OPTION PRICING AND

Spot Price =
Expiery =
At the Money =
Risk Free Rate of Return =
Volatility =
y =
Time Period =

Strike Prices
₹880.00 ITM
₹900.00 ITM
₹920.00 ITM
₹940.00 ITM
₹960.00 ITM
₹980.00 ITM
₹1,000.00 ITM
₹1,020.00 ITM
₹1,040.00 ITM
₹1,060.00 ITM
₹1,080.00 ITM
₹1,100.00 ITM
₹1,120.00 ATM
₹1,140.00 OTM
₹1,160.00 OTM
₹1,180.00 OTM
₹1,200.00 OTM
₹1,220.00 OTM
₹1,240.00 OTM
₹1,260.00 OTM
₹1,280.00 OTM
₹1,300.00 OTM

Payoff For At The Money Strike Price

Strike Price = ₹1,120.00
Premium price (Call Option) = ₹53.00
 Premium price (Put Option) = ₹38.65

Returns From the Price Change (Call option)

Expected price changes Long Position

₹115.29 -₹1,057.71
₹105.24 -₹1,067.76
₹98.14 -₹1,074.86
₹94.35 -₹1,078.65
₹94.19 -₹1,078.81
₹92.29 -₹53.00
₹92.50 -₹53.00
₹88.39 -₹53.00
₹85.44 -₹53.00
Returns From Price Changes

₹81.04 -₹53.00
Payoff₹71.24
Diagaram: Options Long Position-₹53.00
for Strike Price 92.50 (Call Option)
₹0.00
₹50.00 -₹53.00
₹50.00 ₹60.00 Payoff
₹70.00 Diagram:
₹80.00 Options
₹90.00 Short₹100.00
Position for Strike Price
₹110.00 92.5
₹120.00
₹1,200.00
-₹200.00
Returns From Price Changes

₹1,000.00
-₹400.00
₹800.00
-₹600.00
₹600.00

-₹800.00
₹400.00

- ₹1,000.00 ₹200.00

- ₹1,200.00 ₹0.00
₹50.00 ₹60.00 ₹70.00 ₹80.00 ₹90.00 ₹100.00
Expected Prices of the Underlying at Expiery
Expected Prices of the Underlying at Expiery
Returns From Price Changes

Payoff Diagram: Options Short Position for Strike Price 92.50

₹200.00
Payoff Diagram: Options Long Position for Strike Price 92.50 (Put Option)
₹1,200.00 ₹0.00
₹50.00 ₹60.00 ₹70.00 ₹80.00 ₹90.00 ₹100.00
Returns From Price Changes

₹1,000.00 -₹200.00

₹800.00
-₹400.00
₹600.00
-₹600.00
₹400.00
-₹800.00
₹200.00
-₹1,000.00
₹0.00
₹50.00 ₹60.00 ₹70.00 ₹80.00 ₹90.00 ₹100.00 ₹110.00 ₹120.00
 ₹800.00

Returns From Price

-₹400.00
₹600.00
-₹600.00
₹400.00
-₹800.00
₹200.00
-₹1,000.00
₹0.00
₹50.00 ₹60.00 ₹70.00 ₹80.00 ₹90.00 ₹100.00 ₹110.00 ₹120.00
-₹1,200.00
- ₹200.00
Expected Prices of Underlying at Expiery
Expected Prices of Underlying at Expiery

Payoff Diagram: OptionsPayoff Diagram:

Long Position forOptions Short85.00
Strike Price Position forOption)
(Call Strike Price 85.00 (Call Op
₹12.00 ₹12.00

₹10.00 ₹10.00
Returns From Price Changes
Returns From Price Changes

₹8.00 ₹8.00

₹6.00 ₹6.00

₹4.00 ₹4.00

₹2.00 ₹2.00

₹0.00 ₹0.00
₹50.00 ₹55.00 ₹60.00 ₹50.00₹70.00
₹65.00 ₹60.00
₹75.00 ₹70.00
₹80.00 ₹85.00 ₹80.00
₹90.00 ₹95.00₹90.00
₹100.00 ₹100.00 ₹110.00
Expected Prices of Underlying at Expiery
Expected Prices of Underlying at Expiery
 Returns Fro
Returns Fro
₹4.00 ₹4.00

₹2.00 ₹2.00

₹0.00 ₹0.00
₹50.00 ₹55.00 ₹60.00 ₹50.00₹70.00
₹65.00 ₹60.00
₹75.00 ₹70.00
₹80.00 ₹85.00 ₹80.00
₹90.00 ₹95.00₹90.00
₹100.00 ₹100.00 ₹110.00
Expected Prices of Underlying at Expiery
Expected Prices of Underlying at Expiery

Payoff Diagram: OptionsPayoff Diagram:for

Long Position Options Short85.00
Strike Price Position
(PutforOption)
Strike Price 85.00 (Put Op
₹12.00 ₹12.00

₹10.00
₹10.00
Returns From Price Changes
Returns From Price Changes

₹8.00
₹8.00

₹6.00
₹6.00

₹4.00
₹4.00

₹2.00
₹2.00

₹0.00
₹0.00 ₹50.00 ₹55.00 ₹60.00 ₹65.00 ₹70.00 ₹75.00 ₹80.00 ₹85.00 ₹90.00 ₹95.
₹50.00 ₹55.00 ₹60.00 ₹65.00 ₹70.00 ₹75.00 ₹80.00 ₹85.00 ₹90.00 ₹95.00 ₹100.00
Expected Prices of Underlying at Expiery
Expected Prices of Underlying at Expiery
 Payoff
Payoff Diagram: Options Diagram:
Long PositionOptions Short
for Strike Position
Price 102.50for Strike
(Call Price 102.50 (Call O
Option)
₹12.00 ₹12.00

₹10.00 ₹10.00
Returns From Price Changes
Returns From Price Changes

₹8.00 ₹8.00

₹6.00 ₹6.00

₹4.00 ₹4.00

₹2.00 ₹2.00

₹0.00 ₹0.00
₹50.00 ₹55.00 ₹60.00 ₹50.00 ₹70.00
₹65.00 ₹55.00 ₹75.00
₹60.00 ₹80.00
₹65.00 ₹70.00
₹85.00 ₹75.00
₹90.00 ₹80.00
₹95.00 ₹85.00
₹100.00 ₹90.00 ₹95.0
Expected Prices of Underlying at Expiery
Expected Prices of Underlying at Expiery

Payoff
Payoff Diagram: Options LongDiagram:
PositionOptions Short
for Strike Position
Price 102.50for Strike
(Put Price 102.50 (Put O
Option)
₹12.00 ₹12.00

₹10.00 ₹10.00
Returns From Price Changes
Returns From Price Changes

₹8.00 ₹8.00

₹6.00 ₹6.00

₹4.00 ₹4.00

₹2.00 ₹2.00

₹0.00 ₹0.00
₹50.00 ₹55.00 ₹60.00 ₹50.00 ₹70.00
₹65.00 ₹55.00 ₹75.00
₹60.00 ₹80.00
₹65.00 ₹70.00
₹85.00 ₹75.00
₹90.00 ₹80.00
₹95.00 ₹85.00
₹100.00 ₹90.00 ₹95.0
Expected Prices of Underlying at Expiery
Expected Prices of Underlying at Expiery
N PRICING AND PAYOFF DIAGRAM
₹1,131.00
24/09/2020
₹92.50
3.19%
0.5 0.125
0
20 days = 0.22 part of year

Call Option Pricing Put Option Pricing d1 d2

₹273.05 ₹15.90 1.2176 0.9832
₹256.67 ₹19.38 1.1218 0.8874
₹240.79 ₹23.36 1.0280 0.7936
₹225.45 ₹27.88 0.9363 0.7018
₹210.66 ₹32.96 0.8464 0.6120
₹196.47 ₹38.62 0.7585 0.5241
₹182.87 ₹44.88 0.6723 0.4379
₹169.89 ₹51.76 0.5878 0.3534
₹157.53 ₹59.26 0.5050 0.2706
₹145.79 ₹67.38 0.4237 0.1893
₹134.68 ₹76.14 0.3440 0.1096
₹124.20 ₹85.51 0.2657 0.0313
₹114.32 ₹95.50 0.1888 -0.0456
₹105.05 ₹106.09 0.1133 -0.1211
₹96.37 ₹117.27 0.0391 -0.1953
₹88.26 ₹129.02 -0.0338 -0.2682
₹80.71 ₹141.32 -0.1055 -0.3399
₹73.68 ₹154.16 -0.1760 -0.4104
₹67.16 ₹167.50 -0.2454 -0.4798
₹61.13 ₹181.33 -0.3137 -0.5481
₹55.56 ₹195.62 -0.3809 -0.6153
₹50.43 ₹210.35 -0.4470 -0.6814
he Price Change (Call option)

Short Position Long Position Short Position

₹1,057.71 -₹38.65 ₹38.65

₹1,067.76 -₹38.65 ₹38.65
₹1,074.86 -₹38.65 ₹38.65
₹1,078.65 -₹38.65 ₹38.65
₹1,078.81 -₹38.65 ₹38.65
₹1,080.71 -₹38.65 ₹38.65
₹1,080.50 -₹38.65 ₹38.65
₹53.00 ₹992.96 -₹992.96
₹53.00 ₹995.91 -₹995.91
₹53.00 ₹1,000.31 -₹1,000.31
ke Price 92.50 (Call Option)
₹53.00 ₹1,010.11 -₹1,010.11
₹53.00 ₹1,031.35 -₹1,031.35
ons
0.00 Short₹100.00
Position for Strike Price
₹110.00 92.50 (Call Option)
₹120.00

₹70.00 ₹80.00 ₹90.00 ₹100.00 ₹110.00 ₹120.00

at Expiery
Expected Prices of the Underlying at Expiery

ons Short Position for Strike Price 92.50 (Put Option)

e Price 92.50 (Put Option)

₹70.00 ₹80.00 ₹90.00 ₹100.00 ₹110.00 ₹120.00

00 ₹100.00 ₹110.00 ₹120.00

00 ₹100.00 ₹110.00 ₹120.00

Expected Prices of Underlying at Expiery

piery

Position
85.00 forOption)
(Call Strike Price 85.00 (Call Option)

₹80.00
₹90.00 ₹95.00₹90.00
₹100.00 ₹100.00 ₹110.00 ₹120.00
ted Prices of Underlying at Expiery
 ₹80.00
₹90.00 ₹95.00₹90.00
₹100.00 ₹100.00 ₹110.00 ₹120.00
ted Prices of Underlying at Expiery

Position
85.00 (PutforOption)
Strike Price 85.00 (Put Option)

₹70.00 ₹75.00 ₹80.00 ₹85.00 ₹90.00 ₹95.00 ₹100.00

0 ₹90.00 ₹95.00 ₹100.00
cted Prices of Underlying at Expiery
 Position
ce 102.50for Strike
(Call Price 102.50 (Call Option)
Option)

₹70.00
₹85.00 ₹75.00
₹90.00 ₹80.00
₹95.00 ₹85.00
₹100.00 ₹90.00 ₹95.00 ₹100.00
ected
ry Prices of Underlying at Expiery

tce
Position
102.50for Strike
(Put Price 102.50 (Put Option)
Option)

₹70.00
₹85.00 ₹75.00
₹90.00 ₹80.00
₹95.00 ₹85.00
₹100.00 ₹90.00 ₹95.00 ₹100.00
ected
ry Prices of Underlying at Expiery
M

N(d1) N(d2)
0.8883 0.8373
0.8690 0.8126
0.8480 0.7863
0.8254 0.7586
0.8013 0.7297
0.7759 0.6999
0.7493 0.6693
0.7217 0.6381
0.6932 0.6066
0.6641 0.5751
0.6346 0.5436
0.6048 0.5125
0.5749 0.4818
0.5451 0.4518
0.5156 0.4226
0.4865 0.3943
0.4580 0.3670
0.4301 0.3407
0.4031 0.3157
0.3769 0.2918
0.3517 0.2692
0.3274 0.2478
 FUTURES PRICING AND PA
Risk Free Rate of Return =
Rate of Dividend Paid =
Spot Market Price of Underlying =
Time Period Left to Expiery =
Date of Expiery =
Actual Future Market Price =

Calculated Future Price =

Returns from the price change

Expected Prices Long position

₹1,004.00 -₹130.95
₹1,104.00 -₹30.95
₹1,114.00 -₹20.95
₹1,124.00 -₹10.95
₹1,134.95 ₹0.00
₹1,144.00 ₹9.05
₹1,154.00 ₹19.05
₹1,164.00 ₹29.05
₹1,174.00 ₹39.05
₹1,184.00 ₹49.05

Payoff Diagram: Futures Long Position

60
40
20
e Changes

0
₹60.00 ₹260.00 ₹460.00 ₹660.00 ₹860.00 ₹1,060.00 ₹1,260.00
-20
 Payoff Diagram: Futures Long Position
60
40
Returns From Price Changes 20
0
₹60.00 ₹260.00 ₹460.00 ₹660.00 ₹860.00 ₹1,060.00 ₹1,260.00
-20
-40
-60
-80
-100
-120
-140
Expected Prices of the Underlying at the Expiery
RICING AND PAYOFF DIAGRAM
= 3.19% 0.0319
= 0
ng = ₹1,131.00
= 20 = 0.21978
= 9/24/2020
= ₹1,134.95

₹1,138.93

om the price change

Short position

₹130.95
₹30.95
₹20.95
₹10.95
₹0.00
-₹9.05
-₹19.05
-₹29.05
-₹39.05
-₹49.05
R eturns F rom Price Chang es

on

Payoff Diagram: Futures Short Position

₹150.00

₹1,060.00 ₹1,260.00 ₹100.00

 R eturns F rom Price C
on

Payoff Diagram: Futures Short Position

₹150.00

₹1,060.00 ₹1,260.00 ₹100.00

₹50.00

₹0.00
₹60.00 ₹260.00 ₹460.00 ₹660.00 ₹860.00 ₹1,060.00 ₹1,26

- ₹50.00

- ₹100.00
Expected Prices of the Underlying at the Expiery
on
on

₹1,060.00 ₹1,260.00

y
Date Adj Close % returns for Muthoot

9/3/2019 591.921875 2.94%

9/4/2019 574.744934 -0.30%
9/5/2019 576.45282 0.92%
9/6/2019 571.182617 -3.62%
9/9/2019 592.263428 0.44%
9/11/2019 589.677124 0.19%
9/12/2019 588.554749 0.72%
9/13/2019 584.309326 -0.17%
9/16/2019 585.285278 1.12%
9/17/2019 578.746338 0.36%
9/18/2019 576.64801 1.09%
9/19/2019 570.401855 -7.43%
9/20/2019 614.417786 -2.43%
9/23/2019 629.545227 -6.73%
9/24/2019 673.366028 3.06%
9/25/2019 653.065979 -1.76%
9/26/2019 664.631104 -1.00%
9/27/2019 671.316467 1.75%
9/30/2019 659.653748 0.46%
10/1/2019 656.628235 1.05%
10/3/2019 649.747681 -0.02%
10/4/2019 649.894104 -0.65%
10/7/2019 654.139526 -2.34%
10/9/2019 669.608521 2.78%
10/10/2019 651.260437 0.61%
10/11/2019 647.3078 0.65%
10/14/2019 643.111145 0.93%
10/15/2019 637.157715 1.43%
10/16/2019 628.130066 -1.62%
10/17/2019 638.377686 -3.26%
10/18/2019 659.556091 -1.63%
10/22/2019 670.389343 0.43%
10/23/2019 667.510254 2.11%
10/24/2019 653.553955 1.11%
10/25/2019 646.331787 -6.57%
10/29/2019 690.201355 0.16%
10/30/2019 689.078979 -0.23%
10/31/2019 690.640564 -0.21%
11/1/2019 692.104492 0.39%
11/4/2019 689.420593 0.27%
 11/5/2019 687.566284 2.06%
11/6/2019 673.561218 0.74%
11/7/2019 668.58374 1.49%
11/8/2019 658.677795 0.83%
11/11/2019 653.212341 2.91%
11/13/2019 634.473816 -9.02%
11/14/2019 694.39801 1.39%
11/15/2019 684.78479 -1.53%
11/18/2019 695.325195 0.60%
11/19/2019 691.177368 1.68%
11/20/2019 679.661011 1.34%
11/21/2019 670.584473 0.28%
11/22/2019 668.730164 0.04%
11/25/2019 668.437378 0.46%
11/26/2019 665.363098 -1.53%
11/27/2019 675.610718 0.43%
11/28/2019 672.6828 1.64%
11/29/2019 661.752014 0.14%
12/2/2019 660.824829 1.35%
12/3/2019 651.992371 -0.48%
12/4/2019 655.115479 -3.51%
12/5/2019 678.489807 0.11%
12/6/2019 677.757874 1.24%
12/9/2019 669.413391 -0.78%
12/10/2019 674.634766 -0.94%
12/11/2019 681.027283 -2.13%
12/12/2019 695.666748 -0.59%
12/13/2019 699.765808 -0.40%
12/16/2019 702.547302 0.37%
12/17/2019 699.960999 0.29%
12/18/2019 697.960327 -1.93%
12/19/2019 711.574951 -0.40%
12/20/2019 714.405273 -1.61%
12/23/2019 726.019226 -0.03%
12/24/2019 726.263245 -0.86%
12/26/2019 732.509399 -1.05%
12/27/2019 740.268311 -0.94%
12/30/2019 747.24646 0.55%
12/31/2019 743.1474 0.11%
1/1/2020 742.31781 -1.04%
1/2/2020 750.076721 -0.29%
1/3/2020 752.272644 1.93%
1/6/2020 737.925964 0.81%
1/7/2020 731.972595 0.49%
1/8/2020 728.361511 0.58%
 1/9/2020 724.164917 -0.79%
1/10/2020 729.874268 -0.31%
1/13/2020 732.119019 -1.88%
1/14/2020 745.977661 0.55%
1/15/2020 741.878662 -3.73%
1/16/2020 770.083984 1.18%
1/17/2020 761.056274 0.72%
1/20/2020 755.590942 0.67%
1/21/2020 750.51593 1.44%
1/22/2020 739.780334 -0.30%
1/23/2020 742.025024 1.10%
1/24/2020 733.875732 0.11%
1/27/2020 733.094971 -0.84%
1/28/2020 739.24353 -0.51%
1/29/2020 743.000977 -1.56%
1/30/2020 754.712524 1.39%
1/31/2020 744.318542 1.89%
2/3/2020 730.362244 -2.90%
2/4/2020 751.882263 1.41%
2/5/2020 741.390686 -0.51%
2/6/2020 745.148132 0.33%
2/7/2020 742.659424 0.09%
2/10/2020 742.025024 1.71%
2/11/2020 729.43512 0.77%
2/12/2020 723.823364 0.17%
2/13/2020 722.603394 -0.87%
2/14/2020 728.947144 -15.70%
2/17/2020 852.894531 0.53%
2/18/2020 848.405029 -0.66%
2/19/2020 854.065613 -4.21%
2/20/2020 890.761902 -2.25%
2/24/2020 911.013123 -1.17%
2/25/2020 921.699951 0.47%
2/26/2020 917.356873 0.98%
2/27/2020 908.377991 5.58%
2/28/2020 859.091858 2.32%
3/2/2020 839.426147 -0.68%
3/3/2020 845.184387 -0.84%
3/4/2020 852.308899 -0.53%
3/5/2020 856.847168 0.95%
3/6/2020 848.746643 4.63%
3/9/2020 810.342468 -0.41%
3/11/2020 813.709534 9.71%
3/12/2020 738.41394 -6.08%
3/13/2020 784.723389 11.78%
3/16/2020 697.521118 11.02%
3/17/2020 624.763062 6.31%
3/18/2020 586.554077 2.90%
3/19/2020 569.816223 -6.66%
3/20/2020 609.049988 18.08%
3/23/2020 508.299988 -1.25%
3/24/2020 514.700012 -15.47%
3/25/2020 600.799988 -0.93%
3/26/2020 606.400024 -2.01%
3/27/2020 618.700012 1.10%
3/30/2020 611.950012 -0.20%
3/31/2020 613.150024 1.42%
4/1/2020 604.5 -0.25%
4/3/2020 606 -10.91%
4/7/2020 675.849976 -1.66%
4/8/2020 687.150024 -6.72%
4/9/2020 734.950012 -1.49%
4/13/2020 746 7.62%
4/15/2020 691.299988 -0.33%
4/16/2020 693.599976 -1.89%
4/17/2020 706.799988 -3.91%
4/20/2020 735 1.92%
4/21/2020 721.049988 -5.25%
4/22/2020 759.900024 -7.28%
4/23/2020 817.299988 0.41%
4/24/2020 813.950012 -0.75%
4/27/2020 820.049988 -0.80%
4/28/2020 826.599976 0.29%
4/29/2020 824.200012 -4.57%
4/30/2020 862.700012 9.59%
5/4/2020 783.799988 0.23%
5/5/2020 782 -3.94%
5/6/2020 813.450012 -0.88%
5/7/2020 820.650024 1.35%
5/8/2020 809.650024 -1.94%
5/11/2020 825.549988 1.15%
5/12/2020 816.099976 0.47%
5/13/2020 812.299988 -0.75%
5/14/2020 818.450012 -0.17%
5/15/2020 819.849976 5.42%
5/18/2020 776.599976 -0.61%
5/19/2020 781.349976 -3.73%
5/20/2020 811.049988 -1.86%
5/21/2020 826.25 2.57%
5/22/2020 805.299988 0.21%
5/26/2020 803.650024 -4.92%
5/27/2020 844.150024 -1.01%
5/28/2020 852.700012 -1.16%
5/29/2020 862.650024 -2.60%
6/1/2020 885.400024 -1.76%
6/2/2020 901.099976 -2.39%
6/3/2020 922.849976 1.32%
6/4/2020 910.75 -0.50%
6/5/2020 915.299988 0.08%
6/8/2020 914.599976 -3.12%
6/9/2020 943.599976 -2.87%
6/10/2020 971.099976 1.18%
6/11/2020 959.75 -2.05%
6/12/2020 979.599976 2.57%
6/15/2020 954.75 -2.66%
6/16/2020 980.5 -1.93%
6/17/2020 999.650024 -16.23%
6/18/2020 1175.800049 -0.36%
6/19/2020 1180 1.92%
6/22/2020 1157.599976 2.56%
6/23/2020 1128.300049 1.39%
6/24/2020 1112.75 0.72%
6/25/2020 1104.800049 1.35%
6/26/2020 1090 0.46%
6/29/2020 1085.050049 -0.09%
6/30/2020 1086.050049 -1.00%
7/1/2020 1096.949951 -1.09%
7/2/2020 1108.949951 -3.32%
7/3/2020 1146.349976 1.05%
7/6/2020 1134.349976 2.78%
7/7/2020 1103.300049 1.65%
7/8/2020 1085.199951 -0.27%
7/9/2020 1088.099976 0.35%
7/10/2020 1084.300049 -2.41%
7/13/2020 1110.75 2.62%
7/14/2020 1082.050049 0.44%
7/15/2020 1077.300049 -4.92%
7/16/2020 1131.650024 -6.11%
7/17/2020 1202.949951 -2.20%
7/20/2020 1229.75 -0.11%
7/21/2020 1231.150024 -6.63%
7/22/2020 1315.599976 0.74%
7/23/2020 1305.849976 0.22%
7/24/2020 1303 -4.48%
7/27/2020 1362.699951 2.09%
7/28/2020 1334.449951 -1.03%
7/29/2020 1348.199951 3.46%
7/30/2020 1302.349976 2.22%
7/31/2020 1273.800049 -0.67%
8/3/2020 1282.400024 -0.28%
8/4/2020 1286 2.21%
8/5/2020 1257.900024 5.34%
8/6/2020 1192.5 -2.03%
8/7/2020 1217 3.71%
8/10/2020 1172.699951 -0.13%
8/11/2020 1174.199951 2.35%
8/12/2020 1146.949951 -2.68%
8/13/2020 1178.150024 -2.91%
8/14/2020 1212.949951 -1.17%
8/17/2020 1227.199951 -0.90%
8/18/2020 1238.300049 -1.39%
8/19/2020 1255.650024 5.43%
8/20/2020 1189.25 0.61%
8/21/2020 1182 -2.51%
8/24/2020 1212.050049 1.15%
8/25/2020 1198.199951 -0.68%
8/26/2020 1206.349976 0.82%
8/27/2020 1196.449951 -1.00%
8/28/2020 1208.449951 5.24%
8/31/2020 1146.75 #DIV/0!
 ANNUAL VOLATILITY CALCULATION
STANDARD DEVIATION = 3.53%
ANNUAL VOLATILITY = 0.67