Section 3 · Module 3.2
Options Trading & Analytics
8 min readMock Nifty option chain (spot ₹24,000)
| CE OI | Strike | PE OI |
|---|---|---|
| 96000 | 23800 | 76000 |
| 108000 | 23900 | 85500 |
| 0 | 24000 | 0 |
| 12000 | 24100 | 9500 |
| 24000 | 24200 | 19000 |
OTM Call premium decay (spot unchanged)
Premium: ₹30.0
Options Fundamentals (CE vs. PE)
Call (CE): Right to buy — used for bullish views.
Put (PE): Right to sell — used for bearish views or hedging.
Buyers: capped risk (premium), lower win rate. Sellers: higher win probability but theoretically unlimited risk.
Moneyness Concepts
- ITM: Has intrinsic value — CE strike below spot.
- ATM: Strike nearest spot — highest volume.
- OTM: Zero intrinsic value — cheap speculation, can expire worthless.
The Option Greeks
- Delta: Premium change per ₹1 move in underlying.
- Gamma: Rate of change in Delta — peaks at ATM.
- Theta: Daily time decay — erodes buyer premium.
- Vega: Sensitivity to implied volatility.
Knowledge check
OTM CE bought Friday for ₹30; Nifty unchanged Monday open. What happens to premium?