Abbizhek, Ayon
Nme
6 O00
ecdion
Faiert - Option
e.votives
Shike Fice Call Pice
Put
ice
685
,200
9 4830
,2IO
40-50
.220
343:45
19-05
,230
97-25
560
\,24o
2175
F20 00
&,250
4- 00
5.25
(,260
945
\240
?42o
Fim gelected- ICIcI Bonk:
I
tove
choose
T l I Bonk as
the
to
OrCI Gan k is
options
^tock
evaluate fos
ndia, and its
n
Snstitution
Leodipq foancial
dervatires maske
traded
tock is odely
option
of
analyeis
tte
Ahe
fo
^utable
malking
gtrotegjes
Type of
Contac
tock Option.
The
ype o finacial contat beira evaluated
is
stoch
ve the
to ether
ohich is a
option,
holder
dexivatire 4hoat
bgbt, bot
He
not
the
coll oction] or
by Cin
$ellin case of a put optionJ he underyin
tock ot
ID thig
and
specified priee,
knoon
stieke
Drice.
oll
explore
bott
options
for
TCTCî
Case
Optsns
Put
Donk
2024
Episy Month : Bepterober 26.
selected is
rmontt
the
expiy
for 4is analysis,
The options for this expy
`eptember,
of
date
dusation, hobich
shert
value
poeium
and
the
ine
be
contracts hot
expesence
heir
roe
associqted
stock pice
nd
Pat
Options
A. cal
t to buy the underyi8
Option
ght
to
appach
as
+he
Put
moRMent
expìration
Call
tike pice
tthere fo+e
and
Sensitte to
pricing h l l be
option
noth
opt ons
rapid Aine decay
in the under
Call
influenc
o~ll
stoch
holde
at
a
tHe
apeifie
the belder the
A put option aives the bolde
Sell
the
uderlying stoch, at
pecifie strike Pice
8tike Aice
elec tie
The selectien of the
gtrike prire
èrnport ont
is
ond
facfor gn determina the proitability
on option
assecied
$4rike price selaBive
optBon
can
DependiA
o the cxrent
sk
he
tock eee
coteaori yed
be
Money (ATM)
i Out of the Money (oT) 1CICI Bonk is
The current $tock price o
ction of
the sele
guide
123593. This
tike pice for the
i
options
option
(ITM)
Dn the Money
Fer
call
considerd
A call option is
he
Curoeot
psice is
beloo
reans
the option has
For Put
abore
gtrike
Put
he
Price
tike
(ts
This
_teck pice
alue
1&30
Censider d
put option
tatben
ntihsie
tri
Catlke Pergiu)~
price s
ITIM
Cursent
TIy taben
toch pice
strike
-,260
Pemiusy -
Money (ATM) options
At the
is censiderd ATM luben
closest to tthe cuttent
An opticn
sice is
his case,
rmakàng
240 is the
loses
^trike pice
it the ATM option for bot
Coll ptemium (El240)
Put
Calls and Ruts
Money CoT) opliens :
>Ot of the
-Fos Call:
cal opdion is
but
skies since
stock
otil ihe
do
they
no
ises
prioe is ooove
ptlons are les expensie
hese
Ateck priee
+he custent
trike
ahen i s
OTM
háve
ntrinsic nalue
abore
iike Riee
-Por
Rit
price
Rs
belo
Opions
belo
the
c utent
nly it
ins value
Theze
stock pice
he stock price fal
the
stike pice
Btike Price
Call
Premium
tock Pice
Pice
Distibution
a stock
morement can be anald usig
belps 2n torecosting
hich
distibution,
probabiliy
expiratien
potental bange of tte stock price at
tbe
ased on he
histo
data
cal
and
Aynalyet
The follooin pobabìlity distbatian is used
eOOmmendaion
o evaluate
the possible pie tanqe oTCTCT Bank by the
erpiy
date
LSepte mber, 26,2024
Siock Price Ranae *
Poobaki li
\200~192O
|220 -124 0
|24o -
126
1960-198
1280
300
300
2
ock pice Caleealadio
ExpecBed
Epected
price
)(1910*o)4(r26xo )+
lio0xO-2)+
4
xo9)
( 1950
Ci390 xO) (isto xo)
approxi mately
price is
Thus, the expected stock
1266
is
Bank'z stock, pice
tcicI
bat
his Suqgests
around
i266 by the expi
expected to ihcrease
date
Formation
tte expected
stock price of
outLine, too distinc
266,
will no
girategjes
- A loo cost strateqy ustnq Out of the Mensy (on
Meney 1TM)
- AHoh cost strategy usip
Loo cost state
This stateqy focuses o5
Out oj tte Money
selec tig remiums
burt
looe
(oTm) optiens, tathich hoveptce
egue
siqni ficant
become proftable
bis is
uptrent costs bet
morenents
}deal for trader geeekig
ll2na to acept hiqher
(oTM) lal option:
$tike Price
1980 (oTM for cal)
Out of tthe toney
-
Premiurn
Ihs call opion becomes profitable tathen steck price
ises obove
i280 e to the expiry date:
Out ot Ahe Money
(oTm) Put Option
1200 (oTM for Puts)
tike Psiee
685
Poeiun
psofitabe ifthe atock,
|5ìs put option becornes
date
tte
erpiy
fore
be
i200
price fall belo
Preìum or this t otey
625 (Put) =
CCal)t
A20
The total
point
- for 4he call option,
abore,
4eakg
tock
he
4 05
rnust
i2842
tike Price
Premiu
1280
belen
fall
must
stock
19s 15
t option, the
For
625
premnium
1200
t
price
Sti ke
Risk and
The
maxi u r n
The
p
Rengard.
ce
sisk is the tetal
premium pa|d
1405
the stock
senard poterntial is siqnificant if
atl o put
as eitter he
Coul
moveS
Shaspy
becorne
Tbe
Could
expie
valable
is gpeculative
oorttless
and
oth
ptions
steck piee
ifthe
semains
Hiat Cost trate
The Hiop Coct ghra
opHens, notich ase
iotinsic value
USes
moe
Ahe
ex pensìve
This strateqN
the
oney
but
bave
Suit
noi lting to poy a higher premium for
approac
taders
:
Money (ITM) Call Option
(uTM}
for calla)
I20O
n tte
4+ike Price
4830
Psemiun)
oney and
gses
price
the
T5is call pion is already
iA thestock
valuable
hoilt bemain
furthes
In the Money (ITM) Put Option Put)
260 (ITM for
$trike Aice
oney and wi
Arergiu0)
This
in
the money
in
eady
alt
is
put option
$tock pice fall.
valuable
etnan
t the
this atratgy
(Put
+ 3t30
+
Ca)
(
emium to
The tetal
48:30
Points
Break
op+ion,
or the call
&ise atoVe
the stock, must
F124&30
Peermiuy
4830|
stike Priee
fall belo
muet
stock,
the
Foa the Peat option
12280
|Stike Price
Risk and
The
1260- Premium
Reard &
Maximu
sisk, 's tbe total premiu) p2d
both options
alseady ~n the
tat
there > a higher poba bilit
496o
money.
ill setai
\alue
The upside potential is litaited aompared to the
Louo cost tratey but the ris k i's loKo e
because the options alseady
ntinsic value
bare
eHa
calctatibn (or
onk
t he 1oney
( ATM) ootions
At the Money (AT) options for this
Ale noiN use
nqypis,
clCI
tey
as
pice
morenents
TCICT
Bonh, is
most
Ore
o
gensiive
The ATM atike
40, Boz.ed
040
Sroall
price o
the Current
1935- 95
tock Priee of
tte rnoney
(At
Option
Call
Delta for
240
Pice =
tike P
(AT)
eloze to inO5the
typicaly
option
Call Psemiun
Delta for call
bis
fo
eans that
teck pice
the
every
value ot
`ncrease bu
Option
Put
Delta for
call option
the
[At the Money (ATM)
$tike Pice
Put Pemiuro
Delta for Put option
rmeans that
pHce, the
by E050
ticae
or erery put option otlI decreaze
alue
Delta neutal
tt
Constsucti
To achieve
bolance t e
a delta
u hold 10
tock
the Opions laitt
For siplicty
optos
Þptions and fo put
Delta for Call Option CATM
|tal Delta (Catls)
for Put Opion (ATM)
otal
Postfolio
portfolio, oe mut
neutral
data deta of
the underyg
Delta
in stock
o5
to = 5
Delta (Ptle-o5 X l 0 5
hus
gives
US
Pd
orn the calls and
delta
combininq the
De lt o
equal numben ot
Combined Rot
This
shows
Ahat toldinq Rs to40 stike Price
Delta- 0eutro|
Put options
Call and
fos IcIci Bank
porttolio
Catl
sbitsage Check Usipg Put
tar
Bonk
C-P=
Put call
of
Actual Value
tike
interest
Risk free
expisotion
Time to
Put
(s)
Stock Pice
Price CK)
cal
I230 5
940
Rate (s) s/.
(T)
(o-o6)
T
Parit
2:45-2000
9l4S- 20 00
The Le-ft
op+ions for
PiceAT
1240 strike
9000
Poemium (P)=
Cusoent
C CI Bonk
21.75
Call Pseiuty (c)
Put
-KXe
hond side. and
|235 g5 -
1246
1235.95~235ga
band
Side
ot
the
parity equatio ase not equal, indicoetira
a potential arbitsoqe opPotu nt
put
all
Arolgig te
Axbit*ane OppordriA:
discrspency
The
and
paity equotion ugesfs
mispriced
Call
but
be
side o{
side
beteer tte tett
njabt be
opiors
Bonk's
thot tC rC)
possble Qrbitnaot oppotunt
Leadipa
to
To expoli 4e his
Could
execute
foltousing atrot
Hhe
elt the ovexpriced
beause the oall s
call option expensive bazed
elative
tbis anais
Suy
$ince
i Hedqe
Put Option
tte underpriced
Pert
ption is
the
cheap
*elatire
the Position
stock at the
the underyin
orket price
a trodet
arbitqae opportuni
(I935.95) to protect
Current
g9ainst
the stock.
poice moremnents
tade
to lock
This stategy alloos
odvantgge of the
qnd Put Opion:
bisk free profit takig
miaprietrg
betueen
Recorrnendation ICICI Banks options,
Bosed
tte folteoin
Louo cost
analgpls
secotnendationg
trateqY
This 24ate
sade:
Tiades):
peculatve
For
lwes purchas~
Out of the
te980
at
options
Put
(oTm) all ard
Mone I200
stike pices,
and
The total
te
Psetu
for this
espectivey
ateqy
14-05 sepresenta a loo Cost enty point for
Speculotive traders expecing siqnificant rmeve
ent in JCICI Bankz stock
price by epiry
- t5)ent
tecomnended or hh izk on
This stbateqy istrades.
laho expect a larae
temqkd
high
in the 4ock
Movernent io
doongavd
upnard
I301-2o(coi
0se
beak, even Do|nts
and
The
I93+1% (Put)
conservative Tradess):
(for
otratey
Cost
g
volves purchasig In tthe Money
This stateay
1940 ond
(ITM) caCall and Put options at the
E 1960 stike patee, espective
The total pemiuro for this stratey noas
the
hisher Cost option but teducipg
rmaking it
Ssk,
The trateg
oho
tsaders
ntrinsie walue
option has
bott
stnce
ecommended
for onsetvQtve
6isk, obile still
educe
ant
vetnent.
potentiol tock
Fi26145 CCal) and
Tbe break even
122840
points
(put)
Delta Neutal
ateg'
ad ay portjolio
Construeting a delta Neutral Looking
to nitiate
is teotmended
tisk.
put
for
holda
toaders
equal number of Cal and
optiens: 0ß by adustiq
stock, ttader
undery
Ogainst
Arbitsqe
fluctions
Oppotunit
Delta
nedg
ith
Ahe
their pofolio
pice
the Put
tven the mispricing deected throyqh
oppo tunit erst
Cal parity analysis, an arbitaqe
the
A tader
an get1 +e overplced cal opiO h qt
1240 Qtike pice (prernium
underpiced
the posi tion
5 , bu'y the
(preiuy ebi00) rnd hedqe
by buyiA fciCI Ban k stoek at the
put opion
Pice E93B95)