Charting options is a tough task. The price of the option is probably the last thing that is important. Implied volatility (IV), underlying volatility (σ) and option greeks play a big part in putting on successful option trades. We ran a tool that we developed on ATM Nifty options that tries to capture most of these moving parts.
Observe:
- Theta (θ) declines.
- Vega declines.
- Rho converges to zero.
- Call Delta is, on an average, around 0.54 (std. dev. of 0.075)
- Call IV has been stable and decreasing since January this year: (0.150260, 0.149456, 0.147249, 0.136280)
March 2014 charts
Calls
Puts
Pictures say a thousand words, don’t they? Stay tuned for more.
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