Calculating option price

[ijay]

I'm trying to calculate fair price of option... Can someone help on these three values:
Days to expiration (Should it include current day / weekends ?)
Annual Interest
Volatility

Suppose this is for ICICI 27 Sep PE 980.

Thanks

 

[megapixel]

I'm trying to calculate fair price of option... Can someone help on these three values:
Days to expiration (Should it include current day / weekends ?)
Annual Interest
Volatility

Suppose this is for ICICI 27 Sep PE 980.

Thanks

Days to expiration - how many days are left to expire....weekends are included.
Annual Interest - 4%,5% , 7% , 9% ...does not impact much.
Volatility - Volatility chart will show volatility of the scrip you are interested.


by the way , why you are trying to calculate fair value ? What is your objective ?

 

[ijay]

Days to expiration - how many days are left to expire....weekends are included.
Annual Interest - 4%,5% , 7% , 9% ...does not impact much.
Volatility - Volatility chart will show volatility of the scrip you are interested.


by the way , why you are trying to calculate fair value ? What is your objective ?

I was trying to study if the IV & Time Volatility really impact.. If I know that a stock will undergo correction of >1%, will it result in profit..

Also, where can I exactly get the volatility chart "measure" ?

 

[megapixel]

I was trying to study if the IV & Time Volatility really impact.. If I know that a stock will undergo correction of >1%, will it result in profit..

Also, where can I exactly get the volatility chart "measure" ?

you won't get possibly. look at the NSE option chain ..you get IV value....but a chart is not easily available. I don't think you will get free volatility chart elsewhere.