2023-03-31 18:50:37
BankNifty lot size changing from 25 to 15.
Technical Information (Unrelated but I’m sure anyone wouldn’t read it lol) - Base price of the options contracts, on introduction of new contracts, would be the theoretical value of the options contract arrived at based on Black-Scholes model of calculation of options premiums.
The options price for a Call, computed as per the following Black Scholes formula: C = S * N (d1) - X * e- rt * N (d2)
and the price for a Put is : P = X * e- rt * N (-d2) - S * N (-d1)
where : d1 = [ln (S / X) + (r + σ2 / 2) * t] / σ * sqrt(t) d2 = [ln (S / X) + (r - σ2 / 2) * t] / σ * sqrt(t) = d1 - σ * sqrt(t)
C = price of a call option P = price of a put option S = price of the underlying asset X = Strike price of the option r = rate of interest t = time to expiration σ = volatility of the underlying
N represents a standard normal distribution with mean = 0 and standard deviation = 1 ln represents the natural logarithm of a number. Natural logarithms are based on the constant e (2.71828182845904).
1.4K viewsedited 15:50
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