Module 4

Options Pricing & More

§Options Pricing (Intro)
§Put-Call Parity
§Arbitrage Opportunity
 Put Call Parity

Outcome of Future Buyer = Outcome of Future Seller

Bought a share at Rs 110 = Sold a share at Rs 110

after 3 months after 3 months

PV(Strike) 108.36 Stock 102

Buy Call 20 Buy Put 26.36

Call Price + PV (Strike) = Put Price + Stock

Call Price = Put Price + Stock - PV (Strike)

Put Price = Call Price + PV (Strike) - Stock

Stock = Call Price + PV (Strike) - Put Price

Bond = Put Price + Stock - Call Price

Hindustan Unilever

Strike Spot Time to

Date Expiry Price Call Price Put Price Price Expiry Call + PV of Strike Put + Stock
26-Jun-20 24-Sep-20 2,200.00 118.3 141.15 2,154.20 90.00 2,285.99 2,295.35
29-Jun-20 24-Sep-20 2,200.00 130.5 125.4 2,182.95 87.00 2,299.26 2,308.35
30-Jun-20 24-Sep-20 2,200.00 127.8 125.8 2,180.00 86.00 2,296.92 2,305.80
1-Jul-20 24-Sep-20 2,200.00 121.55 129.5 2,170.40 85.00 2,291.02 2,299.90
2-Jul-20 24-Sep-20 2,200.00 111.05 137.85 2,151.75 84.00 2,280.88 2,289.60
3-Jul-20 24-Sep-20 2,200.00 121.05 126.3 2,173.70 83.00 2,291.24 2,300.00
6-Jul-20 24-Sep-20 2,200.00 112.05 130.05 2,161.60 80.00 2,283.31 2,291.65
7-Jul-20 24-Sep-20 2,200.00 107.15 132.85 2,154.15 79.00 2,278.76 2,287.00
8-Jul-20 24-Sep-20 2,200.00 122.6 116.65 2,186.05 78.00 2,294.57 2,302.70
9-Jul-20 24-Sep-20 2,200.00 116 120.55 2,175.85 77.00 2,288.33 2,296.40
10-Jul-20 24-Sep-20 2,200.00 141.75 98.55 2,223.80 76.00 2,314.44 2,322.35
13-Jul-20 24-Sep-20 2,200.00 164.3 80.45 2,265.25 73.00 2,338.06 2,345.70
14-Jul-20 24-Sep-20 2,200.00 144.4 91.3 2,234.75 72.00 2,318.52 2,326.05
15-Jul-20 24-Sep-20 2,200.00 168.7 75.4 2,275.15 71.00 2,343.17 2,350.55
16-Jul-20 24-Sep-20 2,200.00 175.85 70.15 2,287.85 70.00 2,350.68 2,358.00
17-Jul-20 24-Sep-20 2,200.00 207.4 55.3 2,334.55 69.00 2,382.59 2,389.85
20-Jul-20 24-Sep-20 2,200.00 201.85 54.05 2,330.95 66.00 2,378.11 2,385.00
21-Jul-20 24-Sep-20 2,200.00 191.5 56.85 2,318.00 65.00 2,368.12 2,374.85
22-Jul-20 24-Sep-20 2,200.00 144.9 80.05 2,248.50 64.00 2,321.88 2,328.55
23-Jul-20 24-Sep-20 2,200.00 121.95 94.4 2,211.35 63.00 2,299.28 2,305.75
24-Jul-20 24-Sep-20 2,200.00 119.5 94.35 2,209.30 62.00 2,297.19 2,303.65
27-Jul-20 24-Sep-20 2,200.00 123.2 86.65 2,221.50 59.00 2,301.97 2,308.15
28-Jul-20 24-Sep-20 2,200.00 134.55 77.2 2,242.55 58.00 2,313.67 2,319.75
29-Jul-20 24-Sep-20 2,200.00 126.55 80.65 2,231.30 57.00 2,306.03 2,311.95
30-Jul-20 24-Sep-20 2,200.00 105.2 95.3 2,195.60 56.00 2,285.04 2,290.90
31-Jul-20 24-Sep-20 2,200.00 112 87.75 2,209.90 55.00 2,292.20 2,297.65
3-Aug-20 24-Sep-20 2,200.00 105.45 87.7 2,204.50 52.00 2,286.72 2,292.20
4-Aug-20 24-Sep-20 2,200.00 100.55 89.7 2,197.80 51.00 2,282.18 2,287.50
5-Aug-20 24-Sep-20 2,200.00 97.5 90.15 2,194.55 50.00 2,279.49 2,284.70
6-Aug-20 24-Sep-20 2,200.00 110.65 77.75 2,220.45 49.00 2,293.00 2,298.20
7-Aug-20 24-Sep-20 2,200.00 110 80.95 2,210.55 48.00 2,292.71 2,291.50
10-Aug-20 24-Sep-20 2,200.00 98.15 79.85 2,206.75 45.00 2,281.94 2,286.60
11-Aug-20 24-Sep-20 2,200.00 98.95 77.05 2,210.65 44.00 2,283.10 2,287.70
12-Aug-20 24-Sep-20 2,200.00 89.15 83.05 2,195.10 43.00 2,273.65 2,278.15
13-Aug-20 24-Sep-20 2,200.00 89.7 80.35 2,198.65 42.00 2,274.56 2,279.00
14-Aug-20 24-Sep-20 2,200.00 75.75 91.35 2,173.90 41.00 2,260.97 2,265.25
17-Aug-20 24-Sep-20 2,200.00 83.4 77.65 2,196.05 38.00 2,269.70 2,273.70
18-Aug-20 24-Sep-20 2,200.00 88 65.4 2,214.35 37.00 2,274.66 2,279.75
19-Aug-20 24-Sep-20 2,200.00 76.85 69.1 2,193.60 36.00 2,263.87 2,262.70
20-Aug-20 24-Sep-20 2,200.00 68.55 75.6 2,185.70 35.00 2,255.93 2,261.30
21-Aug-20 24-Sep-20 2,200.00 74.6 61.2 2,202.05 34.00 2,262.34 2,263.25
24-Aug-20 24-Sep-20 2,200.00 65.95 58 2,194.40 31.00 2,254.77 2,252.40
25-Aug-20 24-Sep-20 2,200.00 54.55 65.15 2,179.10 30.00 2,243.73 2,244.25
26-Aug-20 24-Sep-20 2,200.00 54.75 63.85 2,182.80 29.00 2,244.29 2,246.65
27-Aug-20 24-Sep-20 2,200.00 51.55 68 2,171.25 28.00 2,241.45 2,239.25
28-Aug-20 24-Sep-20 2,200.00 39.5 78.55 2,151.95 27.00 2,229.76 2,230.50
31-Aug-20 24-Sep-20 2,200.00 32.45 103.85 2,117.35 24.00 2,223.79 2,221.20
1-Sep-20 24-Sep-20 2,200.00 43.2 66.9 2,161.65 23.00 2,234.90 2,228.55
2-Sep-20 24-Sep-20 2,200.00 36.6 82.55 2,141.65 22.00 2,228.66 2,224.20
3-Sep-20 24-Sep-20 2,200.00 33.35 81.95 2,139.15 21.00 2,225.77 2,221.10
4-Sep-20 24-Sep-20 2,200.00 27.3 95.9 2,124.65 20.00 2,220.08 2,220.55
7-Sep-20 24-Sep-20 2,200.00 34.45 67.35 2,162.60 17.00 2,228.31 2,229.95
8-Sep-20 24-Sep-20 2,200.00 26.25 79 2,142.25 16.00 2,220.47 2,221.25
9-Sep-20 24-Sep-20 2,200.00 22.95 82.85 2,132.25 15.00 2,217.53 2,215.10
10-Sep-20 24-Sep-20 2,200.00 22.95 84.5 2,133.90 14.00 2,217.89 2,218.40
11-Sep-20 24-Sep-20 2,200.00 28 61.25 2,159.25 13.00 2,223.30 2,220.50
14-Sep-20 24-Sep-20 2,200.00 17.1 88.8 2,123.50 10.00 2,213.49 2,212.30
15-Sep-20 24-Sep-20 2,200.00 14.45 87.5 2,124.45 9.00 2,211.20 2,211.95
16-Sep-20 24-Sep-20 2,200.00 15.5 69 2,143.50 8.00 2,212.61 2,212.50
17-Sep-20 24-Sep-20 2,200.00 10.7 79 2,128.20 7.00 2,208.17 2,207.20
18-Sep-20 24-Sep-20 2,200.00 4.65 103.05 2,098.70 6.00 2,202.48 2,201.75
21-Sep-20 24-Sep-20 2,200.00 1.95 160.75 2,037.80 3.00 2,200.87 2,198.55
22-Sep-20 24-Sep-20 2,200.00 0.85 172.7 2,026.80 2.00 2,200.13 2,199.50
23-Sep-20 24-Sep-20 2,200.00 0.5 145 2,052.55 1.00 2,200.14 2,197.55
24-Sep-20 24-Sep-20 2,200.00 0.1 141.6 2,060.90 0.00 2,200.10 2,202.50
 Risk Free Rate 6% p.a.
Difference Time to expiry
-9.36 Call Price + PV (Strike) = Put Price + Stock
-9.09
-8.88
-8.88
-8.72
-8.76
-8.34
-8.24
-8.13
-8.07
-7.91
-7.64
-7.53
-7.38
-7.32
-7.26
-6.89
-6.73
-6.67
-6.47
-6.46
-6.18
-6.08
-5.92
-5.86
-5.45
-5.48
-5.32
-5.21
-5.20
1.21
-4.66
-4.60
-4.50
-4.44
-4.28
-4.00
-5.09
1.17
-5.37
-0.91
2.37
-0.52
-2.36
2.20
-0.74
2.59
6.35
4.46
4.67
-0.47
-1.64
-0.78
2.43
-0.51
2.80
1.19
-0.75
0.11
0.97
0.73
2.32
0.63
2.59
-2.40
 Put Call Parity (HUL Share)
Call + PV of Strike Put + Stock
2450

2400

2350

2300

2250

2200

2150

2100
26-Jun-20 3-Jul-20 10-Jul-20 17-Jul-20 24-Jul-20 31-Jul-20 7-Aug-20 14-Aug-20 21-Aug-20 28-Aug
y (HUL Share)
ke Put + Stock

0 14-Aug-20 21-Aug-20 28-Aug-20 4-Sep-20 11-Sep-20 18-Sep-20

Date series Spot Price
24-Sep-20 EQ 2,060.90 65
23-Sep-20 EQ 2,052.55
22-Sep-20 EQ 2,026.80
21-Sep-20 EQ 2,037.80
18-Sep-20 EQ 2,098.70
17-Sep-20 EQ 2,128.20
16-Sep-20 EQ 2,143.50
15-Sep-20 EQ 2,124.45
14-Sep-20 EQ 2,123.50
11-Sep-20 EQ 2,159.25
10-Sep-20 EQ 2,133.90
9-Sep-20 EQ 2,132.25
8-Sep-20 EQ 2,142.25
7-Sep-20 EQ 2,162.60
4-Sep-20 EQ 2,124.65
3-Sep-20 EQ 2,139.15
2-Sep-20 EQ 2,141.65
1-Sep-20 EQ 2,161.65
31-Aug-20 EQ 2,117.35
28-Aug-20 EQ 2,151.95
27-Aug-20 EQ 2,171.25
26-Aug-20 EQ 2,182.80
25-Aug-20 EQ 2,179.10
24-Aug-20 EQ 2,194.40
21-Aug-20 EQ 2,202.05
20-Aug-20 EQ 2,185.70
19-Aug-20 EQ 2,193.60
18-Aug-20 EQ 2,214.35
17-Aug-20 EQ 2,196.05
14-Aug-20 EQ 2,173.90
13-Aug-20 EQ 2,198.65
12-Aug-20 EQ 2,195.10
11-Aug-20 EQ 2,210.65
10-Aug-20 EQ 2,206.75
7-Aug-20 EQ 2,210.55
6-Aug-20 EQ 2,220.45
5-Aug-20 EQ 2,194.55
4-Aug-20 EQ 2,197.80
3-Aug-20 EQ 2,204.50
31-Jul-20 EQ 2,209.90
30-Jul-20 EQ 2,195.60
29-Jul-20 EQ 2,231.30
28-Jul-20 EQ 2,242.55
27-Jul-20 EQ 2,221.50
24-Jul-20 EQ 2,209.30
23-Jul-20 EQ 2,211.35
 22-Jul-20 EQ 2,248.50
21-Jul-20 EQ 2,318.00
20-Jul-20 EQ 2,330.95
17-Jul-20 EQ 2,334.55
16-Jul-20 EQ 2,287.85
15-Jul-20 EQ 2,275.15
14-Jul-20 EQ 2,234.75
13-Jul-20 EQ 2,265.25
10-Jul-20 EQ 2,223.80
9-Jul-20 EQ 2,175.85
8-Jul-20 EQ 2,186.05
7-Jul-20 EQ 2,154.15
6-Jul-20 EQ 2,161.60
3-Jul-20 EQ 2,173.70
2-Jul-20 EQ 2,151.75
1-Jul-20 EQ 2,170.40
30-Jun-20 EQ 2,180.00
29-Jun-20 EQ 2,182.95
26-Jun-20 EQ 2,154.20
DATE EXPIRY DATE OPTION TYPE STRIKE PRICE Call Price
24-Sep-20 24-Sep-20 CE 2,200.00 0.1 65
23-Sep-20 24-Sep-20 CE 2,200.00 0.5
22-Sep-20 24-Sep-20 CE 2,200.00 0.85
21-Sep-20 24-Sep-20 CE 2,200.00 1.95
18-Sep-20 24-Sep-20 CE 2,200.00 4.65
17-Sep-20 24-Sep-20 CE 2,200.00 10.7
16-Sep-20 24-Sep-20 CE 2,200.00 15.5
15-Sep-20 24-Sep-20 CE 2,200.00 14.45
14-Sep-20 24-Sep-20 CE 2,200.00 17.1
11-Sep-20 24-Sep-20 CE 2,200.00 28
10-Sep-20 24-Sep-20 CE 2,200.00 22.95
9-Sep-20 24-Sep-20 CE 2,200.00 22.95
8-Sep-20 24-Sep-20 CE 2,200.00 26.25
7-Sep-20 24-Sep-20 CE 2,200.00 34.45
4-Sep-20 24-Sep-20 CE 2,200.00 27.3
3-Sep-20 24-Sep-20 CE 2,200.00 33.35
2-Sep-20 24-Sep-20 CE 2,200.00 36.6
1-Sep-20 24-Sep-20 CE 2,200.00 43.2
31-Aug-20 24-Sep-20 CE 2,200.00 32.45
28-Aug-20 24-Sep-20 CE 2,200.00 39.5
27-Aug-20 24-Sep-20 CE 2,200.00 51.55
26-Aug-20 24-Sep-20 CE 2,200.00 54.75
25-Aug-20 24-Sep-20 CE 2,200.00 54.55
24-Aug-20 24-Sep-20 CE 2,200.00 65.95
21-Aug-20 24-Sep-20 CE 2,200.00 74.6
20-Aug-20 24-Sep-20 CE 2,200.00 68.55
19-Aug-20 24-Sep-20 CE 2,200.00 76.85
18-Aug-20 24-Sep-20 CE 2,200.00 88
17-Aug-20 24-Sep-20 CE 2,200.00 83.4
14-Aug-20 24-Sep-20 CE 2,200.00 75.75
13-Aug-20 24-Sep-20 CE 2,200.00 89.7
12-Aug-20 24-Sep-20 CE 2,200.00 89.15
11-Aug-20 24-Sep-20 CE 2,200.00 98.95
10-Aug-20 24-Sep-20 CE 2,200.00 98.15
7-Aug-20 24-Sep-20 CE 2,200.00 110
6-Aug-20 24-Sep-20 CE 2,200.00 110.65
5-Aug-20 24-Sep-20 CE 2,200.00 97.5
4-Aug-20 24-Sep-20 CE 2,200.00 100.55
3-Aug-20 24-Sep-20 CE 2,200.00 105.45
31-Jul-20 24-Sep-20 CE 2,200.00 112
30-Jul-20 24-Sep-20 CE 2,200.00 105.2
29-Jul-20 24-Sep-20 CE 2,200.00 126.55
28-Jul-20 24-Sep-20 CE 2,200.00 134.55
27-Jul-20 24-Sep-20 CE 2,200.00 123.2
24-Jul-20 24-Sep-20 CE 2,200.00 119.5
23-Jul-20 24-Sep-20 CE 2,200.00 121.95
 22-Jul-20 24-Sep-20 CE 2,200.00 144.9
21-Jul-20 24-Sep-20 CE 2,200.00 191.5
20-Jul-20 24-Sep-20 CE 2,200.00 201.85
17-Jul-20 24-Sep-20 CE 2,200.00 207.4
16-Jul-20 24-Sep-20 CE 2,200.00 175.85
15-Jul-20 24-Sep-20 CE 2,200.00 168.7
14-Jul-20 24-Sep-20 CE 2,200.00 144.4
13-Jul-20 24-Sep-20 CE 2,200.00 164.3
10-Jul-20 24-Sep-20 CE 2,200.00 141.75
9-Jul-20 24-Sep-20 CE 2,200.00 116
8-Jul-20 24-Sep-20 CE 2,200.00 122.6
7-Jul-20 24-Sep-20 CE 2,200.00 107.15
6-Jul-20 24-Sep-20 CE 2,200.00 112.05
3-Jul-20 24-Sep-20 CE 2,200.00 121.05
2-Jul-20 24-Sep-20 CE 2,200.00 111.05
1-Jul-20 24-Sep-20 CE 2,200.00 121.55
30-Jun-20 24-Sep-20 CE 2,200.00 127.8
29-Jun-20 24-Sep-20 CE 2,200.00 130.5
26-Jun-20 24-Sep-20 CE 2,200.00 118.3
DATE EXPIRY DATE OPTION TYPE STRIKE PRICE Put Price
24-Sep-20 24-Sep-20 PE 2,200.00 141.6
23-Sep-20 24-Sep-20 PE 2,200.00 145 65
22-Sep-20 24-Sep-20 PE 2,200.00 172.7
21-Sep-20 24-Sep-20 PE 2,200.00 160.75
18-Sep-20 24-Sep-20 PE 2,200.00 103.05
17-Sep-20 24-Sep-20 PE 2,200.00 79
16-Sep-20 24-Sep-20 PE 2,200.00 69
15-Sep-20 24-Sep-20 PE 2,200.00 87.5
14-Sep-20 24-Sep-20 PE 2,200.00 88.8
11-Sep-20 24-Sep-20 PE 2,200.00 61.25
10-Sep-20 24-Sep-20 PE 2,200.00 84.5
9-Sep-20 24-Sep-20 PE 2,200.00 82.85
8-Sep-20 24-Sep-20 PE 2,200.00 79
7-Sep-20 24-Sep-20 PE 2,200.00 67.35
4-Sep-20 24-Sep-20 PE 2,200.00 95.9
3-Sep-20 24-Sep-20 PE 2,200.00 81.95
2-Sep-20 24-Sep-20 PE 2,200.00 82.55
1-Sep-20 24-Sep-20 PE 2,200.00 66.9
31-Aug-20 24-Sep-20 PE 2,200.00 103.85
28-Aug-20 24-Sep-20 PE 2,200.00 78.55
27-Aug-20 24-Sep-20 PE 2,200.00 68
26-Aug-20 24-Sep-20 PE 2,200.00 63.85
25-Aug-20 24-Sep-20 PE 2,200.00 65.15
24-Aug-20 24-Sep-20 PE 2,200.00 58
21-Aug-20 24-Sep-20 PE 2,200.00 61.2
20-Aug-20 24-Sep-20 PE 2,200.00 75.6
19-Aug-20 24-Sep-20 PE 2,200.00 69.1
18-Aug-20 24-Sep-20 PE 2,200.00 65.4
17-Aug-20 24-Sep-20 PE 2,200.00 77.65
14-Aug-20 24-Sep-20 PE 2,200.00 91.35
13-Aug-20 24-Sep-20 PE 2,200.00 80.35
12-Aug-20 24-Sep-20 PE 2,200.00 83.05
11-Aug-20 24-Sep-20 PE 2,200.00 77.05
10-Aug-20 24-Sep-20 PE 2,200.00 79.85
7-Aug-20 24-Sep-20 PE 2,200.00 80.95
6-Aug-20 24-Sep-20 PE 2,200.00 77.75
5-Aug-20 24-Sep-20 PE 2,200.00 90.15
4-Aug-20 24-Sep-20 PE 2,200.00 89.7
3-Aug-20 24-Sep-20 PE 2,200.00 87.7
31-Jul-20 24-Sep-20 PE 2,200.00 87.75
30-Jul-20 24-Sep-20 PE 2,200.00 95.3
29-Jul-20 24-Sep-20 PE 2,200.00 80.65
28-Jul-20 24-Sep-20 PE 2,200.00 77.2
27-Jul-20 24-Sep-20 PE 2,200.00 86.65
24-Jul-20 24-Sep-20 PE 2,200.00 94.35
23-Jul-20 24-Sep-20 PE 2,200.00 94.4
 22-Jul-20 24-Sep-20 PE 2,200.00 80.05
21-Jul-20 24-Sep-20 PE 2,200.00 56.85
20-Jul-20 24-Sep-20 PE 2,200.00 54.05
17-Jul-20 24-Sep-20 PE 2,200.00 55.3
16-Jul-20 24-Sep-20 PE 2,200.00 70.15
15-Jul-20 24-Sep-20 PE 2,200.00 75.4
14-Jul-20 24-Sep-20 PE 2,200.00 91.3
13-Jul-20 24-Sep-20 PE 2,200.00 80.45
10-Jul-20 24-Sep-20 PE 2,200.00 98.55
9-Jul-20 24-Sep-20 PE 2,200.00 120.55
8-Jul-20 24-Sep-20 PE 2,200.00 116.65
7-Jul-20 24-Sep-20 PE 2,200.00 132.85
6-Jul-20 24-Sep-20 PE 2,200.00 130.05
3-Jul-20 24-Sep-20 PE 2,200.00 126.3
2-Jul-20 24-Sep-20 PE 2,200.00 137.85
1-Jul-20 24-Sep-20 PE 2,200.00 129.5
30-Jun-20 24-Sep-20 PE 2,200.00 125.8
29-Jun-20 24-Sep-20 PE 2,200.00 125.4
26-Jun-20 24-Sep-20 PE 2,200.00 141.15