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Put Call Parity

In: Business and Management

Submitted By purvi27
Words 5711
Pages 23
FDRM Project
On
9/17/2014

Estimation of NIFTY Spot
Price Using Put-Call Parity

Under the guidance of
Professor Rajiv Srivastava

Submitted by:
Abhay Sharma (1A)
Ayush Gupta (9C)
Sachin Gupta (38A)
Shikhar Mathur (45A)

Table of Contents

1.

2.
3.
4.

5.
6.

Executive Summary………….………………………..……………………………….………………..2
Introduction ……………………..………………………………………………………………….……..3
1.1 Why Derivative Markets…………………………….………………………………………………….……..3
1.2 Derivative Markets………………………………………………………………………………………….……3
1.3 Types of Traders……………………………………………………………………………………………………5
1.4 Types of Contracts………………………………………………………………………………………………..5
1.5 Development of Indian Derivatives Market…………………………………………………………..6
Objectives of the Study……………………………………………………….………………………..6
Research Methodology ………………………………………………………………………………..7
Properties of Data…………………………………………………………………………………………7
4.1 Analysis of different contracts…..………………………………………………………………………….9
4.2 Comparison between Call and Put Trade Volume ….……………………………………..……10
4.3 Speculation ratio…………………………………………………………………………………………………11
4.4 Estimation of NIFTY spot Price using Put-Call Parity……………………………………………13
Conclusion………………………………………………………………………………………………….15
Appendix…………………………………………………………………………………………………….16

1

Executive Summary
Futures and options markets in India are relatively new. The National Stock Exchange (NSE) introduced trading in Index Options (also based on Nifty) on June 4, 2001. The Futures and
Options on individual securities are available on only 223 securities. In developed markets, derivatives play a very important role in price discovery and information dissemination.
However, in emerging markets where the derivatives markets are not very liquid, it is very important to understand their role. This paper attempts to understand and estimates the information content of Indian option market....

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