SENSEX
Sensex
Historical option data for SENSEX
03 Dec 2024 04:11 PM IST
| SENSEX 06DEC2024 79800 CE | ||||||||||
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Delta: 0.80
Vega: 20.41
Theta: -79.49
Gamma: 0.00
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| Date | Close | Ltp | Change | IV | Volume | Change OI | OI | |||
| 3 Dec | 80845.75 | 1259.95 | 305.95 | 18.22 | 14,469 | -4,253 | 5,154 | |||
| 2 Dec | 80248.08 | 954 | 268.75 | 19.52 | 3,38,234 | 6,483 | 9,407 | |||
| 29 Nov | 79802.79 | 685.25 | 187.90 | 13.73 | 25,131 | 2,286 | 2,924 | |||
| 28 Nov | 79043.74 | 497.35 | -542.65 | 16.07 | 4,579 | 637 | 638 | |||
| 27 Nov | 80234.08 | 1040 | 1040.00 | 13.56 | 1 | 1 | 1 | |||
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| 26 Nov | 80004.06 | 0 | 0.00 | 0.00 | 0 | 0 | 0 | |||
| 25 Nov | 80109.85 | 0 | 0.00 | 0.00 | 0 | 0 | 0 | |||
| 22 Nov | 79117.11 | 0 | 0.00 | 0 | 0 | 0 | ||||
For Sensex - strike price 79800 expiring on 06DEC2024
Delta for 79800 CE is 0.80
Historical price for 79800 CE is as follows
On 3 Dec SENSEX was trading at 80845.75. The strike last trading price was 1259.95, which was 305.95 higher than the previous day. The implied volatity was 18.22, the open interest changed by -4253 which decreased total open position to 5154
On 2 Dec SENSEX was trading at 80248.08. The strike last trading price was 954, which was 268.75 higher than the previous day. The implied volatity was 19.52, the open interest changed by 6483 which increased total open position to 9407
On 29 Nov SENSEX was trading at 79802.79. The strike last trading price was 685.25, which was 187.90 higher than the previous day. The implied volatity was 13.73, the open interest changed by 2286 which increased total open position to 2924
On 28 Nov SENSEX was trading at 79043.74. The strike last trading price was 497.35, which was -542.65 lower than the previous day. The implied volatity was 16.07, the open interest changed by 637 which increased total open position to 638
On 27 Nov SENSEX was trading at 80234.08. The strike last trading price was 1040, which was 1040.00 higher than the previous day. The implied volatity was 13.56, the open interest changed by 1 which increased total open position to 1
On 26 Nov SENSEX was trading at 80004.06. The strike last trading price was 0, which was 0.00 lower than the previous day. The implied volatity was 0.00, the open interest changed by 0 which decreased total open position to 0
On 25 Nov SENSEX was trading at 80109.85. The strike last trading price was 0, which was 0.00 lower than the previous day. The implied volatity was 0.00, the open interest changed by 0 which decreased total open position to 0
On 22 Nov SENSEX was trading at 79117.11. The strike last trading price was 0, which was lower than the previous day. The implied volatity was 0.00, the open interest changed by 0 which decreased total open position to 0
| SENSEX 06DEC2024 79800 PE | |||||||
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Delta: -0.25
Vega: 23.18
Theta: -82.72
Gamma: 0.00
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| Date | Close | Ltp | Change | IV | Volume | Change OI | OI |
| 3 Dec | 80845.75 | 249.4 | -128.60 | 22.81 | 1,24,689 | -3,341 | 9,886 |
| 2 Dec | 80248.08 | 378 | -121.00 | 18.23 | 3,88,548 | 9,061 | 13,227 |
| 29 Nov | 79802.79 | 499 | -391.35 | 13.02 | 25,531 | 3,944 | 4,166 |
| 28 Nov | 79043.74 | 890.35 | 517.85 | 11.77 | 2,723 | -50 | 222 |
| 27 Nov | 80234.08 | 372.5 | -184.05 | 12.76 | 643 | 22 | 272 |
| 26 Nov | 80004.06 | 556.55 | 48.60 | 14.22 | 708 | 104 | 250 |
| 25 Nov | 80109.85 | 507.95 | 507.95 | 13.59 | 677 | 146 | 146 |
| 22 Nov | 79117.11 | 0 | 0.00 | 0 | 0 | 0 | |
For Sensex - strike price 79800 expiring on 06DEC2024
Delta for 79800 PE is -0.25
Historical price for 79800 PE is as follows
On 3 Dec SENSEX was trading at 80845.75. The strike last trading price was 249.4, which was -128.60 lower than the previous day. The implied volatity was 22.81, the open interest changed by -3341 which decreased total open position to 9886
On 2 Dec SENSEX was trading at 80248.08. The strike last trading price was 378, which was -121.00 lower than the previous day. The implied volatity was 18.23, the open interest changed by 9061 which increased total open position to 13227
On 29 Nov SENSEX was trading at 79802.79. The strike last trading price was 499, which was -391.35 lower than the previous day. The implied volatity was 13.02, the open interest changed by 3944 which increased total open position to 4166
On 28 Nov SENSEX was trading at 79043.74. The strike last trading price was 890.35, which was 517.85 higher than the previous day. The implied volatity was 11.77, the open interest changed by -50 which decreased total open position to 222
On 27 Nov SENSEX was trading at 80234.08. The strike last trading price was 372.5, which was -184.05 lower than the previous day. The implied volatity was 12.76, the open interest changed by 22 which increased total open position to 272
On 26 Nov SENSEX was trading at 80004.06. The strike last trading price was 556.55, which was 48.60 higher than the previous day. The implied volatity was 14.22, the open interest changed by 104 which increased total open position to 250
On 25 Nov SENSEX was trading at 80109.85. The strike last trading price was 507.95, which was 507.95 higher than the previous day. The implied volatity was 13.59, the open interest changed by 146 which increased total open position to 146
On 22 Nov SENSEX was trading at 79117.11. The strike last trading price was 0, which was lower than the previous day. The implied volatity was 0.00, the open interest changed by 0 which decreased total open position to 0
