
16-Nov-12 29-Nov-12
1250 13.95
19-Nov-12 29-Nov-12
1250 10.25
20-Nov-12 29-Nov-12
1250 10.4
21-Nov-12 29-Nov-12
1250 13.8
22-Nov-12 29-Nov-12
1250 25.05
23-Nov-12 29-Nov-12
1250 19.3
26-Nov-12 29-Nov-12
1250 21.35
27-Nov-12 29-Nov-12
1250 38.25
29-Nov-12 29-Nov-12
1250 58.5

Put Option
Strike Price Close
1250
31.55
1250
38.75
1250
44.25
1250
40.4
1250
26.25
1250
13.5
1250
11
1250
6.45
1250
1.25
1250
0.05

Axis Bank
70
60
50
40
30
20
10
0
Strike Price (1250)

Call Option
Put Option

Infosys

Call Option
Date
Expiry
Strike Price Close
15-Nov-12 29-Nov-12
2300 34.85
16-Nov-12 29-Nov-12
2300
60
19-Nov-12 29-Nov-12
2300 73.95
20-Nov-12 29-Nov-12
2300 49.75
21-Nov-12 29-Nov-12
2300
59.1
22-Nov-12 29-Nov-12
2300
83.8
23-Nov-12 29-Nov-12
2300
82.6
26-Nov-12 29-Nov-12
2300 114.75
27-Nov-12 29-Nov-12
2300 172.05
29-Nov-12 29-Nov-12
2300 144.7

Put Option
Strike Price Close
2300 30.45
2300 14.4
2300
8.8
2300 15.45
2300
8.8
2300
3.6
2300
2.5
2300
0.7
2300 0.25
2300
0.1

Infosys
200
180
160
140
120
100
80
60
40
20
0
Strike Price (2300)

Call Option
Put Option

ONGC

Call Option
Date
Expiry
Strike Price Close
15-Nov-12 29-Nov-12
260
2.25
16-Nov-12 29-Nov-12
260
3
19-Nov-12 29-Nov-12
260
1.95
20-Nov-12 29-Nov-12
260
1.25
21-Nov-12 29-Nov-12
260
1.2
22-Nov-12 29-Nov-12
260
0.85
23-Nov-12 29-Nov-12
260
0.5
26-Nov-12 29-Nov-12
260
0.3
27-Nov-12 29-Nov-12
260
0.15
29-Nov-12 29-Nov-12
260
0.1

Put Option
Strike Price Close
260
7.3
260
5.05
260
6.9
260
9
260
7.75
260
8.75
260
8.35
260
9.6
260
9.45
260
6.5

ONGC
12
10
8
6
Call Option
4

Put Option

2
0
Strike
Price
(260)

TATA Motors

Call Option
Date
Expiry
Strike Price Close
15-Nov-12 29-Nov-12
270 7.25
16-Nov-12 29-Nov-12
270 3.85
19-Nov-12 29-Nov-12
270 3.45
20-Nov-12 29-Nov-12
270 4.15
21-Nov-12 29-Nov-12
270 3.4
22-Nov-12 29-Nov-12
270 1.2
23-Nov-12 29-Nov-12
270
1
26-Nov-12 29-Nov-12
270 0.75
27-Nov-12 29-Nov-12
270 0.7
29-Nov-12 29-Nov-12
270 8.1

Put Option
Strike Price Close
270
5.05
270
8.75
270
8.55
270
7.4
270
7.05
270
11.45
270
9.75
270
7.35
270
3.7
270
0.05

TATA Motors
14
12
10
8
6

Call Option

Put Option

2
0
Strike
Price
(270)

Relationship between Premium and Maturity

TATA Motors
Expiry
29-Nov-12
29-Nov-12
29-Nov-12
29-Nov-12
29-Nov-12
29-Nov-12
29-Nov-12
29-Nov-12
29-Nov-12
29-Nov-12

Date
Close
15-Nov-12
7.25
16-Nov-12
3.85
19-Nov-12
3.45
20-Nov-12
4.15
21-Nov-12
3.4
22-Nov-12
1.2
23-Nov-12
1
26-Nov-12
0.75
27-Nov-12
0.7
29-Nov-12
8.1

Date
Close
15-Nov-12
5.05
16-Nov-12
8.75
19-Nov-12
8.55
20-Nov-12
7.4
21-Nov-12
7.05
22-Nov-12
11.45
23-Nov-12
9.75
26-Nov-12
7.35
27-Nov-12
3.7
29-Nov-12
0.05

TATA Motors
14
12
10
8
6

Call Option

Put Option

Analysis

The underlying value of TATA Motors:

15-Nov-12 : Rs.272.25
29-Nov-12 : Rs.278.45
Strike Price: 270

29-Nov-12

28-Nov-12

27-Nov-12

26-Nov-12

25-Nov-12

24-Nov-12

23-Nov-12

22-Nov-12

21-Nov-12

20-Nov-12

19-Nov-12

18-Nov-12

17-Nov-12

16-Nov-12

15-Nov-12

ONGC

Date
Close
15-Nov-12
2.25
16-Nov-12
3
19-Nov-12
1.95
20-Nov-12
1.25
21-Nov-12
1.2
22-Nov-12
0.85
23-Nov-12
0.5
26-Nov-12
0.3
27-Nov-12
0.15
29-Nov-12
0.1

Date
Close
15-Nov-12
7.3
16-Nov-12
5.05
19-Nov-12
6.9
20-Nov-12
9
21-Nov-12
7.75
22-Nov-12
8.75
23-Nov-12
8.35
26-Nov-12
9.6
27-Nov-12
9.45
29-Nov-12
6.5

ONGC
12
10
8
6
Call Option

Put Option

Analysis:

The underlying value of ONGC:

15-Nov-12 : Rs.253.5
29-Nov-12 : Rs.253.8
Strike Price: 260

29-Nov-12

28-Nov-12

27-Nov-12

26-Nov-12

25-Nov-12

24-Nov-12

23-Nov-12

22-Nov-12

21-Nov-12

20-Nov-12

19-Nov-12

18-Nov-12

17-Nov-12

16-Nov-12

15-Nov-12

ITC

Date
Close
15-Nov-12
3.25
16-Nov-12
2.45
19-Nov-12
5.25
20-Nov-12
4.15
21-Nov-12
7.35
22-Nov-12
9.6
23-Nov-12
7.2
26-Nov-12
7.5
27-Nov-12
14.1
29-Nov-12
17.65

Date
Close
15-Nov-12
5.15
16-Nov-12
7.1
19-Nov-12
3.05
20-Nov-12
3.35
21-Nov-12
1.3
22-Nov-12
0.85
23-Nov-12
0.9
26-Nov-12
0.5
27-Nov-12
0.15
29-Nov-12
0.05

ITC
20
18
16
14
12
10
8
6
4
2
0

Call Option

Analysis:

The underlying value of ITC:

15-Nov-12 : Rs.276.45
29-Nov-12 : Rs.298
Strike Price: 280

29-Nov-12

28-Nov-12

27-Nov-12

26-Nov-12

25-Nov-12

24-Nov-12

23-Nov-12

22-Nov-12

21-Nov-12

20-Nov-12

19-Nov-12

18-Nov-12

17-Nov-12

16-Nov-12

15-Nov-12

Put Option

Infosys

Date
Close
15-Nov-12
34.85
16-Nov-12
60
19-Nov-12
73.95
20-Nov-12
49.75
21-Nov-12
59.1
22-Nov-12
83.8
23-Nov-12
82.6
26-Nov-12
114.75
27-Nov-12
172.05
29-Nov-12
144.7

Date
Close
15-Nov-12
30.45
16-Nov-12
14.4
19-Nov-12
8.8
20-Nov-12
15.45
21-Nov-12
8.8
22-Nov-12
3.6
23-Nov-12
2.5
26-Nov-12
0.7
27-Nov-12
0.25
29-Nov-12
0.1

Infosys
200
180
160
140
120
100
80
60
40
20
0

Call Option

Analysis:

The underlying value of Infosys:

15-Nov-12 : Rs.2,296.30
29-Nov-12 : Rs.2,445.25
Strike Price: 2300

29-Nov-12

28-Nov-12

27-Nov-12

26-Nov-12

25-Nov-12

24-Nov-12

23-Nov-12

22-Nov-12

21-Nov-12

20-Nov-12

19-Nov-12

18-Nov-12

17-Nov-12

16-Nov-12

15-Nov-12

Put Option

AXIS Bank

Date
Close
15-Nov-12
20.55
16-Nov-12
13.95
19-Nov-12
10.25
20-Nov-12
10.4
21-Nov-12
13.8
22-Nov-12
25.05
23-Nov-12
19.3
26-Nov-12
21.35
27-Nov-12
38.25
29-Nov-12
58.5

Date
Close
15-Nov-12
31.55
16-Nov-12
38.75
19-Nov-12
44.25
20-Nov-12
40.4
21-Nov-12
26.25
22-Nov-12
13.5
23-Nov-12
11
26-Nov-12
6.45
27-Nov-12
1.25
29-Nov-12
0.05

Axis Bank
70
60
50
40
30

Call Option

20

Put Option

10

Analysis:

The underlying value of Axis Bank:

15-Nov-12 : Rs.1,232.25
29-Nov-12 : Rs.1,310.20
Strike Price : Rs. 1250

29-Nov-12

28-Nov-12

27-Nov-12

26-Nov-12

25-Nov-12

24-Nov-12

23-Nov-12

22-Nov-12

21-Nov-12

20-Nov-12

19-Nov-12

18-Nov-12

17-Nov-12

16-Nov-12

15-Nov-12

Relationship between Premium and Different

Strike Price
Relationship between Strike Price & Call Option Price
For call options, the higher the strike price, the cheaper the option. The following table lists
option premiums typical for near term call options at various strike prices when the underlying
stock is trading at 272.5

Relationship between Strike Price & Put Option Price

Conversely, for put options, the higher the strike price, the more expensive the option. The
following table lists option premiums typical for near term put options at various strike prices
when the underlying stock is trading at 272.5
Moneyness
Moneyness is a term describing the relationship between the strike price of an option and the
current trading price of its underlying security. In options trading, terms such as in-the-money,
out-of-the-money and at-the-money describe the moneyness of options.

In-the-Money (ITM)
A call option is in-the-money when its strike price is below the current trading price of the
underlying asset.
A put option is in-the-money when its strike price is above the current trading price of the
underlying asset.
In-the-money options are generally more expensive as their premiums consist of significant
intrinsic value on top of their time value.

Out-of-the-Money (OTM)
Calls are out-of-the-money when their strike price is above the market price of the underlying
asset.
Puts are out-of-the-money when their strike price is below the market price of the underlying
asset.

Out-of-the-money options have zero intrinsic value. Their entire premium is composed of only
time value. Out-of-the-money options are cheaper than in-the-money options as they possess
greater likelihood of expiring worthless.

Intrinsic Value
The intrinsic value is determined by the difference between the current trading price and the
strike price. Only in-the-money options have intrinsic value. Intrinsic value can be computed for
in-the-money options by taking the difference between the strike price and the current trading
price. Out-of-the-money options have no intrinsic value.

Time Value
An option's time value is dependent upon the length of time remaining to exercise the option, the
moneyness of the option, as well as the volatility of the underlying security's market price.
The time value of an option decreases as its expiration date approaches and becomes worthless
after that date. This phenomenon is known as time decay. As such, options are also wasting
assets.
For in-the-money options, time value can be calculated by subtracting the intrinsic value from
the option price. Time value decreases as the option goes deeper into the money. For out-of-themoney options, since there is zero intrinsic value, time value = option price.
Typically, higher volatility give rise to higher time value. In general, time value increases as the
uncertainty of the option's value at expiry increases.

TATA Motors (Call Option)

Strike PriceClose
270
7.25
270
3.85
270
3.45
270
4.15
270
3.4
270
1.2
270
1
270
0.75
270
0.7
270
8.1

Strike
Price
270
250
280
260

Strike PriceClose
250
22.85
250
16.05
250
15.3
250
16
250
16.55
250
10.2
250
11.55
250
13.5
250
17.8
250
28.95

Spot Price
As
on15/11/12
272.25
272.25
272.25
272.25

Premium
7.25
22.85
3.15
14.2

Strike PriceClose
280
3.15
280
1.65
280
1.4
280
1.55
280
1.1
280
0.45
280
0.35
280
0.2
280
0.15
280
0.1

Intrinsic
Value
2.25
22.25
0
12.25

Moneyness
ITM
ITM
OTM
ITM

Strike PriceClose
260
14.2
260
8.65
260
8.3
260
9.55
260
8.75
260
4.1
260
4.35
260
4.7
260
6.75
260
18.2

Time
Value
5
0.6
3.15
1.95

Movement of Call premium of TATA

Motors at different strike price
35
30
25

strike 270

20

Strike 250

15

Strike 280

10

Strike 260

5
0
1

10

TATA Motors (Put Option)

Strike Price Close
260
2.05
260
3.75
260
3.5
260
2.75
260
2.6
260
4.55
260
3.05
260
1.45
260
0.35
260
0.05

Strike
Price
270
250
280
260

Strike Price Close

270
5.05
270
8.75
270
8.55
270
7.4
270
7.05
270
11.45
270
9.75
270
7.35
270
3.7
270
0.05

Spot Price
As
on15/11/12
272.25
272.25
272.25
272.25

Strike Price Close

250
0.9
250
1.4
250
1.3
250
0.95
250
0.85
250
1.4
250
0.75
250
0.35
250
0.1
250
0.05

Intrinsic
Premium Moneyness
Value
2.05 ITM
2.25
5.05 ITM
22.25
0.9 OTM
0
10.75 ITM
12.25

Time
Value
0.2
17.2
0.9
1.5

Movement of Put premium of TATA

Motors at different strike price
25
20
Strike 260

15

Strike 270
10

Strike 250

Strike 280

0
1

10

Strike Price Close

280
10.75
280
16.6
280
16.2
280
14.3
280
15
280
20
280
19
280
16.75
280
12.8
280
1.65

ONGC (Call option)

Strike PriceClose
260
2.25
260
3
260
1.95
260
1.25
260
1.2
260
0.85
260
0.5
260
0.3
260
0.15
260
0.1

Strike PriceClose
240
14.95
240
18.25
240
14.95
240
12.7
240
13.25
240
12
240
12
240
10.55
240
10.35
240
13.35

Spot Price
Strike
As
Price
on15/11/12
260
253.5
240
253.5
280
253.5

Premium
2.25
14.95
0.4

Moneyness
OTM
ITM
OTM

Strike PriceClose
280
0.4
280
0.45
280
0.35
280
0.25
280
0.35
280
0.2
280
0.15
280
0.1
280
0.1
280
0.05

Intrinsic
Value
6.5
-13.5
26.5

Time
Value
4.25
1.45
26.1

Movement of Call premium of Infosys

at different strike price
20
15
Strike 260
10

Strike 240
Strike 280

5
0
1

10

ONGC (Put option)

Strike PriceClose
240
0.4
240
0.5
240
0.5
240
0.4
240
0.45
240
0.4
240
0.25
240
0.2
240
0.15
240
0.05

Strike PriceClose
260
7.3
260
5.05
260
6.9
260
9
260
7.75
260
8.75
260
8.35
260
9.6
260
9.45
260
6.5

Spot Price
Strike
As
Price
on15/11/12
260
253.5
240
253.5
280
253.5

Premium
0.4
7.3
23.3

Moneyness
ITM
OTM
ITM

Strike PriceClose
280
23.3
280
22.3
280
22.5
280
22.5
280
28
280
27
280
28.2
280
29.25
280
30.05
280
26.2

Intrinsic
Value
6.5
0
26.5

Time
Value
6.1
7.3
3.2

Movement of Call premium of ONGC

at different strike price
35
30
25
20

Strike 240

15

Strike 260

10

Strike 280

5
0
1

10

ITC (Call Option)

Strike PriceClose
280
3.25
280
2.45
280
5.25
280
4.15
280
7.35
280
9.6
280
7.2
280
7.5
280
14.1
280
17.65

Strike PriceClose
260
19.5
260
15.55
260
21.7
260
24
260
24
260
24
260
27.5
260
26.1
260
34.45
260
38.05

Strike PriceClose
300
0.55
300
0.45
300
0.6
300
0.45
300
0.6
300
0.7
300
0.35
300
0.25
300
0.5
300
0.1

Spot Price
Strike
As
Intrinsic
Price
on15/11/12 Premium Moneyness
Value
280
283.85
3.25 ITM
3.85
260
283.85
19.5 ITM
23.85
300
283.85
0.55 OTM
0
240
283.85
50.5 ITM
43.85

Time
Value
0.6
4.35
-0.55
-6.65

Movement of Call premium of ITC

at different strike price
60
50
40

Strike 280

30

Strike 260
Strike 300

20

Strike 240

10
0
1

10

Strike PriceClose
240
50.5
240
50.5
240
50.5
240
50.5
240
50.5
240
50.5
240
50.5
240
46.25
240
46.25
240
46.25

ITC (Put Option)

Strike PriceClose
240
0.2
240
0.2
240
0.2
240
0.2
240
0.2
240
0.2
240
0.2
240
0.15
240
0.15
240
0.15

Strike PriceClose
260
0.35
260
0.55
260
0.35
260
0.4
260
0.15
260
0.15
260
0.05
260
0.1
260
0.1
260
0.05

Spot Price
Strike
As
Price
on15/11/12
280
283.85
260
283.85
300
283.85
240
283.85

Premium
3.25
19.5
0.55
50.5

Moneyness
OTM
OTM
ITM
OTM

Strike PriceClose
280
5.15
280
7.1
280
3.05
280
3.35
280
1.3
280
0.85
280
0.9
280
0.5
280
0.15
280
0.05

Intrinsic
Value
3.85
23.85
0
43.85

Time
Value
0.6
4.35
-0.55
-6.65

Movement of Put premium of ITC at

different strike price
30
25
20

Strike 240

15

Strike 260
Strike 280

10

Strike 300

5
0
1

10

Strike PriceClose
300
22.2
300
25.2
300
17.95
300
19.55
300
14.05
300
11.65
300
13.15
300
12.95
300
6.3
300
1.6

Infosys (Call Option)

Strike Price Close
2300
34.85
2300
60
2300
73.95
2300
49.75
2300
59.1
2300
83.8
2300
82.6
2300
114.75
2300
172.05
2300
144.7

Strike Price Close

2350
16
2350
29.45
2350
38.35
2350
23.35
2350
26.45
2350
41.9
2350
37.65
2350
66.6
2350
116.8
2350
91.8

Spot Price
As
on15/11/12
2296.3
2296.3
2296.3
2296.3

Strike
Price
2300
2350
2400
2250

Strike Price Close

2400
7.5
2400
12.45
2400
17.65
2400
9.85
2400
10.15
2400
15.5
2400
12.7
2400
25.9
2400
68.4
2400
42

Intrinsic
Premium Moneyness
Value
34.85 OTM
0
16 OTM
0
7.5 OTM
0
66.35 ITM
46.3

Time
Value
34.85
16
7.5
20.05

Movement of Call premium of Infosys at

different strike price
250
200
Strike 2300

150

Strike 2350
100

Strike 2400

50

Strike 2250

0
1

10

Strike Price Close

2250
66.35
2250
93.65
2250
118
2250
90.1
2250
109
2250
121.65
2250
121.65
2250
162.55
2250
205
2250
205

Infosys (Put Option)

Strike Price Close
2250
12.6
2250
5.5
2250
3.05
2250
5.8
2250
3.05
2250
1.4
2250
0.8
2250
0.35
2250
0.15
2250
0.05

Strike Price Close

2300
30.45
2300
14.4
2300
8.8
2300
15.45
2300
8.8
2300
3.6
2300
2.5
2300
0.7
2300
0.25
2300
0.1

Strike Price Close

2350
60.9
2350
33
2350
23.4
2350
37.65
2350
25.1
2350
11.25
2350
10.4
2350
2.1
2350
0.3
2350
0.1

Spot Price
Strike
As
Intrinsic
Price on15/11/12 Premium Moneyness
Value
2300
2296.3
34.85 ITM
3.7
2350
2296.3
16 ITM
53.7
2400
2296.3
7.5 ITM
103.7
2250
2296.3
66.35 OTM
0

Time
Value
31.15
37.7
96.2
66.35

Movement of Put premium of Infosys at

different strike price
120
100
80

Strike 2250

60

Strike 2300
Strike 2350

40

Strike 2400

20
0
1

10

Strike Price Close

2400
102.7
2400
64.3
2400
51.25
2400
72.7
2400
58.75
2400
32.85
2400
34.55
2400
9.85
2400
0.9
2400
0.1

AXIS Bank (Call Option)

Strike PriceClose
1180
63
1180
55.5
1180
45.75
1180
49.2
1180
58.95
1180
86.6
1180
86.6
1180
84.5
1180
107
1180
117.6

Strike
Price
1180
1250
1200
1300

Strike PriceClose
1250
20.55
1250
13.95
1250
10.25
1250
10.4
1250
13.8
1250
25.05
1250
19.3
1250
21.35
1250
38.25
1250
58.5

Spot Price
As on14/12/12
1353
1353
1353
1353

Premium
63
20.55
48.8
6.6

Strike PriceClose
1200
48.8
1200
38.15
1200
31.65
1200
33.45
1200
42.5
1200
63.2
1200
59.55
1200
65.1
1200
87.4
1200
109.25

Moneyness
ITM
ITM
ITM
ITM

Intrinsic
Value
173
103
153
53

Strike PriceClose
1300
6.6
1300
3.8
1300
3.15
1300
2.65
1300
2.95
1300
5.55
1300
3.05
1300
2.6
1300
4.75
1300
9.6

Time
Value
110
82.45
104.2
46.4

Movement ofcall Premium of Axis

Bank at different strike price
140
120
100

Strike 1180

80

Strike 1250

60

Strike 1200

40

Strike 1300

20
0
1

10

AXIS Bank (Put Option)

Strike PriceClose
1180
7.1
1180
9.7
1180
9.8
1180
8.1
1180
4.2
1180
2.15
1180
1.1
1180
0.65
1180
0.3
1180
0.05

Strike PriceClose
1250
31.55
1250
38.75
1250
44.25
1250
40.4
1250
26.25
1250
13.5
1250
11
1250
6.45
1250
1.25
1250
0.05

Spot Price
Strike
As
Price
on15/11/12
1180
1232.25
1250
1232.25
1200
1232.25
1300
1232.25

Premium
7.1
31.55
11.3
75

Strike PriceClose
1200
11.3
1200
14.1
1200
15.9
1200
13.3
1200
7.6
1200
3.35
1200
2.2
1200
1.35
1200
0.35
1200
0.05

Moneyness
ITM
OTM
ITM
OTM

Intrinsic
Value
52.25
0
32.25
0

Time
Value
45.15
31.55
20.95
75

Movement of Put premium of Axis

bank at different strike price
100
80
Strike 1180

60

Strike 1250
40

Strike 1200

20

Strike 1300

0
1

10

Strike PriceClose
1300
75
1300
75
1300
90
1300
90
1300
65.6
1300
41.75
1300
45.5
1300
38.4
1300
15.8
1300
0.25

NIFTY (Call Option)

Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY

Call Option
Expiry
Strike PriceClose
29-Nov-12
4000 1639.25
29-Nov-12
4000 1567.15
29-Nov-12
4000
1578.7
29-Nov-12
4000 1578.05
29-Nov-12
4000
1617.5
29-Nov-12
4000
1632
29-Nov-12
4000
1629.2
29-Nov-12
4000
1638.6
29-Nov-12
4000
1729
29-Nov-12
4000
1825.3

Strike Price Close

4500
1140
4500 1084.65
4500 1086.95
4500
1070.4
4500
1114
4500
1135.4
4500 1131.25
4500
1137
4500
1226
4500 1326.75

Strike PriceClose
5000
646.15
5000
587.75
5000
580.9
5000
576.5
5000
616.75
5000
636.7
5000
628.8
5000
642.7
5000
729.4
5000
823.2

Movement Of Call Premium at

different strike price
2000
1500
Strike 4000
Strike 4500

1000

Strike 5000
500

Strike 6000

0
1

10

Strike PriceClose
6000
1.75
6000
1.25
6000
1.3
6000
1
6000
0.9
6000
0.75
6000
0.7
6000
0.4
6000
0.3
6000
0.05

NIFTY (Put Option)

Symbol Strike
Price
NIFTY 6000
NIFTY 6000
NIFTY 6000
NIFTY 6000
NIFTY 6000
NIFTY 6000
NIFTY 6000
NIFTY 6000
NIFTY 6000
NIFTY 6000

Close

Strike
Price
5000
5000
5000
5000
5000
5000
5000
5000
5000
5000

345.1
402.9
406.85
414.55
374
355.55
361.35
353.5
263.5
174.7

Close

Strike
Price
4500
4500
4500
4500
4500
4500
4500
4500
4500
4500

1.25
1.6
1.1
0.95
0.85
0.7
0.5
0.45
0.3
0.05

Close
0.75
0.9
0.85
0.5
0.35
0.2
0.2
0.3
0.15
0.05

Movement of premium of NIfty Put

Option for different strike prices
450
400
350
300
250
200
150
100
50
0

Strike 4000
Strike 5000
Strike 4500
Strike 4000

10

Strike
Price
4000
4000
4000
4000
4000
4000
4000
4000
4000
4000

Close
0.25
0.2
0.1
0.15
0.15
0.1
0.1
0.2
0.1
0.05

Findings

TATA motors call option remained in the money on 15th November, and it put
option remained out of the money.
ONGC call option remained Out-of money , and Put option remained In- the
Money at a spot price of 253.5
ITC call option remained in the money and put option out of money at a spot price
of 283.85
Infosys call option remained Out of money, and its put option remained In the
money at a spot price of 2296.3
Axis Bank call option remained In the money and its put option remained out of
out of money at a spot price of 1353.52
The relationship between the maturity date and premium is generally as follows:
o If the market is in a bullish mode, the premium on the call option increases
and the premium on the put option decreases as the maturity date draws
closer.
o If the market is in a bearish mode, the premium on the call option
decreases and the premium on the put option increases as the maturity date
draws closer.
The relationship between the underlying asset value and the premium generally is:
o If the price of the underlying asset increases, the premium on the call
option increases and the premium on the put option decreases.
o If the price of the underlying asset decreases, the premium on the call
option decreases and the premium on the put option increases.

Bibliography:
http://nseindia.com/
http://www.moneycontrol.com/stocksmarketsindia/
http://www.learn-stock-options-trading.com/puts-and-calls.html
http://stocks.about.com/od/advancedtrading/a/OptionBa022705.htm