What is Settle Price in NSE options ?

sandhuks · #1 25th May 2006, 10:05 PM

Hi All,

Could anyone advise what is settle price as in NSE feeds - and the relation to Close Price.

When calculating the intrinsic value/time value which price is best taken - settle
or close (or some other !)

Tks and rgds,

jdm · #2 25th May 2006, 11:20 PM

are you talking of STRIKE PRICE. i have never heard of settle price

vince · #3 26th May 2006, 06:24 AM

Quote:

Originally Posted by sandhuks

Hi All,

Could anyone advise what is settle price as in NSE feeds - and the relation to Close Price.

When calculating the intrinsic value/time value which price is best taken - settle
or close (or some other !)

Tks and rgds,

Settlement price will be the closing spot price of the underlying on that particular day.

Intrinsic value is the the amount by which the option is in the money

Time value is the value above the intrinsic value.

sandhuks · #4 26th May 2006, 08:03 PM

Hi Vince/JDM,

1. The settle_Prx is quoted by NSE-
http://www.nseindia.com/content/historical/EQUITIES/2005/NOV/cm10NOV2005bhav.csv

2. Now I am very confused - The settle price is quoted (different) for every option of the same underlying and so cannot be underlying price.

for Eg. ACC on 30/6/2005 -
scrip close - 379.6
strike price of one option - 380
SETTLE price for same option - 12.45

Also this settle price is not same as the close price for that option ...

So to calculate IV what is price of opption - close price or settle price ??

Thanks for any help,
-S

sandhuks · #5 27th May 2006, 10:36 AM

oops sorry wrong url -

http://www.nseindia.com/content/hist...OV2005bhav.csv

vince · #6 27th May 2006, 01:09 PM

Sandhuks,

I agree with you , you are confused.

Settlement price is for excercised options. In the case you have mentioned the 380 option is atm so cannot be excercised. Pls recheck.

ravi1967 · #7 27th May 2006, 05:09 PM

vinceji, thanks for your derivatives tips. i escaped with just a loss of 11500/- in hll calls. the 290 put was settled @ intrinsic value of 53.20 and 270@33.20.with my inflow of 14.5 for put and 4.6 for 280 call sold,my 270 put cost was 4.5.so the difference of 5.5@2000 shares was my loss.
please tell me strategy to follow in nuetral to bearish market conditions.
regards
ravi

sandhuks · #8 27th May 2006, 05:46 PM

Vince,I still do not see.......

..by your logic NSE should not be quoting the 12,45 settlePrice ,but it *is* -
http://www.nseindia.com/content/hist...UN2005bhav.csv

for the aug 25th expiry:

ACC on 30/6/2005 -

scrip close - 379.6
strike price of one option CA(25/8) - 380
SETTLE price for same option CA(25/8) - 12.45
close price of option - 19.45.

..and it always seem to be quoted - option atm or not...

So am still at my original question - what is Settle price and what is the diff from close price.

TIA,

vince · #9 27th May 2006, 08:48 PM

Sandhuks,

Pls look at this link for daily settlement prices:

http://www.nse-india.com/marketinfo/eod_information/daily_settle_prices.jsp

That should solve your problem.

sandhuks · #10 27th May 2006, 11:40 PM

Vince ,

I dont see my problem solved :-( and still cannot connect the settlement price to the settle price -

AS on 26/6/2006 (yr url )
ACC - SETTLEMENT price - 805/808/813
ACC - SETTLE price - ranges from 163 to 9.30 .

where is the connection ???

Pls if you can possibly explain any of the settle price values for this date and how it is arrived at - maybe I will see light :-)

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What is *Settle Price* in NSE options ?

What is Settle Price in NSE options ?