Yesterday 16th April 2024, at 3:25 PM, Finnifty was trading at ₹21100, 21100 CE (expires today) at ₹0.15 and 21150 PE (expires today) at ₹52. IV of the CE at this time was 3% with vega as 4. And in the matter of 5 minutes, at 3:29, Finnifty was closed at 21140, but the price of the call option and put option didn’t even move by bit, at 3:29, the 21100 CE closed at ₹0.05 and 21150 PE closed at ₹50. Why didn’t the option premium reflect the underlying even after such a big movement in underlying in short span of time?
And at 3:40 (after market hours), the Finnifty market closed at ₹21100, why is this so? Why did the market move even after market closing time?
When this happened at 3:40 when the Finnifty closed at ₹21100, which is ₹40 lower than the price at 3:30, the moneyness of the option changes right? What I mean by this is that, at 3:30 the moneyness(intrinsic value) of the options 221100 CE (which should have been trading at ₹40) was ₹40 and that of 21150 PE (which should have been trading at ₹10) was ₹10, and by 3:40 when closing price of Finnifty changed to 21100, the moneyness(intrinsic value) of the options 21100 CE (whose price is ₹0.05) should be ₹0 and that of 21150 PE (whose price is ₹50) should be ₹50. Why this change in moneyness when there is no chance for the option premium to change? Shouldn’t the price of the derivative (options here) should also change when underlying changing? Wouldn’t any option buyer who thinks the market is going to close at 21140 and buys an option based upon that data and later on after finds that closing price is different price (and the option that he has bought doesn’t change its price as the market is closed) gets cheated upon?
