EFFECT OF DIFFERENT PARAMETERS ON THETA:

EFFECT OF DIFFERENT PARAMETERS ON THETA:

THETA with respect to change in SPOT PRICE:

SPOT	5600	5700	5800	5900	6000	6100	6200	6300	6400
STRIKE	6000	6000	6000	6000	6000	6000	6000	6000	6000
Days to Expiry	29	29	29	29	29	29	29	29	29
Volatility	30 %	30 %	30 %	30 %	30 %	30 %	30 %	30 %	30 %
Call Premium	57.25	82.48	114.74	154.61	202.35	257.92	320.98	390.97	467.14
Put Premium	457.25	382.48	314.74	254.61	202.35	157.92	120.98	90.97	67.14
Call Delta	0.2196	0.2863	0.3599	0.4378	0.5169	0.594	0.6664	0.7321	0.7897
Put  Delta	-0.7804	-0.7137	-0.6401	-0.5622	-0.4831	-0.406	-0.3336	-0.2679	-0.2103
Gamma	0.0006	0.0007	0.0008	0.0008	0.0008	0.0008	0.0007	0.0006	0.0005
Vega	4.6687	5.4663	6.1159	6.5539	6.7410	6.6683	6.3562	5.8483	5.2030
Theta	-2.4148	-2.8274	-3.1634	-3.3899	-3.4867	-3.4491	-3.2877	-3.025	-2.6912

Observations:

As Spot Price increasess

- Call premium increases and Put premium decreases.

- Call delta increases and Put delta decreases.

- Gamma is at peak at ATM and decreases as NIFTY moves away.

- Vega is at peak at ATM and decreases as NIFTY moves away.

- Theta is at peak at ATM and decreases as NIFTY moves away

THETA with respect to change in STRIKE PRICE:

SPOT	6000	6000	6000	6000	6000	6000	6000	6000	6000
STRIKE	5600	5700	5800	5900	6000	6100	6200	6300	6400
Days to Expiry	29	29	29	29	29	29	29	29	29
Volatility	30 %	30 %	30 %	30 %	30 %	30 %	30 %	30 %	30 %
Call Premium	457.25	382.48	314.74	254.61	202.35	157.92	120.98	90.97	67.14
Put Premium	57.25	82.48	114.74	154.61	202.35	257.92	320.98	390.97	467.14
Call Delta	0.8046	0.7418	0.6712	0.5952	0.5169	0.4391	0.3649	0.2964	0.2355
Put  Delta	-0.1954	-0.2582	-0.3288	-0.4048	-0.4831	-0.5609	-0.6351	-0.7036	-0.7645
Gamma	0.0005	0.0006	0.0007	0.0008	0.0008	0.0008	0.0007	0.0007	0.0006
Vega	4.6687	5.4663	6.1159	6.5539	6.7410	6.6683	6.3562	5.8483	5.2030
Theta	-2.4148	-2.8274	-3.1634	-3.3899	-3.4867	-3.4491	-3.2877	-3.025	-2.6912

Observations:

As Strike price Increases

- Call premium Decreases and Put Premium Increases.

- Call Delta Decreases and Put Delta Increases.

- Gamma is at peak at ATM and decreases as NIFTY moves away.

- Vega is at peak at ATM and decreases as NIFTY moves away.

- Theta is at peak at ATM and decreases as NIFTY moves away.

THETA with respect to change in DAYS TO EXPIRY:

SPOT	6000	6000	6000	6000	6000	6000	6000	6000	6000
STRIKE	6000	6000	6000	6000	6000	6000	6000	6000	6000
Days to Expiry	29	20	15	10	5	4	3	2	1
Volatility	30 %	30 %	30 %	30 %	30 %	30 %	30 %	30 %	30 %
Call Premium	202.35	168.05	145.55	118.84	84.04	75.17	65.10	53.15	37.58
Put Premium	202.35	168.05	145.55	118.84	84.04	75.17	65.10	53.15	37.58
Call Delta	0.5169	0.5140	0.5121	0.5099	0.5070	0.5063	0.5054	0.5044	0.5031
Put  Delta	-0.4831	-0.4860	-0.4879	-0.4901	-0.4930	-0.4937	-0.4946	-0.4956	-0.4969
Gamma	0.0008	0.0009	0.0011	0.0013	0.0019	0.0021	0.0024	0.0030	0.0042
Vega	6.7410	5.5997	4.8502	3.9608	2.8011	2.5055	2.1699	1.7718	1.2529
Theta	-3.4867	-4.1997	-4.8502	-5.9412	-8.4034	-9.3956	-10.8494	-13.2881	-18.7929

Observations:

As days to expiry decreases

- Both Call and Put Premium decrease.

- Call Delta decrease and Put Delta increases (Both move towards 0.5).

- Gamma increases.

- Vega decreases.

- Theta increases.

THETA with respect to change in VOLATILITY:

SPOT	6000	6000	6000	6000	6000	6000	6000	6000	6000
STRIKE	6000	6000	6000	6000	6000	6000	6000	6000	6000
Days to Expiry	29	29	29	29	29	29	29	29	29
Volatility	100 %	80 %	60 %	50 %	40 %	30 %	20 %	10 %	1 %
Call Premium	672.48	538.62	404.34	337.07	269.74	202.35	134.92	67.47	6.75
Put Premium	672.48	538.62	404.34	337.07	269.74	202.35	134.92	67.47	6.75
Call Delta	0.5560	0.5449	0.5337	0.5281	0.5225	0.5169	0.5112	0.5056	0.5006
Put  Delta	-0.4440	-0.4551	-0.4663	-0.4719	-0.4775	-0.4831	-0.4888	-0.4944	-0.4994
Gamma	0.0002	0.0003	0.0004	0.0005	0.0006	0.0008	0.0012	0.0024	0.0236
Vega	6.6804	6.7043	6.7230	6.7303	6.7363	6.7410	6.7444	6.7464	6.7470
Theta	-11.5179	-9.2473	-6.9548	-5.802	-4.6457	-3.4867	-2.3256	-1.1632	-0.1163

Observations:

As Volatility decreases

- Both Call and Put Premium decreases.

- Call Delta decreases and Put Delta Increases.

- Gamma increases.

- Vega increases.

- Theta Decreases.

THETA with respect to change in RATE OF INTEREST:

SPOT	6000	6000	6000	6000	6000	6000	6000	6000	6000
STRIKE	6000	6000	6000	6000	6000	6000	6000	6000	6000
Days to Expiry	29	29	29	29	29	29	29	29	29
Volatility	30 %	30 %	30 %	30 %	30 %	30 %	30 %	30 %	30 %
Rate of Interest	50 %	40 %	30 %	20 %	10 %	5 %	3%	2 %	1 %
Call Premium	336.73	306.92	278.51	251.58	226.17	214.06	209.33	206.99	204.66
Put Premium	103.05	119.23	137.19	156.99	178.69	190.27	195.04	197.46	199.89
Call Delta	0.6957	0.6621	0.6271	0.591	0.5542	0.5356	0.5281	0.5243	0.5206
Put  Delta	-0.3043	-0.3379	-0.3729	-0.409	-0.4458	-0.4644	-0.4719	-0.4757	-0.4794
Gamma	0.0007	0.0007	0.0007	0.0008	0.0008	0.0008	0.0008	0.0008	0.0008
Vega	5.9180	6.1823	6.4017	6.5706	6.6847	6.7202	6.7303	6.7345	6.7380
Call Theta	-8.3178	-7.2147	-6.1478	-5.2039	-4.3066	-3.8868	-3.7244	-3.6444	-3.5652
Put Theta	-0.418	-0.8451	-1.3595	-1.968	-2.6758	-3.0682	-3.2345	-3.3162	-3.4099

Observations:

As Rate of Interest decreases

- Call Premium decreases and Put Premium increases.

- Call Delta increases and Put Delta decreases.

- Gamma increases.

- Vega increases.

- Call Theta decreases and Put Theta increases.

THETA RELATIONSHIP:

Variables	THETA
Spot	Highest at ATM and reduces as NIFTY moves away
Strike	Highest at ATM and reduces as NIFTY moves away
Volatility	Positive
Days to Expiry	Negative
Rate of Interest	Positive for Call Negative for Put