The research, analysis of five Greeks values–delta, gamma, theta, vega, and rho from above Tables 2 and 5, for strike prices 10900, 11100, 11300, and 10100 respectively; from option Buyer's point of view, it can be summarized that Nifty PE options for strike prices 10900, 11100 and 11300 expired ITM (in the money) on 22-Nov-2018 proving to have a highest upward movement of option prices, Rs. 5765.65, Rs.772.9 and Rs.969.9 respectively making the good sign of profit to the option buyer. While Nifty CE options strike prices 10900, 11100, 11300 expired OTM (on the Money) on 22-Nov-2018 is having a downward movement of option prices, Rs. 0.4, Rs. 0.25 and Rs. 0.24 respectively, creating a loss to the option buyer. In the case of Nifty CE option strike price 10100, initially deep ITM and later expiring to mild, less ITM in 22-Nov-2018, prove to be having a downward movement of the option price, Rs.224 creating relatively a reduced amount of loss to the option buyer. The Nifty PE option strike price 10100 is initially deep OTM and later expiring to the very lees deep OTM having descending movement of the Option price, Rs.4.95 on 22-Nov-2018 making relatively little loss to the option buyer.
The researcher tries to decipher that price of a call option or put option on a non-dividend paying asset is a relative utility of five variables, namely the strike price, expiration time, implied volatility, the spot price of the underlying value, and risk free interest rate. The changes incurred on any one of these variables will certainly affect the option's price. It is relevant to state that each Greek of an option, measures the feeling of an option price relative to changes in the market variables. Consider if the delta value is higher, more probable that an option contract will expire ITM. ATM option will have a delta value of 0.5 and it is subject to rapid change, while the delta value changes slowly for OTM and ITM options. However, if the gamma value is small, changes on delta are slow. It is found that the ATM option has the highest Gamma value when compared to ITM and OTM options. Theta can be defined as the time decaying factor of an option and that helps the trader to classify the right strike price, the right time to trade, and so on. ATM option has a higher theta when compared to ITM and OTM options, while Theta is higher when implied volatility is lower. Black-Scholes Model assumes the volatility constant, but in practical situations, it is dynamic. In general, all option price increases when volatility increases. The effect of volatility is more when surplus time is left for expiry. The research study analyzed that if Vega is positive or negative to an extreme, the option price highly reacts to volatility changes. Let's consider if Vega is close to zero, changes in volatility may have very little impact on the option price. Rho value is larger for the ITM option and decreases as the option leans towards OTM. The value of Rho increases as the time to expiration increases. It is also found that the interest rate will not have much effect on shorter-term option price, but for long-term options like LEAPS, the interest rate will certainly affect the option's price as it will have a greater cost of carry.
Finally, the researcher concludes that the findings have implications for intellectuals who persistently hesitate about the validity of the Black-Scholes model and its assumptions. The study institutes that the option values have inconsequential relevance to the market values. The Greeks are exceptionally useful in helping investors to forecast the pricing efficiency of options in the future since they successfully measure the sensitivity of the option price to market variables. Thus, it helps investors plan an efficient pricing strategy and to identify the best option strikes considering the time to expiry.