ROLE OF OPTIONS GREEKS BEFORE ANY FINANCIAL EVENT

This study has been undertaken to analyse event strategy with option trading for Nifty 50 and Bank Nifty Option analysis. The study collected data of nifty 50 and Bank Nifty Option prices for the purpose of analysis. The study considered Delta, Vega, implied volatility and implied volatility percentage for analysis. Short straddle modelling is used before General election and Union budget in both Nifty 50 and Bank Nifty. The study found that before every economic event the implied volatility tends to increase and once the event is over the implied volatility tends to move down and so happens with the premium of the option. During the event implied volatility percent tends to crash along with the implied volatility and premium also start decaying. Therefore creating a short straddle before every economic event is highly profitable. The study implies that a retail participant must focus on option Greeks and risk management in order to trade any economic Event. Keywords: Event Day, Short Straddle, Implied Volatility, Delta, Theta, Vega.

Authors

Publication Details

Journal
EPRA International Journal of Economics Business and Management Studies
Published
2025-04-25
DOI
https://doi.org/10.36713/epra21255
Primary Topic
Global Financial Crisis and Policies
Type
article
Field-Weighted Citation Impact
0.00
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article

ROLE OF OPTIONS GREEKS BEFORE ANY FINANCIAL EVENT

Abhilash Meher, Arunima Agrawal
EPRA International Journal of Economics Business and Management Studies
Global Financial Crisis and Policies
article

ROLE OF OPTIONS GREEKS BEFORE ANY FINANCIAL EVENT

Abhilash Meher, Arunima Agrawal
article en

Abstract

This study has been undertaken to analyse event strategy with option trading for Nifty 50 and Bank Nifty Option analysis. The study collected data of nifty 50 and Bank Nifty Option prices for the purpose of analysis. The study considered Delta, Vega, implied volatility and implied volatility percentage for analysis. Short straddle modelling is used before General election and Union budget in both Nifty 50 and Bank Nifty. The study found that before every economic event the implied volatility tends to increase and once the event is over the implied volatility tends to move down and so happens with the premium of the option. During the event implied volatility percent tends to crash along with the implied volatility and premium also start decaying. Therefore creating a short straddle before every economic event is highly profitable. The study implies that a retail participant must focus on option Greeks and risk management in order to trade any economic Event. Keywords: Event Day, Short Straddle, Implied Volatility, Delta, Theta, Vega.

EPRA International Journal of Economics Business and Management Studies
Openalex Percentile: Top 89%
Global Financial Crisis and Policies
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ROLE OF OPTIONS GREEKS BEFORE ANY FINANCIAL EVENT — Abhilash Meher, Arunima Agrawal · EPRA International Journal of Economics Business and Management Studies (2025) | TGRS Research Map | TGRS