I was checking ITM chart of Bank nifty in the last 10 minutes of the day and at the same time I checked spot chart which was between 45400 – 45450.
Don’t you guys think that ITM should be higher than 0.05? Even the option chain was showing 45400 CE as ITM. Then how come the price was at 0.05?
Sorry if this is a dumb question. But, I am trying to learn options.
Weighted average gets calculated at 3.32 PM. Its the w.a for the last 30 min.
Biggies must have had their advanced calculators that predicted either a large gamma move or a rest. If spot had to rest, BN close price would get dragged below 45.4K, which eventually happened.