Option Decay Analysis

Symbol:

Expiry:

Option Decay Analysis shows change in Option premium for top 3 CALLs & PUTs strikes with maximum Open Interest. Change is calculated for the last 5 working days i.e. from 29-Jun-20 to 03-Jul-20

Symbol : NIFTY, Expiry : 09-Jul-20, Date : 03-Jul-20
Option Type	Strike	Open Interest	Premium Change	Average Change
1st Max. OI CALL	11,000.00	2,772,450	-2.25	23.17
2nd Max. OI CALL	10,600.00	2,438,925	47.35
3rd Max. OI CALL	10,700.00	1,940,025	24.40
1st Max. OI PUT	10,400.00	2,333,250	-199.45	-173.53
2nd Max. OI PUT	10,000.00	2,027,925	-83.65
3rd Max. OI PUT	10,500.00	1,982,700	-237.50

If Premium change of any strike is 0 (zero), that means there is no enough volume & hence that strike is not considered in calculating average.

Please enter NIFTY Current Market Price, ATM CALL IV & ATM PUT IV of selected expiry (from NSE Option Chain) to predict probability of SPOT to touch respective strikes.

Current Market Price (Spot) :

ATM CALL IV :

ATM PUT IV: