Option dealers expect sharp move in IndusInd post Q2 results | Economic Times

Mumbai: Ahead of IndusInd Bank's Q2 result announcements, traders are factoring in a 13% movement from Rs 600 on either side. This means the option sellers will lose only if IndusInd breaks below Rs 520 or above Rs 680. It also shows sharp movement post the numbers due later Friday. The underlying stock traded at Rs 590 intraday. Maximum open interest (OI) on calls and puts is at the 600 strike. The fact of sharp movement is witnessed in high implied volatility, above 60, which means options are very costly for buyers. Once the results are declared the IVs will collapse, but sharp movement of the stock (delta)either side is expected. Vega or IV and delta are among the key determinants of an option price. The stock has outperformed the Bank Nifty returning 22% through Rs 590 against the BN's 16.5% since September 24.