An Analytical Study of Option Greeks on Derivative Markets in India
Derivatives markets in India are in a nascent stage at present. The National Stock Exchange of India (NSE) commenced trading in derivatives with index futures on 12 June 2000. The futures contracts on the NSE are based on S& P (Standard and Poor’s) CNX Nifty (National index of fifty shares); and options and futures on stocks were introduced in July and November 2001 respectively. Before derivatives were introduced in Indian financial markets, there was a localized solution to the need for short-term holdings of securities for the purpose of hedging or speculating. This system was known as badla transaction which essentially involved borrowing securities for a settlement period and squaring up short positions. That system was far from transparent and transaction costs (carry forward or backwardation charges) could sometimes be very high.
KeywordsOption Price Call Option Implied Volatility Strike Price Underlying Asset
Unable to display preview. Download preview PDF.
- Shenbagaraman, P. (2003) ‘Do Futures and Options Trading Increase Stock Market Volatility?’, Working Paper no. 22, National Stock Exchange, Mumbai.Google Scholar
- Srivastava, S., Yadav, S. and Jain, P.K. (2002) ‘Early Efficiency Signals from the Stock Index Futures Market in India’, Paper presented at the 15th Australasian Finance and Banking Conference, 16–18 Dec. 2002.Google Scholar
- Srivastava, S. (2003) ‘Informational Content of Trading Volume and Open Interest–An Empirical Study of the Stock Options Market in India’, Working Paper no. 29, National Stock Exchange, Mumbai.Google Scholar
- Strong, R. (2002) Derivatives: an Introduction (Singapore: Thomson Western).Google Scholar