Below chart indicates change in premium values for various strike prices at the end of Expiry day when the change in index for day is 0%
Analysis
- In the money calls (ITM) immediate next to At the Money (ATM) strike prices see loss averaging 50% to 70%
- Slightly far ITM calls experience a minimal loss ranging from 10% to 1%
- ITM PE calls take comparatively more loss to ITM CE calls.
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