SENSEX
Sensex
Historical option data for SENSEX
21 Nov 2024 02:09 PM IST
| SENSEX 22NOV2024 76700 CE | ||||||||||
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Delta: 0.76
Vega: 13.00
Theta: -108.73
Gamma: 0.00
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| Date | Close | Ltp | Change | IV | Volume | Change OI | OI | |||
| 21 Nov | 77106.53 | 521.55 | -430.05 | 15.09 | 31,673 | 1,556 | 1,832 | |||
| 19 Nov | 77578.38 | 951.6 | 53.40 | 7.95 | 593 | 84 | 276 | |||
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| 18 Nov | 77339.01 | 898.2 | 13.91 | 1,704 | 192 | 192 | ||||
For Sensex - strike price 76700 expiring on 22NOV2024
Delta for 76700 CE is 0.76
Historical price for 76700 CE is as follows
On 21 Nov SENSEX was trading at 77106.53. The strike last trading price was 521.55, which was -430.05 lower than the previous day. The implied volatity was 15.09, the open interest changed by 1556 which increased total open position to 1832
On 19 Nov SENSEX was trading at 77578.38. The strike last trading price was 951.6, which was 53.40 higher than the previous day. The implied volatity was 7.95, the open interest changed by 84 which increased total open position to 276
On 18 Nov SENSEX was trading at 77339.01. The strike last trading price was 898.2, which was lower than the previous day. The implied volatity was 13.91, the open interest changed by 192 which increased total open position to 192
| SENSEX 22NOV2024 76700 PE | |||||||
|---|---|---|---|---|---|---|---|
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Delta: -0.28
Vega: 13.95
Theta: -112.34
Gamma: 0.00
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| Date | Close | Ltp | Change | IV | Volume | Change OI | OI |
| 21 Nov | 77106.53 | 129.1 | -61.95 | 17.91 | 2,34,708 | 7,987 | 10,373 |
| 19 Nov | 77578.38 | 191.05 | 9.25 | 19.20 | 85,270 | 815 | 2,386 |
| 18 Nov | 77339.01 | 181.8 | 14.16 | 67,115 | 955 | 1,571 | |
For Sensex - strike price 76700 expiring on 22NOV2024
Delta for 76700 PE is -0.28
Historical price for 76700 PE is as follows
On 21 Nov SENSEX was trading at 77106.53. The strike last trading price was 129.1, which was -61.95 lower than the previous day. The implied volatity was 17.91, the open interest changed by 7987 which increased total open position to 10373
On 19 Nov SENSEX was trading at 77578.38. The strike last trading price was 191.05, which was 9.25 higher than the previous day. The implied volatity was 19.20, the open interest changed by 815 which increased total open position to 2386
On 18 Nov SENSEX was trading at 77339.01. The strike last trading price was 181.8, which was lower than the previous day. The implied volatity was 14.16, the open interest changed by 955 which increased total open position to 1571
