SENSEX
Sensex
Historical option data for SENSEX
21 Nov 2024 04:11 PM IST
| SENSEX 22NOV2024 76900 CE | ||||||||||
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Delta: 0.72
Vega: 13.56
Theta: -96.02
Gamma: 0.00
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| Date | Close | Ltp | Change | IV | Volume | Change OI | OI | |||
| 21 Nov | 77155.79 | 360 | -442.70 | 11.87 | 2,14,630 | 5,223 | 5,565 | |||
| 19 Nov | 77578.38 | 802.7 | 50.15 | 10.57 | 995 | 6 | 342 | |||
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| 18 Nov | 77339.01 | 752.55 | 13.76 | 11,140 | 336 | 336 | ||||
For Sensex - strike price 76900 expiring on 22NOV2024
Delta for 76900 CE is 0.72
Historical price for 76900 CE is as follows
On 21 Nov SENSEX was trading at 77155.79. The strike last trading price was 360, which was -442.70 lower than the previous day. The implied volatity was 11.87, the open interest changed by 5223 which increased total open position to 5565
On 19 Nov SENSEX was trading at 77578.38. The strike last trading price was 802.7, which was 50.15 higher than the previous day. The implied volatity was 10.57, the open interest changed by 6 which increased total open position to 342
On 18 Nov SENSEX was trading at 77339.01. The strike last trading price was 752.55, which was lower than the previous day. The implied volatity was 13.76, the open interest changed by 336 which increased total open position to 336
| SENSEX 22NOV2024 76900 PE | |||||||
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Delta: -0.37
Vega: 15.15
Theta: -146.39
Gamma: 0.00
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| Date | Close | Ltp | Change | IV | Volume | Change OI | OI |
| 21 Nov | 77155.79 | 205.3 | -50.60 | 20.26 | 4,38,949 | 11,468 | 13,176 |
| 19 Nov | 77578.38 | 255.9 | 15.90 | 19.67 | 82,254 | 433 | 1,708 |
| 18 Nov | 77339.01 | 240 | 14.13 | 1,07,567 | 944 | 1,275 | |
For Sensex - strike price 76900 expiring on 22NOV2024
Delta for 76900 PE is -0.37
Historical price for 76900 PE is as follows
On 21 Nov SENSEX was trading at 77155.79. The strike last trading price was 205.3, which was -50.60 lower than the previous day. The implied volatity was 20.26, the open interest changed by 11468 which increased total open position to 13176
On 19 Nov SENSEX was trading at 77578.38. The strike last trading price was 255.9, which was 15.90 higher than the previous day. The implied volatity was 19.67, the open interest changed by 433 which increased total open position to 1708
On 18 Nov SENSEX was trading at 77339.01. The strike last trading price was 240, which was lower than the previous day. The implied volatity was 14.13, the open interest changed by 944 which increased total open position to 1275
