Option Pricing — Premium Kaise Banta Hai?

Intrinsic Value = Option ko aaj exercise karne pe kitna profit?

Call Option ke liye:

Intrinsic Value = Spot Price − Strike Price (agar positive ho)

Agar negative — toh Intrinsic = 0

Example:

• NIFTY spot: 23,900
• 23,800 CE → Intrinsic = 23,900 − 23,800 = ₹100 (ITM)
• 23,900 CE → Intrinsic = 0 (ATM)
• 24,000 CE → Intrinsic = 0 (OTM, kyunki negative ko hum 0 maante hain)

Put Option ke liye:

Intrinsic Value = Strike Price − Spot Price (agar positive ho)

• NIFTY spot: 23,900
• 24,000 PE → Intrinsic = 24,000 − 23,900 = ₹100 (ITM)
• 23,800 PE → Intrinsic = 0 (OTM)

Premium = Intrinsic Value + Time Value

Toh Time Value = Premium − Intrinsic Value

Example continued:

NIFTY 23,800 CE ka premium ₹150 chal raha hai

• Intrinsic Value = ₹100 (calculated above)
• Time Value = 150 − 100 = ₹50

Yeh ₹50 kya hai? Yeh hai — "abhi expiry ko 4 din hain. NIFTY aur 100-200 point upar ja sakti hai. Iss possibility ki keemat ₹50 hai."

ATM aur OTM options ka entire premium time value hota hai kyunki intrinsic 0 hai.

• 23,900 CE @ ₹80 → Intrinsic 0, Time Value 80
• 24,000 CE @ ₹40 → Intrinsic 0, Time Value 40

Sabse direct factor.

NIFTY upar gayi → Calls mehengi, Puts sasti

NIFTY neeche aayi → Calls sasti, Puts mehengi

Yeh straightforward hai. Lekin amount kitni move hogi — yeh Delta decide karta hai (Module 5).

Strike spot ke kitna paas/door hai — yeh premium decide karta hai.

Calls:

• Lower strike (deep ITM) → mehenga premium
• Higher strike (deep OTM) → sasta premium

Puts: ulta — higher strike mehenga, lower strike sasta.

ATM strike (spot ke barabar) → time value sabse zyada hoti hai. Yeh "sweet spot" hota hai jahan possibility maximum hai.

Sabse important factor for buyers.

Zyada time = zyada possibility = mehenga premium

Kam time = kam possibility = sasta premium

Yahan ek interesting cheez hai — time value linearly nahi gir ti, exponentially decay hoti hai. Expiry ke aakhri din mein decay sabse fast hota hai.

Real example:

Same 23,900 CE — same spot — different expiries:

• 30 din wali expiry: ₹250
• 7 din wali expiry: ₹120
• 1 din wali expiry: ₹40

Yahi reason hai monthly options se weekly options sasti hoti hain — kam time, kam time value.

Time decay ka detailed analysis Module 6 mein — Theta.

Volatility = Market mein "abhi kitna chaos hai" ka measure.

Jab NIFTY 1% per day move karne lage (RBI policy, budget, election results) — IV badh jaati hai → Sab options mehenge ho jaate hain.

Jab market boring chal raha ho (sideways, low volume) — IV gir jaati hai → Options sasti.

Practical example:

• Budget se pehle: NIFTY 23,900 CE ₹180 (high IV)
• Budget aaj announce, kuch khaas nahi: same option ₹100 (IV crush)

Spot move nahi hua, sirf IV gir gayi — premium gir gaya. Buyers ko loss, sellers ko profit.

Yeh hai "IV Crush" — Module 8 mein detail.

Risk-free rate (RBI repo rate) bhi premium pe asar daalta hai — lekin retail trader ke liye yeh negligible hai.

Theory: Higher interest rate → calls thoda mehenge, puts thoda saste.

Practical: India mein repo rate 6-7% range mein rehta hai, isse premium pe roz koi major change nahi hota. Beginner ko sirf yaad rakhna hai — yeh factor exist karta hai, lekin focus baaki 4 pe rakho.

Tum sun chuke ho — "Black-Scholes formula option pricing ka standard hai."

Formula complicated hai. Lekin idea simple hai:

> "Agar mujhe pata ho underlying price, strike price, time to expiry, volatility, aur interest rate — toh main 'fair price' calculate kar sakta hoon."

Black-Scholes basically yahi karta hai. Tum apne phone mein calculator pe bhi yeh dekh sakte ho — humne ek built-in Greeks Calculator banaya hai (/tools/greeks).

Daalo:

• Spot: 23,900
• Strike: 23,900
• Days to expiry: 7
• IV: 15%

Output: Call premium ≈ ₹105, Put premium ≈ ₹105

Yeh "theoretical fair value" hai. Real market price isse thoda alag hota hai — kyunki demand-supply, sentiment, etc.

Sunday 9 AM — Tum analysis kar rahe ho:

• NIFTY: 23,800
• 23,900 CE next Thursday expiry: ₹85 (5 days)

Monday 10 AM — NIFTY 23,850 hua (50 points up)

• 23,900 CE: ₹110 (Spot up + 1 day less = net +₹25)

Wednesday 11 AM — NIFTY abhi bhi 23,850 (sideways)

• 23,900 CE: ₹65 (Time decay 3 din)

Thursday 2 PM — Expiry day, NIFTY 23,950 (+50 points)

• 23,900 CE: ₹52 (Intrinsic ₹50 + tiny time value ₹2)

Thursday 3:30 PM — Expiry close, NIFTY 23,920

• 23,900 CE: ₹20 (just intrinsic — settle hua)

Dekho — same option, 5 din mein ₹85 → ₹110 → ₹65 → ₹52 → ₹20.

Spot move 0.5% only. Lekin time decay + volatility + intrinsic — sab ek saath chal rahe the.

Buyer ka problem:

• Time decay khilaf chalti hai (her din premium girta hai)
• IV gir jaaye toh premium gir jaata hai
• Spot direction bhi sahi chahiye

3 cheezein sahi karni hain at the same time. Mushkil hai.

Seller ka problem:

• Time decay friend hai (har din profit)
• IV girta hai → profit
• Spot move hota hai bahut zyada → loss (unlimited risk)

Seller ki probability mathematically zyada hoti hai, lekin downside risky hota hai. Yahi reason hai institutions selling pe focus karte hain.

Beginner ke liye Golden Rule (Module 1 ka repeat):

Buyer raho, lekin samjho ki tumhare khilaf 2 forces hain — time + falling volatility. Isliye:

• Strong directional view chahiye
• Quick exit chahiye
• Cheap deep OTM mat lo