GSFDFGD

PUT CAL
Spot Price on 26th august 2021 1717

Strike Price Selected for the 5 dates 1600 1700
Dividend yeild 2.25%
91 day T bill rate 3.29%
Time to maturity 2 months
Particulars Strike Price Spot Price call price put price

8/2/2021
Strike 1 1600 1663.150024 219.7 113.35
Strike 2 1700 1663.150024 169.55 162.25
Strike 3 2000 1663.150024 71.25 360.9
8/3/2021
Strike 1 1600 1678.75 219.7 113.35
Strike 2 1700 1678.75 169.55 162.25
Strike 3 2000 1678.75 71.25 360.9
8/4/2021
Strike 1 1600 1662.550049 219.7 113.35
Strike 2 1700 1662.550049 169.55 162.25
Strike 3 2000 1662.550049 71.25 360.9
8/5/2021
Strike 1 1600 1648.949951 219.7 113.35
Strike 2 1700 1648.949951 169.55 162.25
Strike 3 2000 1648.949951 71.25 360.9
8/6/2021
Strike 1 1600 1646.5 219.7 113.35
Strike 2 1700 1646.5 169.55 162.25
Strike 3 2000 1646.5 71.25 360.9
Dividend Yield 2.25%

91 day T bill 3.29%
Time 2 months
SD 0.02241117046
DATES STRIKE PRICE SPOT PRICE D1 D2
1600 1663.150024 4.42491454749892 4.4158
8/2/2021 1700 1663.150024 -2.20121814585833 -2.2104
2000 1663.150024 -19.9641659345519 -19.9733
1600 1678.75 5.44532456431304 5.4361752422843

8/3/2021 1700 1678.75 -1.1808081290442 -1.189957451073
2000 1678.75 -18.9437559177378 -18.95290523977
1600 1662.550049 4.38547870158127 4.3763293795526

8/4/2021 1700 1662.550049 -2.24065399177597 -2.249803313805
2000 1662.550049 -20.0036017804695 -20.0127511025
1600 1648.949951 3.4877175630338 3.4785682410051
8/5/2021 1700 1648.949951 -3.13841513032344 -3.147564452352
2000 1648.949951 -20.901362919017 -20.91051224105
1600 1646.5 3.32520615989169 3.316056837863

8/6/2021 1700 1646.5 -3.30092653346554 -3.310075855494
2000 1646.5 -21.0638743221591 -21.07302364419
Lower Boundary
Interest rate 3.29%
Call option 8/2/2021
Lower Boundary of Call

Strike Price Spot price Option (S-Ke^-Rt) Scope For arbitrage
1600 1663.150024 71.90 Arbitrage not Possible as per Lower Boundary
1700 1663.150024 0 Arbitrage not Possible as per Lower Boundary






PUT CALL PARITY - Inter globe aviation
2000
call situation put situation Portfolio 1{call side (C + Ke^-rt)} Portfolio 2 {put side (P + S)}
ITM OTM 1810.95 1776.500024

ATM ATM 1860.25 1825.400024
OTM ITM 2060.31 2024.05
ITM OTM 1810.95 1792.1

ATM ATM 1860.25 1841.00
OTM ITM 2060.31 2039.65
ITM OTM 1810.95 1775.900049

ATM ATM 1860.25 1824.800049
OTM ITM 2060.31 2023.45
ITM OTM 1810.95 1762.299951

ATM ATM 1860.25 1811.199951
OTM ITM 2060.31 2009.849951
ITM OTM 1810.95 1759.85

ATM ATM 1860.25 1808.75
OTM ITM 2060.31 2007.4
BLACK & SCHOLES
- D1 - D2 N(D1) N(D2)
-4.424914547499 -4.41576522547022 0.999995175976697 0.999994967335897
2.2012181458583 2.21036746788703 0.0138602921481381 0.0135398348423546
19.964165934552 19.9733152565806 5.64483863829069E-89 4.70010693999097E-89
-5.445324564313 -5.43617524228434 0.999999974144496 0.999999972781791

1.1808081290442 1.1899574510729 0.11883947701024 0.11703155797118
18.943755917738 18.9529052397665 2.48601988281376E-80 2.08931948821943E-80
-4.385478701581 -4.37632937955257 0.999994213450894 0.99999396527068

2.240653991776 2.24980331380467 0.0125242482325281 0.0122307167879147
20.00360178047 20.0127511024982 2.56176538903762E-89 2.13225553015689E-89
-3.487717563034 -3.4785682410051 0.999756418802008 0.999747949965634
3.1384151303235 3.14756445235215 0.000849320587920256 0.000823184028464233
20.901362919017 20.9105122410457 2.60189261727124E-97 2.14798091707845E-97
-3.325206159892 -3.31605683786299 0.999558234113471 0.999543513707051

3.3009265334656 3.31007585549424 0.000481830562318387 0.00046635345359675
21.063874322159 21.0730236441878 8.53166218605706E-99 7.03283467599877E-99
Put Option 8/2/2021
Lower Boundary of Put Option

Strike Price Spot Price (Ke^-Rt -S) Scope For Arbitrage
1600 1663.150024 0 Arbitrage not Possible as per Lower Bounda
1700 1663.150024 27.55 Arbitrage not Possible as per Lower Bounda
Put Option 8/3/2021

Strike Price Spot price (Ke^-Rt -S) Scope For Arbitrage
Put Option 8/4/2021


Put Option 8/5/2021

Put Option 8/6/2021


Outcome Arbitrage Possibilities Underpriced/Overpriced
Does not hold good Yes Overpriced





N(-D1) N(-D2) Call Price Put price

4.82402330278E-06 5.0326641027456E-06 65.9209704088241 1.524293E-05
0.986139707851862 0.986460165157645 0.0738888090625345 33.979750445
1 1 4.27922777101425E-89 333.38631204
2.58555038665E-08 2.7218209022173E-08 81.5209312346849 6.878754E-08

0.88116052298976 0.88296844202882 0.892677770770348 19.198563407
1 1 2.00360244145816E-80 317.78633604
0 0 65.3209985834903 1.841759E-05
0.987475751767472 0.987769283212085 0.0659796021971459 34.571816238
1 1 1.93752938488644E-89 333.98628704
0.000243581197992 0.0002520500343659 51.7218106030946 0.0009284372
0.99915067941208 0.999176815971536 0.00349784136742515 48.109432478
1 1 1.86875368340251E-97 347.58638504
0.000441765886529 0.0004564862929492 49.2726768103501 0.0017456445

0.999518169437681 0.999533646546403 0.00190614764407449 50.557791784
1 1 6.07181333091538E-99 350.03633604
8/2/2021
ope For Arbitrage
ossible as per Lower Boundary
8/3/2021
ope For Arbitrage
8/4/2021
ope For Arbitrage

8/5/2021
ope For Arbitrage
8/6/2021
ope For Arbitrage

UTI EQUITY SECURITY FUND REGULAR -Growth (VAR COMPUTATION BASED ON
Date NAV (Rs.) NAV Return Days Nav Return cum probability CL
9/1/2020 10.56
9/2/2020 10.58 0.19% 1 -1.60% 0.4%
9/3/2020 10.57 -0.09% 2 -1.50% 0.8% 1%
9/4/2020 10.49 -0.76% 3 -1.42% 1.2%
9/7/2020 10.48 -0.10% 4 -1.16% 1.6%
9/8/2020 10.46 -0.19% 5 -0.95% 2.0%
9/9/2020 10.44 -0.19% 6 -0.85% 2.4%
9/10/2020 10.5 0.57% 7 -0.84% 2.8%
9/11/2020 10.51 0.10% 8 -0.76% 3.2%

9/14/2020 10.49 -0.19% 9 -0.76% 3.6%
9/15/2020 10.53 0.38% 10 -0.75% 4.0%
9/16/2020 10.54 0.09% 11 -0.69% 4.5%
9/17/2020 10.52 -0.19% 12 -0.68% 4.9%
9/18/2020 10.53 0.10% 13 -0.67% 5.3%
9/21/2020 10.43 -0.95% 14 -0.60% 5.7%
9/22/2020 10.39 -0.38% 15 -0.59% 6.1%
9/23/2020 10.38 -0.10% 16 -0.59% 6.5%
9/24/2020 10.26 -1.16% 17 -0.59% 6.9%
9/25/2020 10.36 0.97% 18 -0.59% 7.3%
9/28/2020 10.43 0.67% 19 -0.55% 7.7%
9/29/2020 10.41 -0.19% 20 -0.54% 8.1%
9/30/2020 10.4 -0.10% 21 -0.52% 8.5%
10/1/2020 10.45 0.48% 22 -0.50% 8.9%
10/5/2020 10.48 0.29% 23 -0.47% 9.3%
10/6/2020 10.52 0.38% 24 -0.45% 9.7%
10/7/2020 10.53 0.10% 25 -0.42% 10.1%
10/8/2020 10.57 0.38% 26 -0.41% 10.5%
10/9/2020 10.62 0.47% 27 -0.40% 10.9%
10/12/2020 10.63 0.09% 28 -0.38% 11.3%
10/13/2020 10.62 -0.09% 29 -0.38% 11.7%
10/14/2020 10.62 0.00% 30 -0.34% 12.1%
10/15/2020 10.53 -0.85% 31 -0.34% 12.6%
10/16/2020 10.58 0.47% 32 -0.34% 13.0%
10/19/2020 10.62 0.38% 33 -0.33% 13.4%
10/20/2020 10.64 0.19% 34 -0.33% 13.8%
10/21/2020 10.68 0.38% 35 -0.33% 14.2%
10/22/2020 10.67 -0.09% 36 -0.32% 14.6%
10/23/2020 10.7 0.28% 37 -0.32% 15.0%
10/26/2020 10.62 -0.75% 38 -0.26% 15.4%
10/27/2020 10.65 0.28% 39 -0.25% 15.8%
10/28/2020 10.6 -0.47% 40 -0.25% 16.2%
10/29/2020 10.56 -0.38% 41 -0.25% 16.6%
10/30/2020 10.56 0.00% 42 -0.25% 17.0%
11/2/2020 10.59 0.28% 43 -0.24% 17.4%
11/3/2020 10.66 0.66% 44 -0.24% 17.8%
11/4/2020 10.69 0.28% 45 -0.24% 18.2%
11/5/2020 10.76 0.65% 46 -0.24% 18.6%
11/6/2020 10.79 0.28% 47 -0.19% 19.0%
11/9/2020 10.87 0.74% 48 -0.19% 19.4%
11/10/2020 10.92 0.46% 49 -0.19% 19.8%
11/11/2020 10.99 0.64% 50 -0.19% 20.2%
11/12/2020 10.98 -0.09% 51 -0.19% 20.6%
11/13/2020 10.98 0.00% 52 -0.17% 21.1%
11/17/2020 11.06 0.73% 53 -0.17% 21.5%
11/18/2020 11.08 0.18% 54 -0.17% 21.9%
11/19/2020 11.02 -0.54% 55 -0.16% 22.3%
11/20/2020 11.05 0.27% 56 -0.16% 22.7%
11/23/2020 11.06 0.09% 57 -0.16% 23.1%
11/24/2020 11.11 0.45% 58 -0.16% 23.5%
11/25/2020 11.06 -0.45% 59 -0.16% 23.9%
11/26/2020 11.1 0.36% 60 -0.16% 24.3%
11/27/2020 11.1 0.00% 61 -0.16% 24.7%
12/1/2020 11.17 0.63% 62 -0.10% 25.1%
12/2/2020 11.18 0.09% 63 -0.10% 25.5%
12/3/2020 11.2 0.18% 64 -0.10% 25.9%
12/4/2020 11.26 0.53% 65 -0.09% 26.3%
12/7/2020 11.3 0.35% 66 -0.09% 26.7%
12/8/2020 11.3 0.00% 67 -0.09% 27.1%
12/9/2020 11.33 0.27% 68 -0.09% 27.5%
12/10/2020 11.32 -0.09% 69 -0.09% 27.9%
12/11/2020 11.34 0.18% 70 -0.09% 28.3%
12/14/2020 11.36 0.18% 71 -0.09% 28.7%
12/15/2020 11.35 -0.09% 72 -0.08% 29.1%
12/16/2020 11.38 0.26% 73 -0.08% 29.6%
12/17/2020 11.38 0.00% 74 -0.08% 30.0%
12/18/2020 11.4 0.18% 75 -0.08% 30.4%
12/21/2020 11.23 -1.50% 76 -0.08% 30.8%
12/22/2020 11.27 0.36% 77 -0.08% 31.2%
12/23/2020 11.33 0.53% 78 -0.08% 31.6%
12/24/2020 11.38 0.44% 79 -0.08% 32.0%
12/28/2020 11.42 0.35% 80 -0.08% 32.4%
12/29/2020 11.44 0.17% 81 -0.08% 32.8%
12/30/2020 11.44 0.00% 82 -0.08% 33.2%
12/31/2020 11.45 0.09% 83 0.00% 33.6%
1/1/2021 11.47 0.17% 84 0.00% 34.0%
1/4/2021 11.52 0.43% 85 0.00% 34.4%
1/5/2021 11.54 0.17% 86 0.00% 34.8%
1/6/2021 11.54 0.00% 87 0.00% 35.2%
1/7/2021 11.56 0.17% 88 0.00% 35.6%
1/8/2021 11.64 0.69% 89 0.00% 36.0%
1/11/2021 11.68 0.34% 90 0.00% 36.4%
1/12/2021 11.72 0.34% 91 0.00% 36.8%
1/13/2021 11.75 0.26% 92 0.00% 37.2%
1/14/2021 11.77 0.17% 93 0.00% 37.7%
1/15/2021 11.73 -0.34% 94 0.00% 38.1%
1/18/2021 11.65 -0.68% 95 0.00% 38.5%
1/19/2021 11.71 0.51% 96 0.00% 38.9%
1/20/2021 11.76 0.43% 97 0.00% 39.3%
1/21/2021 11.72 -0.34% 98 0.00% 39.7%
1/22/2021 11.65 -0.60% 99 0.00% 40.1%
1/25/2021 11.64 -0.09% 100 0.00% 40.5%
1/27/2021 11.56 -0.69% 101 0.00% 40.9%
1/28/2021 11.53 -0.26% 102 0.00% 41.3%
1/29/2021 11.47 -0.52% 103 0.00% 41.7%
2/1/2021 11.69 1.90% 104 0.00% 42.1%
2/2/2021 11.83 1.19% 105 0.00% 42.5%
2/3/2021 11.89 0.51% 106 0.00% 42.9%
2/4/2021 11.94 0.42% 107 0.00% 43.3%
2/5/2021 11.96 0.17% 108 0.00% 43.7%
2/8/2021 12.04 0.67% 109 0.00% 44.1%
2/9/2021 12.04 0.00% 110 0.00% 44.5%
2/10/2021 12.02 -0.17% 111 0.00% 44.9%
2/11/2021 12.03 0.08% 112 0.08% 45.3%
2/12/2021 12.03 0.00% 113 0.08% 45.7%
2/15/2021 12.08 0.41% 114 0.08% 46.2%
2/16/2021 12.09 0.08% 115 0.08% 46.6%
2/17/2021 12.08 -0.08% 116 0.08% 47.0%
2/18/2021 12.07 -0.08% 117 0.08% 47.4%
2/19/2021 11.99 -0.67% 118 0.08% 47.8%
2/22/2021 11.89 -0.84% 119 0.08% 48.2%
2/23/2021 11.92 0.25% 120 0.08% 48.6%
2/24/2021 12.01 0.75% 121 0.08% 49.0%
2/25/2021 12.04 0.25% 122 0.08% 49.4%
2/26/2021 11.87 -1.42% 123 0.08% 49.8%
3/1/2021 11.94 0.59% 124 0.08% 50.2% 99%
3/2/2021 12.01 0.58% 125 0.09% 50.6%
3/3/2021 12.1 0.75% 126 0.09% 51.0%
3/4/2021 12.06 -0.33% 127 0.09% 51.4%
3/5/2021 12 -0.50% 128 0.09% 51.8%
3/8/2021 12.02 0.17% 129 0.09% 52.2%
3/9/2021 12.02 0.00% 130 0.10% 52.6%
3/10/2021 12.06 0.33% 131 0.10% 53.0%
3/12/2021 12.03 -0.25% 132 0.10% 53.4%
3/15/2021 11.99 -0.33% 133 0.16% 53.8%
3/16/2021 11.97 -0.17% 134 0.16% 54.3%
3/17/2021 11.9 -0.59% 135 0.16% 54.7%
3/18/2021 11.86 -0.34% 136 0.16% 55.1%
3/19/2021 11.93 0.59% 137 0.16% 55.5%
3/22/2021 11.92 -0.08% 138 0.16% 55.9%
3/23/2021 11.95 0.25% 139 0.16% 56.3%
3/24/2021 11.86 -0.76% 140 0.16% 56.7%
3/25/2021 11.79 -0.59% 141 0.17% 57.1%
3/26/2021 11.85 0.51% 142 0.17% 57.5%
3/30/2021 11.95 0.84% 143 0.17% 57.9%
3/31/2021 11.92 -0.25% 144 0.17% 58.3%
4/1/2021 11.99 0.59% 145 0.17% 58.7%
4/5/2021 11.92 -0.59% 146 0.17% 59.1%
4/6/2021 11.92 0.00% 147 0.17% 59.5%
4/7/2021 11.97 0.42% 148 0.17% 59.9%
4/8/2021 12 0.25% 149 0.18% 60.3%
4/9/2021 11.99 -0.08% 150 0.18% 60.7%
4/12/2021 11.8 -1.60% 151 0.18% 61.1%
4/13/2021 11.87 0.59% 152 0.18% 61.5%
4/15/2021 11.89 0.17% 153 0.18% 61.9%
4/16/2021 11.93 0.34% 154 0.19% 62.3%
4/19/2021 11.86 -0.59% 155 0.19% 62.8%
4/20/2021 11.86 0.00% 156 0.24% 63.2%
4/22/2021 11.92 0.50% 157 0.24% 63.6%
4/23/2021 11.9 -0.17% 158 0.24% 64.0%
4/26/2021 11.95 0.42% 159 0.24% 64.4%
4/27/2021 12.01 0.50% 160 0.24% 64.8%
4/28/2021 12.06 0.42% 161 0.24% 65.2%
4/29/2021 12.07 0.08% 162 0.24% 65.6%
4/30/2021 12.02 -0.42% 163 0.24% 66.0%
5/3/2021 12.01 -0.08% 164 0.25% 66.4%
5/4/2021 11.97 -0.33% 165 0.25% 66.8%
5/5/2021 12.02 0.42% 166 0.25% 67.2%
5/6/2021 12.08 0.50% 167 0.25% 67.6%
5/7/2021 12.11 0.25% 168 0.25% 68.0%
5/10/2021 12.17 0.49% 169 0.26% 68.4%
5/11/2021 12.17 0.00% 170 0.26% 68.8%
5/12/2021 12.12 -0.41% 171 0.27% 69.2%
5/14/2021 12.09 -0.25% 172 0.27% 69.6%
5/17/2021 12.16 0.58% 173 0.28% 70.0%
5/18/2021 12.2 0.33% 174 0.28% 70.4%
5/19/2021 12.19 -0.08% 175 0.28% 70.9%
5/20/2021 12.16 -0.25% 176 0.28% 71.3%
5/21/2021 12.25 0.74% 177 0.28% 71.7%
5/24/2021 12.28 0.24% 178 0.29% 72.1%
5/25/2021 12.28 0.00% 179 0.32% 72.5%
5/26/2021 12.31 0.24% 180 0.32% 72.9%
5/27/2021 12.33 0.16% 181 0.32% 73.3%
5/28/2021 12.35 0.16% 182 0.32% 73.7%
5/31/2021 12.39 0.32% 183 0.32% 74.1%
6/1/2021 12.37 -0.16% 184 0.32% 74.5%
6/2/2021 12.38 0.08% 185 0.33% 74.9%
6/3/2021 12.4 0.16% 186 0.33% 75.3%
6/4/2021 12.4 0.00% 187 0.34% 75.7%
6/7/2021 12.43 0.24% 188 0.34% 76.1%
6/8/2021 12.44 0.08% 189 0.34% 76.5%
6/9/2021 12.41 -0.24% 190 0.35% 76.9%
6/10/2021 12.45 0.32% 191 0.35% 77.3%
6/11/2021 12.47 0.16% 192 0.36% 77.7%
6/14/2021 12.48 0.08% 193 0.36% 78.1%
6/15/2021 12.48 0.00% 194 0.38% 78.5%
6/16/2021 12.45 -0.24% 195 0.38% 78.9%
6/17/2021 12.43 -0.16% 196 0.38% 79.4%
6/18/2021 12.43 0.00% 197 0.38% 79.8%
6/21/2021 12.42 -0.08% 198 0.38% 80.2%
6/22/2021 12.42 0.00% 199 0.39% 80.6%
6/23/2021 12.44 0.16% 200 0.41% 81.0%
6/24/2021 12.44 0.00% 201 0.42% 81.4%
6/25/2021 12.45 0.08% 202 0.42% 81.8%
6/28/2021 12.41 -0.32% 203 0.42% 82.2%
6/29/2021 12.43 0.16% 204 0.42% 82.6%
6/30/2021 12.47 0.32% 205 0.42% 83.0%
7/1/2021 12.47 0.00% 206 0.43% 83.4%
7/2/2021 12.45 -0.16% 207 0.43% 83.8%
7/5/2021 12.44 -0.08% 208 0.44% 84.2%
7/6/2021 12.43 -0.08% 209 0.45% 84.6%
7/7/2021 12.44 0.08% 210 0.46% 85.0%
7/8/2021 12.48 0.32% 211 0.47% 85.4%
7/9/2021 12.46 -0.16% 212 0.47% 85.8%
7/12/2021 12.49 0.24% 213 0.48% 86.2%
7/13/2021 12.45 -0.32% 214 0.48% 86.6%
7/14/2021 12.45 0.00% 215 0.49% 87.0%
7/15/2021 12.45 0.00% 216 0.50% 87.4%
7/16/2021 12.49 0.32% 217 0.50% 87.9%
7/19/2021 12.51 0.16% 218 0.50% 88.3%
7/20/2021 12.54 0.24% 219 0.51% 88.7%
7/22/2021 12.55 0.08% 220 0.51% 89.1%
7/23/2021 12.52 -0.24% 221 0.51% 89.5%
7/26/2021 12.47 -0.40% 222 0.53% 89.9%
7/27/2021 12.53 0.48% 223 0.53% 90.3%
7/28/2021 12.55 0.16% 224 0.57% 90.7%
7/29/2021 12.53 -0.16% 225 0.58% 91.1%
7/30/2021 12.5 -0.24% 226 0.58% 91.5%
8/2/2021 12.5 0.00% 227 0.59% 91.9%
8/3/2021 12.51 0.08% 228 0.59% 92.3%
8/4/2021 12.52 0.08% 229 0.59% 92.7%
8/5/2021 12.56 0.32% 230 0.59% 93.1%
8/6/2021 12.64 0.63% 231 0.63% 93.5%
8/9/2021 12.67 0.24% 232 0.63% 93.9%
8/10/2021 12.68 0.08% 233 0.64% 94.3%
8/11/2021 12.66 -0.16% 234 0.65% 94.7%
8/12/2021 12.66 0.00% 235 0.66% 95.1%
8/13/2021 12.66 0.00% 236 0.67% 95.5%
8/16/2021 12.66 0.00% 237 0.67% 96.0%
8/17/2021 12.69 0.24% 238 0.69% 96.4%
8/18/2021 12.74 0.39% 239 0.73% 96.8%
8/20/2021 12.73 -0.08% 240 0.74% 97.2%
8/23/2021 12.74 0.08% 241 0.74% 97.6%
8/24/2021 12.72 -0.16% 242 0.75% 98.0%
8/25/2021 12.65 -0.55% 243 0.75% 98.4%
8/26/2021 12.65 0.00% 244 0.84% 98.8%
8/27/2021 12.68 0.24% 245 0.97% 99.2%
8/30/2021 12.67 -0.08% 246 1.19% 99.6%
8/31/2021 12.67 0.00% 247 1.90% 100.0%
MPUTATION BASED ON HISTORICAL METHOD)
HISTORICAL METHOD
Particulars NAV
Portfolio Value 12084888000.00
confidence level 99%

value at risk -176710175
probable value of the portfolio 11908177825
For NAV -176710175
is Maximum loss that may occur in a day

with 99% of confidence level (CL) and for
1% CL it may go till -181570446.9127
PU
Spot Price on 16th sept 2021 230.75

8/2/2021
Strike 1 275 207.3 0.95 69.9
Strike 2 210 207.3 6.3 7.25
Strike 3 200 207.3 11.6 2.9
8/3/2021
Strike 1 275 209.9 0.95 69.9
Strike 2 210 209.9 7.2 6.1
Strike 3 200 209.9 13.3 2.3
8/4/2021
Strike 1 275 208.6 0.95 69.9
Strike 2 210 208.6 6.5 6.45
Strike 3 200 208.6 12.1 2.4
8/5/2021
Strike 1 275 215.25 0.95 69.9
Strike 2 210 215.25 11.1 4.15
Strike 3 200 215.25 18.15 1.65
8/6/2021
Strike 1 275 214.25 0.95 69.9
Strike 2 210 214.25 10.55 4.3
Strike 3 200 214.25 17.7 1.65

91 day T bill 3.29%
Time 2 months
SD 0.0128093211
275 207.3 -54.4724011897929 -54.4776
8/2/2021 210 207.3 -2.90541035045631 -2.9106
200 207.3 6.42459287259567 6.4194
275 209.9 -52.0889065438304 -52.09413592725

8/3/2021 210 209.9 -0.521915704493849 -0.527145087915
200 209.9 8.80808751855816 8.8028581351375
275 208.6 -53.2769403444039 -53.28216972782

8/4/2021 210 208.6 -1.70994950506733 -1.715178888488
200 208.6 7.62005371798466 7.614824334564
275 215.25 -47.275926799074 -47.28115618249

8/5/2021 210 215.25 4.29106404026253 4.2858346568419
8/5/2021
200 215.25 13.6210672633145 13.615837879894
275 214.25 -48.1663923578901 -48.17162174131

8/6/2021 210 214.25 3.40059848144646 3.3953690980258
200 214.25 12.7306017044985 12.725372321078
Lower Boundary
Interest rate 3.29%
time to maturity 2 months
Strike Price Spot

Lower
price
Boundary of Call Option (S-Ke^-Rt)
Scope For arbitrage
Arbitrage not Possible as per Lower

275 207.3 0 Boundary


200 207.3 8.39 Boundary
Strike Price Spot

Lower
price
Scope For arbitrage


210 209.9 1.05 Boundary

200 209.9 10.99 Boundary
Strike Price Spot

Lower
price
Scope For arbitrage



200 208.6 9.69 Boundary
Strike Price Spot

Lower
price
Scope For arbitrage

275 215.25 0 Boundary

210 215.25 6.40 Boundary

200 215.25 16.34 Boundary
Strike Price Spot

Lower
price
Scope For arbitrage

275 214.25 0 Boundary

210 214.25 5.40 Boundary

200 214.25 15.34 Boundary
PUT CALL PARITY -ITC
200
OTM ITM 274.45 277.2

ATM ATM 215.15 214.55
ITM OTM 210.51 210.20
OTM ITM 274.45 279.8

ATM ATM 216.05 216.00
ITM OTM 212.21 212.20
OTM ITM 274.45 278.5

ATM ATM 215.35 215.05
ITM OTM 211.01 211.00
OTM ITM 274.45 285.15

ATM ATM 219.95 219.4
ITM OTM 217.06 216.9
OTM ITM 274.45 284.15

ATM ATM 219.40 218.55
ITM OTM 216.61 215.9
BLACK & SCHOLES
- D1 - D2 N(D1) N(D2)
54.472401189793 54.4776305732136 0 0
2.9054103504563 2.91063973387698 0.00183385950370826 0.00180344821746631
-6.424592872596 -6.419363489175 0.999999999933888 0.999999999931577
52.08890654383 52.0941359272511 0 0
0.5219157044938 0.527145087914519 0.300864511696495 0.299046419057656
-8.808087518558 -8.80285813513749 1 1
53.276940344404 53.2821697278246 0 0
1.7099495050673 1.71517888848801 0.0436376054433142 0.0431562171233332
-7.620053717985 -7.61482433456399 0.999999999999987 0.999999999999987
47.275926799074 47.2811561824947 0 0
-4.291064040263 -4.28583465684186 0.999991109048983 0.999990897282047
-13.62106726331 -13.6158378798939 1 1
48.16639235789 48.1716217413108 0 0
-3.400598481446 -3.39536909802579 0.999663807444792 0.99965731930915
-12.7306017045 -12.7253723210778 1 1
Put Option 8/2/2021
Strike Price Spot Price Lower Boundary of Put Option (Ke^-Rt -S) Scope For Arbitrage
Put Option 8/3/2021
Strike Price Spot price Lower Boundary of Put Option (Ke^-Rt -S) Scope For Arbitrage
Put Option 8/4/2021

Put Option 8/5/2021
Put Option 8/6/2021

Does not hold good Yes Underpriced


Parity - Good Parity - Good Almost same Payoff




1 1 0 68.324040312
0.998166140496292 0.998196551782534 0.000575534463586269 3.177115409
6.61114578649E-11 6.8422652749024E-11 6.84615250049188 1.067878E-11
1 1 0 65.724040312
0.699135488303505 0.700953580942343 0.209205459980659 0.7857453345
6.36495161359E-19 6.6687556773226E-19 9.44615250048119 7.743899E-20
1 1 0 67.024040312
0.956362394556686 0.956843782876667 0.0194332412837479 1.8959731158
1.26785084873E-14 1.3202516804266E-14 8.14615250048118 1.75842E-15
1 1 0 60.374040312
8.89095101704E-06 9.1027179529751E-06 4.773462256877 2.131372E-06
1.50074540663E-42 1.6121327494756E-42 14.7961525004812 1.227635E-43
1 1 0 61.374040312
0.00033619255521 0.0003426806908498 3.7735571166439 9.699114E-05
1.99873306541E-37 2.1371624076441E-37 13.7961525004812 1.738681E-38
8/2/2021
ope For Arbitrage
8/3/2021
ope For Arbitrage
8/4/2021
ope For Arbitrage

8/5/2021
ope For Arbitrage
8/6/2021
ope For Arbitrage

Nippon India Small Cap Regular-Growth (VAR COMPUTATION BASED ON HISTO
9/1/2020 41.27
9/2/2020 41.3 0.07% 1 -4.82% 0.4%
9/3/2020 41.58 0.68% 2 -4.51% 0.8% 1%
9/4/2020 41.14 -1.06% 3 -4.06% 1.2%
9/7/2020 41.05 -0.22% 4 -2.37% 1.6%
9/8/2020 40.7 -0.86% 5 -2.21% 2.0%
9/9/2020 40.22 -1.19% 6 -1.94% 2.4%
9/10/2020 40.88 1.63% 7 -1.89% 2.8%
9/11/2020 40.94 0.15% 8 -1.80% 3.2%

9/14/2020 42.81 4.47% 9 -1.77% 3.6%
9/15/2020 43.56 1.74% 10 -1.71% 4.0%
9/16/2020 43.8 0.55% 11 -1.66% 4.5%
9/17/2020 43.61 -0.43% 12 -1.53% 4.9%
9/18/2020 43.45 -0.37% 13 -1.44% 5.3%
9/21/2020 41.72 -4.06% 14 -1.41% 5.7%
9/22/2020 41.34 -0.92% 15 -1.28% 6.1%
9/23/2020 41.23 -0.27% 16 -1.27% 6.5%
9/24/2020 40.33 -2.21% 17 -1.25% 6.9%
9/25/2020 41.12 1.94% 18 -1.21% 7.3%
9/28/2020 42.02 2.17% 19 -1.21% 7.7%
9/29/2020 42.02 0.00% 20 -1.19% 8.1%
9/30/2020 42.16 0.33% 21 -1.16% 8.5%
10/1/2020 42.23 0.17% 22 -1.15% 8.9%
10/5/2020 42.14 -0.21% 23 -1.06% 9.3%
10/6/2020 42.21 0.17% 24 -1.03% 9.7%
10/7/2020 41.84 -0.88% 25 -0.97% 10.1%
10/8/2020 41.46 -0.91% 26 -0.96% 10.5%
10/9/2020 41.49 0.07% 27 -0.92% 10.9%
10/12/2020 41.18 -0.75% 28 -0.91% 11.3%
10/13/2020 41.14 -0.10% 29 -0.91% 11.7%
10/14/2020 41.39 0.61% 30 -0.90% 12.1%
10/15/2020 40.69 -1.71% 31 -0.88% 12.6%
10/16/2020 40.97 0.69% 32 -0.87% 13.0%
10/19/2020 41.25 0.68% 33 -0.86% 13.4%
10/20/2020 41.24 -0.02% 34 -0.82% 13.8%
10/21/2020 41.18 -0.15% 35 -0.82% 14.2%
10/22/2020 41.46 0.68% 36 -0.81% 14.6%
10/23/2020 41.86 0.96% 37 -0.77% 15.0%
10/26/2020 41.54 -0.77% 38 -0.76% 15.4%
10/27/2020 41.77 0.55% 39 -0.75% 15.8%
10/28/2020 41.47 -0.72% 40 -0.72% 16.2%
10/29/2020 41.36 -0.27% 41 -0.72% 16.6%
10/30/2020 41.41 0.12% 42 -0.71% 17.0%
11/2/2020 41.07 -0.82% 43 -0.66% 17.4%
11/3/2020 41.24 0.41% 44 -0.64% 17.8%
11/4/2020 41.31 0.17% 45 -0.55% 18.2%
11/5/2020 42.07 1.82% 46 -0.54% 18.6%
11/6/2020 42.33 0.62% 47 -0.48% 19.0%
11/9/2020 42.75 0.99% 48 -0.47% 19.4%
11/10/2020 42.52 -0.54% 49 -0.47% 19.8%
11/11/2020 42.81 0.68% 50 -0.43% 20.2%
11/12/2020 43.27 1.07% 51 -0.43% 20.6%
11/13/2020 43.7 0.99% 52 -0.41% 21.1%
11/17/2020 44.4 1.59% 53 -0.40% 21.5%
11/18/2020 44.79 0.87% 54 -0.37% 21.9%
11/19/2020 44.69 -0.22% 55 -0.37% 22.3%
11/20/2020 45.09 0.89% 56 -0.32% 22.7%
11/23/2020 45.57 1.06% 57 -0.31% 23.1%
11/24/2020 45.86 0.63% 58 -0.31% 23.5%
11/25/2020 45.31 -1.21% 59 -0.29% 23.9%
11/26/2020 45.53 0.48% 60 -0.27% 24.3%
11/27/2020 46.69 2.52% 61 -0.27% 24.7%
12/1/2020 47.23 1.15% 62 -0.27% 25.1%
12/2/2020 47.27 0.08% 63 -0.27% 25.5%
12/3/2020 47.62 0.74% 64 -0.26% 25.9%
12/4/2020 47.87 0.52% 65 -0.22% 26.3%
12/7/2020 48.37 1.04% 66 -0.22% 26.7%
12/8/2020 47.93 -0.91% 67 -0.22% 27.1%
12/9/2020 48.2 0.56% 68 -0.21% 27.5%
12/10/2020 48.05 -0.31% 69 -0.21% 27.9%
12/11/2020 48.26 0.44% 70 -0.20% 28.3%
12/14/2020 48.61 0.72% 71 -0.18% 28.7%
12/15/2020 48.7 0.18% 72 -0.16% 29.1%
12/16/2020 49.24 1.10% 73 -0.15% 29.6%
12/17/2020 49.3 0.12% 74 -0.15% 30.0%
12/18/2020 49.19 -0.22% 75 -0.13% 30.4%
12/21/2020 47.02 -4.51% 76 -0.11% 30.8%
12/22/2020 47.54 1.10% 77 -0.10% 31.2%
12/23/2020 48.72 2.45% 78 -0.08% 31.6%
12/24/2020 48.95 0.47% 79 -0.05% 32.0%
12/28/2020 49.59 1.30% 80 -0.03% 32.4%
12/29/2020 49.7 0.22% 81 -0.02% 32.8%
12/30/2020 49.85 0.30% 82 -0.01% 33.2%
12/31/2020 50.07 0.44% 83 -0.01% 33.6%
1/1/2021 50.57 0.99% 84 0.00% 34.0%
1/4/2021 51.29 1.41% 85 0.00% 34.4%
1/5/2021 51.56 0.53% 86 0.02% 34.8%
1/6/2021 51.63 0.14% 87 0.02% 35.2%
1/7/2021 52.04 0.79% 88 0.02% 35.6%
1/8/2021 52.43 0.75% 89 0.03% 36.0%
1/11/2021 52.22 -0.40% 90 0.06% 36.4%
1/12/2021 52.25 0.06% 91 0.07% 36.8%
1/13/2021 52.26 0.02% 92 0.07% 37.2%
1/14/2021 52.2 -0.11% 93 0.08% 37.7%
1/15/2021 51.78 -0.81% 94 0.12% 38.1%
1/18/2021 50.93 -1.66% 95 0.12% 38.5%
1/19/2021 51.65 1.40% 96 0.14% 38.9%
1/20/2021 51.9 0.48% 97 0.14% 39.3%
1/21/2021 51.56 -0.66% 98 0.15% 39.7%
1/22/2021 51.1 -0.90% 99 0.17% 40.1%
1/25/2021 50.51 -1.16% 100 0.17% 40.5%
1/27/2021 50.27 -0.48% 101 0.17% 40.9%
1/28/2021 50.11 -0.32% 102 0.17% 41.3%
1/29/2021 50.03 -0.16% 103 0.17% 41.7%
2/1/2021 51.23 2.37% 104 0.17% 42.1%
2/2/2021 51.71 0.93% 105 0.18% 42.5%
2/3/2021 52.62 1.74% 106 0.20% 42.9%
2/4/2021 53.38 1.43% 107 0.22% 43.3%
2/5/2021 53.84 0.86% 108 0.22% 43.7%
2/8/2021 54.84 1.84% 109 0.27% 44.1%
2/9/2021 54.76 -0.15% 110 0.30% 44.5%
2/10/2021 54.99 0.42% 111 0.32% 44.9%
2/11/2021 55.94 1.71% 112 0.33% 45.3%
2/12/2021 55.95 0.02% 113 0.34% 45.7%
2/15/2021 56.26 0.55% 114 0.34% 46.2%
2/16/2021 56.34 0.14% 115 0.35% 46.6%
2/17/2021 56.74 0.71% 116 0.35% 47.0%
2/18/2021 57.03 0.51% 117 0.36% 47.4%
2/19/2021 56.62 -0.72% 118 0.37% 47.8%
2/22/2021 55.97 -1.15% 119 0.37% 48.2%
2/23/2021 56.31 0.61% 120 0.37% 48.6%
2/24/2021 56.95 1.13% 121 0.37% 49.0%
2/25/2021 57.5 0.96% 122 0.38% 49.4%
2/26/2021 56.91 -1.03% 123 0.39% 49.8%
3/1/2021 58.11 2.09% 124 0.40% 50.2% 99%
3/2/2021 59.29 2.01% 125 0.41% 50.6%
3/3/2021 59.9 1.02% 126 0.41% 51.0%
3/4/2021 60.39 0.81% 127 0.41% 51.4%
3/5/2021 59.33 -1.77% 128 0.42% 51.8%
3/8/2021 59.54 0.35% 129 0.42% 52.2%
3/9/2021 59.55 0.02% 130 0.43% 52.6%
3/10/2021 60.17 1.04% 131 0.44% 53.0%
3/12/2021 60.27 0.17% 132 0.44% 53.4%
3/15/2021 59.94 -0.55% 133 0.44% 53.8%
3/16/2021 60.2 0.43% 134 0.45% 54.3%
3/17/2021 58.79 -2.37% 135 0.47% 54.7%
3/18/2021 57.95 -1.44% 136 0.48% 55.1%
3/19/2021 58.3 0.60% 137 0.48% 55.5%
3/22/2021 58.56 0.44% 138 0.49% 55.9%
3/23/2021 59.09 0.90% 139 0.50% 56.3%
3/24/2021 58.19 -1.53% 140 0.51% 56.7%
3/25/2021 57.1 -1.89% 141 0.51% 57.1%
3/26/2021 57.88 1.36% 142 0.52% 57.5%
3/30/2021 58.65 1.32% 143 0.53% 57.9%
3/31/2021 59.15 0.85% 144 0.53% 58.3%
4/1/2021 60.12 1.63% 145 0.54% 58.7%
4/5/2021 59.28 -1.41% 146 0.55% 59.1%
4/6/2021 59.77 0.82% 147 0.55% 59.5%
4/7/2021 60.56 1.31% 148 0.55% 59.9%
4/8/2021 61.11 0.90% 149 0.56% 60.3%
4/9/2021 61.36 0.41% 150 0.57% 60.7%
4/12/2021 58.47 -4.82% 151 0.60% 61.1%
4/13/2021 59.19 1.22% 152 0.61% 61.5%
4/15/2021 59.02 -0.29% 153 0.61% 61.9%
4/16/2021 59.69 1.13% 154 0.62% 62.3%
4/19/2021 58.97 -1.21% 155 0.62% 62.8%
4/20/2021 59.27 0.51% 156 0.63% 63.2%
4/22/2021 59.71 0.74% 157 0.64% 63.6%
4/23/2021 59.96 0.42% 158 0.66% 64.0%
4/26/2021 60.47 0.85% 159 0.67% 64.4%
4/27/2021 61.2 1.20% 160 0.68% 64.8%
4/28/2021 61.88 1.10% 161 0.68% 65.2%
4/29/2021 62.12 0.39% 162 0.68% 65.6%
4/30/2021 62.14 0.03% 163 0.68% 66.0%
5/3/2021 63.34 1.91% 164 0.69% 66.4%
5/4/2021 62.82 -0.82% 165 0.69% 66.8%
5/5/2021 63.35 0.84% 166 0.71% 67.2%
5/6/2021 63.57 0.35% 167 0.72% 67.6%
5/7/2021 63.4 -0.27% 168 0.72% 68.0%
5/10/2021 63.92 0.82% 169 0.73% 68.4%
5/11/2021 64.26 0.53% 170 0.74% 68.8%
5/12/2021 64.06 -0.31% 171 0.74% 69.2%
5/14/2021 63.45 -0.96% 172 0.74% 69.6%
5/17/2021 64.46 1.58% 173 0.75% 70.0%
5/18/2021 65.18 1.11% 174 0.76% 70.4%
5/19/2021 65.65 0.72% 175 0.76% 70.9%
5/20/2021 65.86 0.32% 176 0.79% 71.3%
5/21/2021 65.99 0.20% 177 0.81% 71.7%
5/24/2021 66.45 0.69% 178 0.82% 72.1%
5/25/2021 66.45 0.00% 179 0.82% 72.5%
5/26/2021 66.83 0.57% 180 0.82% 72.9%
5/27/2021 67.34 0.76% 181 0.84% 73.3%
5/28/2021 67.16 -0.27% 182 0.85% 73.7%
5/31/2021 67.39 0.34% 183 0.85% 74.1%
6/1/2021 66.91 -0.71% 184 0.86% 74.5%
6/2/2021 67.64 1.09% 185 0.87% 74.9%
6/3/2021 68.31 0.99% 186 0.89% 75.3%
6/4/2021 68.76 0.66% 187 0.90% 75.7%
6/7/2021 69.61 1.23% 188 0.90% 76.1%
6/8/2021 70.39 1.11% 189 0.93% 76.5%
6/9/2021 69.71 -0.97% 190 0.95% 76.9%
6/10/2021 70.6 1.27% 191 0.96% 77.3%
6/11/2021 70.84 0.34% 192 0.96% 77.7%
6/14/2021 70.83 -0.01% 193 0.98% 78.1%
6/15/2021 71.09 0.37% 194 0.99% 78.5%
6/16/2021 70.55 -0.76% 195 0.99% 78.9%
6/17/2021 70.29 -0.37% 196 0.99% 79.4%
6/18/2021 69.68 -0.87% 197 0.99% 79.8%
6/21/2021 69.94 0.37% 198 0.99% 80.2%
6/22/2021 70.45 0.73% 199 1.02% 80.6%
6/23/2021 70.44 -0.01% 200 1.02% 81.0%
6/24/2021 70.35 -0.13% 201 1.04% 81.4%
6/25/2021 70.73 0.54% 202 1.04% 81.8%
6/28/2021 71.01 0.40% 203 1.06% 82.2%
6/29/2021 71.13 0.17% 204 1.07% 82.6%
6/30/2021 71.84 0.99% 205 1.09% 83.0%
7/1/2021 72.32 0.67% 206 1.10% 83.4%
7/2/2021 73.17 1.17% 207 1.10% 83.8%
7/5/2021 73.87 0.95% 208 1.10% 84.2%
7/6/2021 73.52 -0.47% 209 1.11% 84.6%
7/7/2021 73.85 0.45% 210 1.11% 85.0%
7/8/2021 73.72 -0.18% 211 1.13% 85.4%
7/9/2021 74.02 0.41% 212 1.13% 85.8%
7/12/2021 74.39 0.50% 213 1.15% 86.2%
7/13/2021 75.12 0.98% 214 1.17% 86.6%
7/14/2021 75.4 0.37% 215 1.20% 87.0%
7/15/2021 75.87 0.62% 216 1.22% 87.4%
7/16/2021 76.36 0.64% 217 1.23% 87.9%
7/19/2021 76.21 -0.20% 218 1.27% 88.3%
7/20/2021 75.24 -1.28% 219 1.30% 88.7%
7/22/2021 76.26 1.35% 220 1.31% 89.1%
7/23/2021 76.43 0.22% 221 1.32% 89.5%
7/26/2021 76.72 0.38% 222 1.35% 89.9%
7/27/2021 76.56 -0.21% 223 1.35% 90.3%
7/28/2021 76.25 -0.41% 224 1.36% 90.7%
7/29/2021 77.03 1.02% 225 1.40% 91.1%
7/30/2021 77.24 0.27% 226 1.41% 91.5%
8/2/2021 77.81 0.74% 227 1.43% 91.9%
8/3/2021 78.19 0.49% 228 1.58% 92.3%
8/4/2021 77.22 -1.25% 229 1.59% 92.7%
8/5/2021 77.2 -0.03% 230 1.63% 93.1%
8/6/2021 77.14 -0.08% 231 1.63% 93.5%
8/9/2021 76.81 -0.43% 232 1.71% 93.9%
8/10/2021 75.44 -1.80% 233 1.74% 94.3%
8/11/2021 75.09 -0.47% 234 1.74% 94.7%
8/12/2021 76.58 1.96% 235 1.82% 95.1%
8/13/2021 76.71 0.17% 236 1.84% 95.5%
8/16/2021 76.22 -0.64% 237 1.91% 96.0%
8/17/2021 76.18 -0.05% 238 1.91% 96.4%
8/18/2021 75.98 -0.26% 239 1.94% 96.8%
8/20/2021 74.52 -1.94% 240 1.96% 97.2%
8/23/2021 73.58 -1.27% 241 2.01% 97.6%
8/24/2021 74.58 1.35% 242 2.09% 98.0%
8/25/2021 74.85 0.36% 243 2.17% 98.4%
8/26/2021 75.13 0.37% 244 2.37% 98.8%
8/27/2021 75.75 0.82% 245 2.45% 99.2%
8/30/2021 77.21 1.91% 246 2.52% 99.6%
8/31/2021 77.8 0.76% 247 4.47% 100.0%
UTATION BASED ON HISTORICAL METHOD)
HISTORICAL METHOD
Particulars NAV
Portfolio Value 583592000

PUT CAL

8/2/2021
Strike 1 7700 6200.5 244.8 1823.45
Strike 2 6200 6200.5 667.5 761.3
Strike 3 6000 6200.5 755.15 160
8/3/2021
Strike 1 7700 6331.9 244.8 1823.45
Strike 2 6200 6331.9 667.5 761.3
Strike 3 6000 6331.9 755.15 135.2
8/4/2021
Strike 1 7700 6359.15 244.8 1823.45
Strike 2 6200 6359.15 667.5 761.3
Strike 3 6000 6359.15 755.15 112
8/5/2021
Strike 1 7700 6248.28 244.8 1823.45
Strike 2 6200 6248.28 667.5 761.3
Strike 3 6000 6248.28 755.15 123.35
8/6/2021
Strike 1 7700 6224.3 244.8 1823.45
Strike 2 6200 6224.3 667.5 761.3
Strike 3 6000 6224.3 755.15 138

91 day T bill 3.29%
Time 2 months
SD 0.023176
7700 6200.5 -22.3302409443742 -22.3397
8/2/2021 6200 6200.5 0.569892047550338 0.5604
6000 6200.5 4.03547431682001 4.0260
7700 6331.9 -20.1138612078017 -20.12332277018

8/3/2021 6200 6331.9 2.78627178412284 2.7768102217431
6000 6331.9 6.25185405339251 6.2423924910127
7700 6359.15 -19.6599856898192 -19.6694472522

8/4/2021 6200 6359.15 3.24014730210538 3.2306857397256
6000 6359.15 6.70572957137505 6.6962680089953
7700 6248.28 -21.518927589875 -21.52838915225

8/5/2021 6200 6248.28 1.38120540204955 1.3717438396698
8/5/2021
6000 6248.28 4.84678767131922 4.8373261089394
7700 6224.3 -21.9253340046795 -21.93479556706

8/6/2021 6200 6224.3 0.974798987245094 0.9653374248653
6000 6224.3 4.44038125651476 4.430919694135
Lower Boundary
Interest rate 3.29%
Strike Price Spot

Lower
price
Scope For arbitrage

7700 6200.5 0 Boundary

6200 6200.5 34.40 Boundary

6000 6200.5 233.31 Boundary
Strike Price Spot

Lower
price
Scope For arbitrage

7700 6331.9 0 Boundary

6200 6331.9 165.80 Boundary

6000 6331.9 364.71 Boundary
Strike Price Spot

Lower
price
Scope For arbitrage

7700 6359.15 0 Boundary

6200 6359.15 193.05 Boundary

6000 6359.15 391.96 Boundary
Strike Price Spot

Lower
price
Scope For arbitrage

7700 6248.28 0 Boundary

6200 6248.28 82.18 Boundary

6000 6248.28 281.09 Boundary
Strike Price Spot

Lower
price
Scope For arbitrage

7700 6224.3 0 Boundary

6200 6224.3 58.20 Boundary

6000 6224.3 257.11 Boundary
PUT CALL PARITY -BAJAJ FINANCE
6000
OTM ITM 7902.69 8023.95

ATM ATM 6833.60 6961.8
ITM OTM 6722.34 6360.50
OTM ITM 7902.69 8155.35

ATM ATM 6833.60 7093.20
ITM OTM 6722.34 6467.10
OTM ITM 7902.69 8182.6

ATM ATM 6833.60 7120.45
ITM OTM 6722.34 6471.15
OTM ITM 7902.69 8071.73

ATM ATM 6833.60 7009.58
ITM OTM 6722.34 6371.63
OTM ITM 7902.69 8047.75

ATM ATM 6833.60 6985.6
ITM OTM 6722.34 6362.3
BLACK & SCHOLES
- D1 - D2 N(D1) N(D2)
22.330240944374 22.339702506754 9.39557765774985E-111 7.60262398612916E-111
-0.56989204755 -0.560430485170547 0.715624540527035 0.712407078605855
-4.03547431682 -4.02601275444022 0.999972753949735 0.999971634693468
20.113861207802 20.1233227701815 2.79029581862255E-90 2.30556625813002E-90

-2.786271784123 -2.77681022174305 0.997334092647855 0.99725523894878
-6.251854053393 -6.24239249101272 0.999999999797196 0.999999999784536
19.659985689819 19.669447252199 2.37430489437845E-86 1.97026310524483E-86

-3.240147302105 -3.23068573972559 0.999402660169286 0.999382531813528
-6.705729571375 -6.69626800899526 0.99999999998998 0.99999999998931
21.518927589875 21.5283891522548 5.17646734650778E-103 4.22085492552132E-103

-1.38120540205 -1.37174383966976 0.916392092862729 0.914928402139062
-4.846787671319 -4.83732610893942 0.99999937261703 0.999999342012874
21.92533400468 21.9347955670592 7.44705411687589E-107 6.04901948907268E-107

-0.974798987245 -0.965337424865303 0.835170010207134 0.832812083755841
-4.440381256515 -4.43091969413497 0.999995510017814 0.999995308398439
Put Option 8/2/2021
Put Option 8/3/2021
Put Option 8/4/2021

Put Option 8/5/2021
Put Option 8/6/2021







1 1 2.45758542457981E-110 1459.0532699
0.284375459472965 0.287592921394145 43.5073915617704 10.439894583
2.72460502653E-05 2.8365306532238E-05 232.017291277223 0.0003587171
1 1 8.26652254875309E-90 1327.6532699
0.00266590735215 0.0027447610512195 164.515366736095 0.0478697573
2.02804175324E-10 2.1546398112134E-10 363.41693256201 1.857365E-09
1 1 7.22575878271692E-86 1300.4032699
0.00059733983071 0.0006174681864717 191.727116757163 0.0096197783
1.00201278166E-11 1.0690472123447E-11 390.666932560239 8.640605E-11
1 1 1.41542453668015E-102 1411.2732699
0.08360790713727 0.085071597860938 83.1152207026535 2.2677237238
6.27382969686E-07 6.5798712542096E-07 279.796939680707 7.120555E-06
1 1 1.99119325716492E-106 1435.2532699
0.164829989792866 0.167187916244159 62.0363802676957 5.1688832889
4.489982186E-06 4.6916015611239E-06 255.816987308509 5.474836E-05
8/2/2021
ope For Arbitrage
8/3/2021
ope For Arbitrage
8/4/2021
ope For Arbitrage

8/5/2021
ope For Arbitrage
8/6/2021
ope For Arbitrage

SBI Focused Equity Fund Regular-Growth (VAR COMPUTATION BASED ON HISTO
9/1/2020 150.5
9/2/2020 151.76 0.83% 1 -2.84% 0.4%
9/3/2020 151.77 0.01% 2 -2.66% 0.8% 1%
9/4/2020 149.42 -1.56% 3 -2.60% 1.2%
9/7/2020 148.16 -0.85% 4 -2.26% 1.6%
9/8/2020 146.72 -0.98% 5 -2.19% 2.0%
9/9/2020 145.98 -0.51% 6 -1.71% 2.4%
9/10/2020 146.86 0.60% 7 -1.59% 2.8%
9/11/2020 147.24 0.26% 8 -1.56% 3.2%

9/14/2020 147.56 0.22% 9 -1.41% 3.6%
9/15/2020 148.68 0.76% 10 -1.38% 4.0%
9/16/2020 149.04 0.24% 11 -1.27% 4.5%
9/17/2020 147.9 -0.77% 12 -1.26% 4.9%
9/18/2020 147.24 -0.45% 13 -1.13% 5.3%
9/21/2020 143.46 -2.60% 14 -1.12% 5.7%
9/22/2020 141.49 -1.38% 15 -1.07% 6.1%
9/23/2020 141.06 -0.30% 16 -1.02% 6.5%
9/24/2020 137.36 -2.66% 17 -1.01% 6.9%
9/25/2020 140.22 2.06% 18 -1.00% 7.3%
9/28/2020 142.97 1.94% 19 -0.98% 7.7%
9/29/2020 143.23 0.18% 20 -0.98% 8.1%
9/30/2020 143.13 -0.07% 21 -0.98% 8.5%
10/1/2020 144.72 1.10% 22 -0.94% 8.9%
10/5/2020 144.73 0.01% 23 -0.92% 9.3%
10/6/2020 146.16 0.98% 24 -0.90% 9.7%
10/7/2020 145.88 -0.19% 25 -0.87% 10.1%
10/8/2020 145.67 -0.14% 26 -0.85% 10.5%
10/9/2020 146.37 0.48% 27 -0.83% 10.9%
10/12/2020 145.82 -0.38% 28 -0.81% 11.3%
10/13/2020 145.57 -0.17% 29 -0.80% 11.7%
10/14/2020 146.1 0.36% 30 -0.78% 12.1%
10/15/2020 143.62 -1.71% 31 -0.77% 12.6%
10/16/2020 145.32 1.18% 32 -0.77% 13.0%
10/19/2020 146.47 0.79% 33 -0.75% 13.4%
10/20/2020 146.03 -0.30% 34 -0.75% 13.8%
10/21/2020 146.32 0.20% 35 -0.69% 14.2%
10/22/2020 147.32 0.68% 36 -0.61% 14.6%
10/23/2020 147.83 0.35% 37 -0.58% 15.0%
10/26/2020 147.12 -0.48% 38 -0.57% 15.4%
10/27/2020 149.62 1.69% 39 -0.56% 15.8%
10/28/2020 148.76 -0.58% 40 -0.56% 16.2%
10/29/2020 147.73 -0.69% 41 -0.53% 16.6%
10/30/2020 147.52 -0.14% 42 -0.51% 17.0%
11/2/2020 147.89 0.25% 43 -0.49% 17.4%
11/3/2020 148.29 0.27% 44 -0.48% 17.8%
11/4/2020 150.27 1.33% 45 -0.46% 18.2%
11/5/2020 152.99 1.79% 46 -0.45% 18.6%
11/6/2020 155.26 1.47% 47 -0.45% 19.0%
11/9/2020 157.34 1.33% 48 -0.43% 19.4%
11/10/2020 158.66 0.84% 49 -0.43% 19.8%
11/11/2020 158.71 0.03% 50 -0.42% 20.2%
11/12/2020 158.59 -0.08% 51 -0.39% 20.6%
11/13/2020 159.44 0.53% 52 -0.38% 21.1%
11/17/2020 161.35 1.19% 53 -0.38% 21.5%
11/18/2020 162.78 0.88% 54 -0.38% 21.9%
11/19/2020 160.96 -1.12% 55 -0.36% 22.3%
11/20/2020 164.22 2.01% 56 -0.36% 22.7%
11/23/2020 165.34 0.68% 57 -0.33% 23.1%
11/24/2020 166.18 0.51% 58 -0.33% 23.5%
11/25/2020 164.1 -1.26% 59 -0.31% 23.9%
11/26/2020 165.86 1.07% 60 -0.30% 24.3%
11/27/2020 166.59 0.44% 61 -0.30% 24.7%
12/1/2020 168.11 0.91% 62 -0.29% 25.1%
12/2/2020 168.42 0.18% 63 -0.28% 25.5%
12/3/2020 169.76 0.79% 64 -0.26% 25.9%
12/4/2020 170.08 0.19% 65 -0.24% 26.3%
12/7/2020 171.14 0.62% 66 -0.24% 26.7%
12/8/2020 171.36 0.13% 67 -0.23% 27.1%
12/9/2020 172.39 0.60% 68 -0.22% 27.5%
12/10/2020 171.86 -0.31% 69 -0.21% 27.9%
12/11/2020 171.81 -0.03% 70 -0.19% 28.3%
12/14/2020 172.04 0.13% 71 -0.17% 28.7%
12/15/2020 172.36 0.19% 72 -0.17% 29.1%
12/16/2020 173.87 0.87% 73 -0.16% 29.6%
12/17/2020 174.83 0.55% 74 -0.15% 30.0%
12/18/2020 174.47 -0.21% 75 -0.14% 30.4%
12/21/2020 170.57 -2.26% 76 -0.14% 30.8%
12/22/2020 171.3 0.43% 77 -0.12% 31.2%
12/23/2020 172.55 0.73% 78 -0.12% 31.6%
12/24/2020 174.15 0.92% 79 -0.12% 32.0%
12/28/2020 174.93 0.45% 80 -0.12% 32.4%
12/29/2020 175.13 0.11% 81 -0.10% 32.8%
12/30/2020 175.84 0.40% 82 -0.09% 33.2%
12/31/2020 175.78 -0.03% 83 -0.08% 33.6%
1/1/2021 176.48 0.40% 84 -0.08% 34.0%
1/4/2021 177.67 0.67% 85 -0.07% 34.4%
1/5/2021 178.67 0.56% 86 -0.07% 34.8%
1/6/2021 178.49 -0.10% 87 -0.06% 35.2%
1/7/2021 178.2 -0.16% 88 -0.06% 35.6%
1/8/2021 180.37 1.21% 89 -0.06% 36.0%
1/11/2021 180.21 -0.09% 90 -0.05% 36.4%
1/12/2021 180.29 0.04% 91 -0.05% 36.8%
1/13/2021 178.53 -0.98% 92 -0.04% 37.2%
1/14/2021 178.81 0.16% 93 -0.03% 37.7%
1/15/2021 177.93 -0.49% 94 -0.03% 38.1%
1/18/2021 176.46 -0.83% 95 -0.03% 38.5%
1/19/2021 179.07 1.47% 96 0.00% 38.9%
1/20/2021 179.95 0.49% 97 0.00% 39.3%
1/21/2021 179.2 -0.42% 98 0.00% 39.7%
1/22/2021 178.39 -0.45% 99 0.00% 40.1%
1/25/2021 177 -0.78% 100 0.01% 40.5%
1/27/2021 174.77 -1.27% 101 0.01% 40.9%
1/28/2021 172.32 -1.41% 102 0.01% 41.3%
1/29/2021 171.04 -0.75% 103 0.03% 41.7%
2/1/2021 174.96 2.27% 104 0.03% 42.1%
2/2/2021 179.14 2.36% 105 0.04% 42.5%
2/3/2021 181.05 1.06% 106 0.04% 42.9%
2/4/2021 184.52 1.90% 107 0.07% 43.3%
2/5/2021 185.9 0.75% 108 0.08% 43.7%
2/8/2021 187.02 0.60% 109 0.09% 44.1%
2/9/2021 186.71 -0.17% 110 0.10% 44.5%
2/10/2021 187.52 0.43% 111 0.10% 44.9%
2/11/2021 188.25 0.39% 112 0.11% 45.3%
2/12/2021 188.19 -0.03% 113 0.12% 45.7%
2/15/2021 189.91 0.91% 114 0.13% 46.2%
2/16/2021 190.96 0.55% 115 0.13% 46.6%
2/17/2021 190.53 -0.23% 116 0.13% 47.0%
2/18/2021 190.73 0.10% 117 0.14% 47.4%
2/19/2021 189.07 -0.87% 118 0.16% 47.8%
2/22/2021 187.05 -1.07% 119 0.16% 48.2%
2/23/2021 186.93 -0.06% 120 0.17% 48.6%
2/24/2021 189.05 1.13% 121 0.18% 49.0%
2/25/2021 189.95 0.47% 122 0.18% 49.4%
2/26/2021 185.84 -2.19% 123 0.18% 49.8%
3/1/2021 186.2 0.19% 124 0.18% 50.2% 99%
3/2/2021 188.76 1.37% 125 0.19% 50.6%
3/3/2021 191.39 1.38% 126 0.19% 51.0%
3/4/2021 191.72 0.17% 127 0.19% 51.4%
3/5/2021 190.63 -0.57% 128 0.19% 51.8%
3/8/2021 190.71 0.04% 129 0.20% 52.2%
3/9/2021 190.62 -0.05% 130 0.20% 52.6%
3/10/2021 191.61 0.52% 131 0.22% 53.0%
3/12/2021 190.86 -0.39% 132 0.22% 53.4%
3/15/2021 188.97 -1.00% 133 0.22% 53.8%
3/16/2021 189.19 0.12% 134 0.23% 54.3%
3/17/2021 187.07 -1.13% 135 0.24% 54.7%
3/18/2021 185.39 -0.90% 136 0.25% 55.1%
3/19/2021 186.28 0.48% 137 0.25% 55.5%
3/22/2021 185.58 -0.38% 138 0.26% 55.9%
3/23/2021 186.85 0.68% 139 0.27% 56.3%
3/24/2021 185.02 -0.98% 140 0.28% 56.7%
3/25/2021 182.1 -1.59% 141 0.30% 57.1%
3/26/2021 184.87 1.51% 142 0.31% 57.5%
3/30/2021 187.88 1.62% 143 0.34% 57.9%
3/31/2021 187.08 -0.43% 144 0.35% 58.3%
4/1/2021 188.32 0.66% 145 0.35% 58.7%
4/5/2021 186.56 -0.94% 146 0.35% 59.1%
4/6/2021 187.84 0.68% 147 0.35% 59.5%
4/7/2021 189.29 0.77% 148 0.36% 59.9%
4/8/2021 190.25 0.51% 149 0.36% 60.3%
4/9/2021 190.14 -0.06% 150 0.38% 60.7%
4/12/2021 184.82 -2.84% 151 0.39% 61.1%
4/13/2021 186.59 0.95% 152 0.40% 61.5%
4/15/2021 187.24 0.35% 153 0.40% 61.9%
4/16/2021 188.8 0.83% 154 0.40% 62.3%
4/19/2021 186.88 -1.02% 155 0.41% 62.8%
4/20/2021 186.47 -0.22% 156 0.43% 63.2%
4/22/2021 187.31 0.45% 157 0.43% 63.6%
4/23/2021 187.09 -0.12% 158 0.43% 64.0%
4/26/2021 187.91 0.44% 159 0.44% 64.4%
4/27/2021 189.34 0.76% 160 0.44% 64.8%
4/28/2021 191.75 1.26% 161 0.45% 65.2%
4/29/2021 192.05 0.16% 162 0.45% 65.6%
4/30/2021 191.42 -0.33% 163 0.47% 66.0%
5/3/2021 192.15 0.38% 164 0.48% 66.4%
5/4/2021 191.14 -0.53% 165 0.48% 66.8%
5/5/2021 191.29 0.08% 166 0.48% 67.2%
5/6/2021 191.34 0.03% 167 0.49% 67.6%
5/7/2021 191.91 0.30% 168 0.51% 68.0%
5/10/2021 193.96 1.06% 169 0.51% 68.4%
5/11/2021 193.13 -0.43% 170 0.51% 68.8%
5/12/2021 192.24 -0.46% 171 0.52% 69.2%
5/14/2021 190.7 -0.80% 172 0.52% 69.6%
5/17/2021 192.23 0.80% 173 0.52% 70.0%
5/18/2021 195.61 1.74% 174 0.53% 70.4%
5/19/2021 196.46 0.43% 175 0.53% 70.9%
5/20/2021 195 -0.75% 176 0.55% 71.3%
5/21/2021 196.95 1.00% 177 0.55% 71.7%
5/24/2021 197.3 0.18% 178 0.56% 72.1%
5/25/2021 198.67 0.69% 179 0.60% 72.5%
5/26/2021 198.69 0.01% 180 0.60% 72.9%
5/27/2021 199.07 0.19% 181 0.60% 73.3%
5/28/2021 199.69 0.31% 182 0.60% 73.7%
5/31/2021 202.14 1.22% 183 0.60% 74.1%
6/1/2021 201.65 -0.24% 184 0.60% 74.5%
6/2/2021 203.44 0.88% 185 0.62% 74.9%
6/3/2021 205.21 0.87% 186 0.66% 75.3%
6/4/2021 204.54 -0.33% 187 0.67% 75.7%
6/7/2021 206.03 0.73% 188 0.68% 76.1%
6/8/2021 206.6 0.28% 189 0.68% 76.5%
6/9/2021 206.45 -0.07% 190 0.68% 76.9%
6/10/2021 209.11 1.28% 191 0.68% 77.3%
6/11/2021 209.03 -0.04% 192 0.69% 77.7%
6/14/2021 209.41 0.18% 193 0.73% 78.1%
6/15/2021 210.5 0.52% 194 0.73% 78.5%
6/16/2021 209.32 -0.56% 195 0.75% 78.9%
6/17/2021 208.05 -0.61% 196 0.76% 79.4%
6/18/2021 208.05 0.00% 197 0.76% 79.8%
6/21/2021 208.04 0.00% 198 0.77% 80.2%
6/22/2021 208.04 0.00% 199 0.79% 80.6%
6/23/2021 207.91 -0.06% 200 0.79% 81.0%
6/24/2021 207.91 0.00% 201 0.80% 81.4%
6/25/2021 208.97 0.51% 202 0.83% 81.8%
6/28/2021 209.39 0.20% 203 0.83% 82.2%
6/29/2021 209.13 -0.12% 204 0.84% 82.6%
6/30/2021 209.66 0.25% 205 0.87% 83.0%
7/1/2021 209.85 0.09% 206 0.87% 83.4%
7/2/2021 209.25 -0.29% 207 0.88% 83.8%
7/5/2021 210.25 0.48% 208 0.88% 84.2%
7/6/2021 209.74 -0.24% 209 0.91% 84.6%
7/7/2021 211.94 1.04% 210 0.91% 85.0%
7/8/2021 214.17 1.05% 211 0.92% 85.4%
7/9/2021 213.4 -0.36% 212 0.92% 85.8%
7/12/2021 214.69 0.60% 213 0.95% 86.2%
7/13/2021 213.04 -0.77% 214 0.98% 86.6%
7/14/2021 213.25 0.10% 215 1.00% 87.0%
7/15/2021 214.39 0.53% 216 1.04% 87.4%
7/16/2021 215.26 0.40% 217 1.04% 87.9%
7/19/2021 215.74 0.22% 218 1.05% 88.3%
7/20/2021 215.57 -0.08% 219 1.06% 88.7%
7/22/2021 216.3 0.34% 220 1.06% 89.1%
7/23/2021 214.12 -1.01% 221 1.07% 89.5%
7/26/2021 212.16 -0.92% 222 1.10% 89.9%
7/27/2021 216.54 2.04% 223 1.13% 90.3%
7/28/2021 215.34 -0.56% 224 1.18% 90.7%
7/29/2021 215.49 0.07% 225 1.19% 91.1%
7/30/2021 214.68 -0.38% 226 1.21% 91.5%
8/2/2021 214.36 -0.15% 227 1.22% 91.9%
8/3/2021 215.24 0.41% 228 1.26% 92.3%
8/4/2021 216.02 0.36% 229 1.28% 92.7%
8/5/2021 216.78 0.35% 230 1.33% 93.1%
8/6/2021 218.08 0.60% 231 1.33% 93.5%
8/9/2021 218.58 0.23% 232 1.37% 93.9%
8/10/2021 219.35 0.35% 233 1.38% 94.3%
8/11/2021 218.78 -0.26% 234 1.47% 94.7%
8/12/2021 217.99 -0.36% 235 1.47% 95.1%
8/13/2021 218.46 0.22% 236 1.51% 95.5%
8/16/2021 217.86 -0.28% 237 1.62% 96.0%
8/17/2021 219.88 0.92% 238 1.69% 96.4%
8/18/2021 221.2 0.60% 239 1.74% 96.8%
8/20/2021 220.93 -0.12% 240 1.79% 97.2%
8/23/2021 220.83 -0.05% 241 1.90% 97.6%
8/24/2021 220.57 -0.12% 242 1.94% 98.0%
8/25/2021 218.79 -0.81% 243 2.01% 98.4%
8/26/2021 219.93 0.52% 244 2.04% 98.8%
8/27/2021 222.22 1.04% 245 2.06% 99.2%
8/30/2021 222.51 0.13% 246 2.27% 99.6%
8/31/2021 222.83 0.14% 247 2.36% 100.0%
UTATION BASED ON HISTORICAL METHOD)
HISTORICAL METHOD
Particulars NAV

For NAV -46320489
is Maximum loss that may occur in a day

with 99% of confidence level (CL) and for
1% CL it may go till -47836020.2
PUT CALL PARIT

8/2/2021
Strike 1 2500 2072.5 7.7 397.25
Strike 2 2100 2072.5 61.25 71
Strike 3 1800 2072.5 414.4 6.1
8/3/2021
Strike 1 2500 2087.75 8.45 397.25
Strike 2 2100 2087.75 68.25 65
Strike 3 1800 2087.75 414.4 5.75
8/4/2021
Strike 1 2500 2103.75 8.3 397.25
Strike 2 2100 2103.75 71.55 54
Strike 3 1800 2103.75 414.4 5
8/5/2021
Strike 1 2500 2134.25 8.2 397.25
Strike 2 2100 2134.25 91.4 40
Strike 3 1800 2134.25 414.4 3.9
8/6/2021
Strike 1 2500 2089.05 7.05 397.25
Strike 2 2100 2089.05 67.5 43.5
Strike 3 1800 2089.05 414.4 5.3

91 day T bill 3.29%
Time 2 months
SD 0.0128093211
2500 2072.5 -34.9030537519763 -34.9083
8/2/2021 2100 2072.5 -1.56195536251892 -1.5672
1800 2072.5 27.9158372234928 27.9106
2500 2087.75 -33.5011058674686 -33.50633525089

8/3/2021 2100 2087.75 -0.160007478011258 -0.165236861432
1800 2087.75 29.3177851080004 29.31255572458
2500 2103.75 -32.0411755358163 -32.04640491924

8/4/2021 2100 2103.75 1.29992285364108 1.2946934702204
1800 2103.75 30.7777154396528 30.772486056232
2500 2134.25 -29.2886846152798 -29.2939139987

8/5/2021 2100 2134.25 4.05241377417758 4.0471843907569
8/5/2021
1800 2134.25 33.5302063601893 33.524976976769
2500 2089.05 -33.3820696286242 -33.38729901204

8/6/2021 2100 2089.05 -0.040971239166843 -0.046200622588
1800 2089.05 29.4368213468449 29.431591963424
Lower Boundary
Interest rate 3.29%
Strike Price Spot

Lower
price
Scope For arbitrage

2500 2072.5 0 Boundary

2100 2072.5 0 Boundary

1800 2072.5 282.34 Boundary
Strike Price Spot

Lower
price
Scope For arbitrage

2500 2087.75 0 Boundary

2100 2087.75 0 Boundary

1800 2087.75 297.59 Boundary
Strike Price Spot

Lower
price
Scope For arbitrage

2500 2103.75 0 Boundary

2100 2103.75 15.23 Boundary

1800 2103.75 313.59 Boundary
Strike Price Spot

Lower
price
Scope For arbitrage

2500 2134.25 0 Boundary

2100 2134.25 45.73 Boundary

1800 2134.25 344.09 Boundary
Strike Price Spot

Lower
price
Scope For arbitrage

2500 2089.05 0 Boundary

2100 2089.05 0.53 Boundary

1800 2089.05 298.89 Boundary
PUT CALL PARITY -RELIANCE NDUSTRIES LIMITED
1800
OTM ITM 2494.03 2469.75

ATM ATM 2149.77 2143.5
ITM OTM 2204.56 2078.60
OTM ITM 2494.78 2485

ATM ATM 2156.77 2152.75
ITM OTM 2204.56 2093.50
OTM ITM 2494.63 2501

ATM ATM 2160.07 2157.75
ITM OTM 2204.56 2108.75
OTM ITM 2494.53 2531.5

ATM ATM 2179.92 2174.25
ITM OTM 2204.56 2138.15
OTM ITM 2493.38 2486.3

ATM ATM 2156.02 2132.55
ITM OTM 2204.56 2094.35
BLACK & SCHOLES
- D1 - D2 N(D1) N(D2)
34.903053751976 34.908283135397 3.34112365548431E-267 2.78325882546952E-267
1.5619553625189 1.56718474593959 0.0591492524163204 0.0585357574577836
-27.91583722349 -27.9106078400721 1 1
33.501105867469 33.5063352508893 2.32211797678851E-246 1.94861737500958E-246

0.1600074780113 0.165236861431928 0.436437591758287 0.434378776395496
-29.317785108 -29.3125557245798 1 1
32.041175535816 32.0464049192369 1.45680987395696E-225 1.23184972759903E-225

-1.299922853641 -1.29469347022041 0.90318629428853 0.902287003294144
-30.77771543965 -30.7724860562321 1 1
29.28868461528 29.2939139987005 7.22651706970213E-189 6.19909699533849E-189

-4.052413774178 -4.04718439075691 0.999974654045404 0.999974081296936
-33.53020636019 -33.5249769767686 1 1
33.382069628624 33.3872990120449 1.24810140937846E-244 1.04800237184862E-244

0.0409712391668 0.046200622587514 0.48365941221111 0.481575173126589
-29.43682134684 -29.4315919634242 1 1
Put Option 8/2/2021
2500 2072.5 413.83 Put Option is Underpriced - Arbitrage Possib
Put Option 8/3/2021
Put Option 8/4/2021

Put Option 8/5/2021
Put Option 8/6/2021







1 1 1.03561557801408E-267 415.03119798
0.94085074758368 0.941464242542216 0.274826418893397 17.301032724
8.5697642652E-172 9.918443808577E-172 281.477537453172 3.31921E-172
1 1 7.55292774718668E-247 399.78119798
0.563562408241713 0.565621223604504 3.52674545243519 5.3029517571
3.0772238176E-189 3.587681136696E-189 296.727537453172 1.14348E-189
1 1 4.99143709205264E-226 383.78119798
0.09681370571147 0.0977129967058557 14.7258276183054 0.5020339229
2.6039594915E-208 3.059151332578E-208 312.727537453172 9.28973E-209
1 1 2.74688079293939E-189 353.28119798
2.53459545958E-05 2.5918703064107E-05 44.7238569010565 6.320569E-05
8.7484448213E-247 1.042660046914E-246 343.227537453172 2.90729E-247
1 1 4.07653730007658E-245 398.48119798
0.51634058778889 0.518424826873411 4.1247505259222 4.6009568306
9.2830641973E-191 1.082969278897E-190 298.027537453172 3.43779E-191
8/2/2021
ope For Arbitrage
nderpriced - Arbitrage Possible
8/3/2021
ope For Arbitrage
8/4/2021
ope For Arbitrage

8/5/2021
ope For Arbitrage
8/6/2021
ope For Arbitrage

Axis Small Cap Regular-Growth (VAR COMPUTATION BASED ON HISTORICA
9/1/2020 32.27
9/2/2020 32.42 0.46% 1 -4.17% 0.4%
9/3/2020 32.61 0.58% 2 -3.22% 0.8% 1%
9/4/2020 32.22 -1.20% 3 -2.91% 1.2%
9/7/2020 32.14 -0.25% 4 -2.17% 1.6%
9/8/2020 31.8 -1.06% 5 -1.86% 2.0%
9/9/2020 31.47 -1.04% 6 -1.65% 2.4%
9/10/2020 31.94 1.48% 7 -1.65% 2.8%
9/11/2020 32.14 0.62% 8 -1.64% 3.2%

9/14/2020 33.91 5.36% 9 -1.57% 3.6%
9/15/2020 34.24 0.97% 10 -1.49% 4.0%
9/16/2020 34.27 0.09% 11 -1.40% 4.5%
9/17/2020 34.3 0.09% 12 -1.35% 4.9%
9/18/2020 34.15 -0.44% 13 -1.33% 5.3%
9/21/2020 33.17 -2.91% 14 -1.32% 5.7%
9/22/2020 32.63 -1.64% 15 -1.25% 6.1%
9/23/2020 32.59 -0.12% 16 -1.24% 6.5%
9/24/2020 31.89 -2.17% 17 -1.21% 6.9%
9/25/2020 32.46 1.77% 18 -1.20% 7.3%
9/28/2020 33.13 2.04% 19 -1.20% 7.7%
9/29/2020 33.05 -0.24% 20 -1.13% 8.1%
9/30/2020 33.18 0.39% 21 -1.06% 8.5%
10/1/2020 33.35 0.51% 22 -1.06% 8.9%
10/5/2020 33.47 0.36% 23 -1.05% 9.3%
10/6/2020 33.62 0.45% 24 -1.04% 9.7%
10/7/2020 33.47 -0.45% 25 -0.95% 10.1%
10/8/2020 33.53 0.18% 26 -0.90% 10.5%
10/9/2020 33.57 0.12% 27 -0.84% 10.9%
10/12/2020 33.68 0.33% 28 -0.84% 11.3%
10/13/2020 33.69 0.03% 29 -0.77% 11.7%
10/14/2020 33.56 -0.39% 30 -0.77% 12.1%
10/15/2020 33.12 -1.32% 31 -0.76% 12.6%
10/16/2020 33.43 0.93% 32 -0.74% 13.0%
10/19/2020 33.59 0.48% 33 -0.70% 13.4%
10/20/2020 33.84 0.74% 34 -0.64% 13.8%
10/21/2020 33.92 0.24% 35 -0.62% 14.2%
10/22/2020 34.02 0.29% 36 -0.62% 14.6%
10/23/2020 34.19 0.50% 37 -0.62% 15.0%
10/26/2020 33.77 -1.24% 38 -0.60% 15.4%
10/27/2020 33.9 0.38% 39 -0.60% 15.8%
10/28/2020 33.84 -0.18% 40 -0.57% 16.2%
10/29/2020 33.59 -0.74% 41 -0.55% 16.6%
10/30/2020 33.7 0.33% 42 -0.46% 17.0%
11/2/2020 33.51 -0.57% 43 -0.45% 17.4%
11/3/2020 33.72 0.62% 44 -0.45% 17.8%
11/4/2020 33.9 0.53% 45 -0.44% 18.2%
11/5/2020 34.57 1.96% 46 -0.44% 18.6%
11/6/2020 34.62 0.14% 47 -0.44% 19.0%
11/9/2020 34.85 0.66% 48 -0.43% 19.4%
11/10/2020 34.56 -0.84% 49 -0.43% 19.8%
11/11/2020 34.55 -0.03% 50 -0.42% 20.2%
11/12/2020 34.86 0.89% 51 -0.39% 20.6%
11/13/2020 35.3 1.25% 52 -0.38% 21.1%
11/17/2020 36.32 2.85% 53 -0.33% 21.5%
11/18/2020 36.68 0.99% 54 -0.33% 21.9%
11/19/2020 36.52 -0.44% 55 -0.31% 22.3%
11/20/2020 36.7 0.49% 56 -0.30% 22.7%
11/23/2020 36.98 0.76% 57 -0.25% 23.1%
11/24/2020 37.25 0.73% 58 -0.24% 23.5%
11/25/2020 36.67 -1.57% 59 -0.24% 23.9%
11/26/2020 36.62 -0.14% 60 -0.23% 24.3%
11/27/2020 37.34 1.95% 61 -0.23% 24.7%
12/1/2020 37.58 0.64% 62 -0.22% 25.1%
12/2/2020 37.75 0.45% 63 -0.20% 25.5%
12/3/2020 38.02 0.71% 64 -0.18% 25.9%
12/4/2020 38.11 0.24% 65 -0.18% 26.3%
12/7/2020 38.42 0.81% 66 -0.16% 26.7%
12/8/2020 38.21 -0.55% 67 -0.16% 27.1%
12/9/2020 38.23 0.05% 68 -0.14% 27.5%
12/10/2020 37.94 -0.76% 69 -0.14% 27.9%
12/11/2020 37.96 0.05% 70 -0.14% 28.3%
12/14/2020 38.04 0.21% 71 -0.14% 28.7%
12/15/2020 38.23 0.50% 72 -0.12% 29.1%
12/16/2020 38.6 0.96% 73 -0.12% 29.6%
12/17/2020 38.54 -0.16% 74 -0.09% 30.0%
12/18/2020 38.47 -0.18% 75 -0.09% 30.4%
12/21/2020 37.25 -3.22% 76 -0.08% 30.8%
12/22/2020 37.53 0.75% 77 -0.07% 31.2%
12/23/2020 38.34 2.14% 78 -0.07% 31.6%
12/24/2020 38.7 0.93% 79 -0.06% 32.0%
12/28/2020 39.1 1.03% 80 -0.05% 32.4%
12/29/2020 39.15 0.13% 81 -0.04% 32.8%
12/30/2020 39.29 0.36% 82 -0.04% 33.2%
12/31/2020 39.28 -0.03% 83 -0.03% 33.6%
1/1/2021 39.54 0.66% 84 -0.03% 34.0%
1/4/2021 40.02 1.21% 85 -0.02% 34.4%
1/5/2021 40.4 0.95% 86 -0.02% 34.8%
1/6/2021 40.31 -0.22% 87 0.00% 35.2%
1/7/2021 40.66 0.86% 88 0.00% 35.6%
1/8/2021 40.98 0.78% 89 0.00% 36.0%
1/11/2021 40.93 -0.12% 90 0.00% 36.4%
1/12/2021 40.93 0.00% 91 0.02% 36.8%
1/13/2021 40.94 0.02% 92 0.03% 37.2%
1/14/2021 40.91 -0.07% 93 0.04% 37.7%
1/15/2021 40.42 -1.20% 94 0.04% 38.1%
1/18/2021 39.76 -1.65% 95 0.05% 38.5%
1/19/2021 40.47 1.77% 96 0.05% 38.9%
1/20/2021 40.74 0.66% 97 0.09% 39.3%
1/21/2021 40.4 -0.84% 98 0.09% 39.7%
1/22/2021 39.84 -1.40% 99 0.09% 40.1%
1/25/2021 39.36 -1.21% 100 0.10% 40.5%
1/27/2021 39.18 -0.46% 101 0.12% 40.9%
1/28/2021 38.88 -0.77% 102 0.13% 41.3%
1/29/2021 39.06 0.46% 103 0.14% 41.7%
2/1/2021 40 2.38% 104 0.14% 42.1%
2/2/2021 40.66 1.64% 105 0.15% 42.5%
2/3/2021 41.27 1.49% 106 0.16% 42.9%
2/4/2021 41.64 0.89% 107 0.16% 43.3%
2/5/2021 41.58 -0.14% 108 0.17% 43.7%
2/8/2021 42.22 1.53% 109 0.18% 44.1%
2/9/2021 42.08 -0.33% 110 0.18% 44.5%
2/10/2021 41.9 -0.43% 111 0.18% 44.9%
2/11/2021 42.25 0.83% 112 0.18% 45.3%
2/12/2021 42.41 0.38% 113 0.21% 45.7%
2/15/2021 42.41 0.00% 114 0.22% 46.2%
2/16/2021 42.47 0.14% 115 0.23% 46.6%
2/17/2021 42.45 -0.05% 116 0.24% 47.0%
2/18/2021 42.41 -0.09% 117 0.24% 47.4%
2/19/2021 42.14 -0.64% 118 0.24% 47.8%
2/22/2021 41.74 -0.95% 119 0.26% 48.2%
2/23/2021 41.96 0.53% 120 0.26% 48.6%
2/24/2021 42.12 0.38% 121 0.28% 49.0%
2/25/2021 42.23 0.26% 122 0.28% 49.4%
2/26/2021 42.07 -0.38% 123 0.29% 49.8%
3/1/2021 42.55 1.13% 124 0.32% 50.2% 99%
3/2/2021 42.87 0.75% 125 0.32% 50.6%
3/3/2021 43.31 1.02% 126 0.32% 51.0%
3/4/2021 43.47 0.37% 127 0.33% 51.4%
3/5/2021 43.08 -0.90% 128 0.33% 51.8%
3/8/2021 43.25 0.39% 129 0.36% 52.2%
3/9/2021 43.15 -0.23% 130 0.36% 52.6%
3/10/2021 43.47 0.74% 131 0.36% 53.0%
3/12/2021 43.61 0.32% 132 0.37% 53.4%
3/15/2021 43.75 0.32% 133 0.38% 53.8%
3/16/2021 43.83 0.18% 134 0.38% 54.3%
3/17/2021 43.25 -1.33% 135 0.38% 54.7%
3/18/2021 42.61 -1.49% 136 0.38% 55.1%
3/19/2021 42.86 0.59% 137 0.39% 55.5%
3/22/2021 43.17 0.72% 138 0.39% 55.9%
3/23/2021 43.27 0.23% 139 0.39% 56.3%
3/24/2021 42.69 -1.35% 140 0.42% 56.7%
3/25/2021 42.21 -1.13% 141 0.42% 57.1%
3/26/2021 42.8 1.39% 142 0.45% 57.5%
3/30/2021 43.51 1.65% 143 0.45% 57.9%
3/31/2021 43.8 0.66% 144 0.45% 58.3%
4/1/2021 44.24 1.00% 145 0.45% 58.7%
4/5/2021 43.69 -1.25% 146 0.45% 59.1%
4/6/2021 44.1 0.93% 147 0.46% 59.5%
4/7/2021 44.75 1.46% 148 0.46% 59.9%
4/8/2021 45.29 1.20% 149 0.47% 60.3%
4/9/2021 45.59 0.66% 150 0.48% 60.7%
4/12/2021 43.73 -4.17% 151 0.48% 61.1%
4/13/2021 44.09 0.82% 152 0.49% 61.5%
4/15/2021 43.96 -0.30% 153 0.49% 61.9%
4/16/2021 44.2 0.54% 154 0.50% 62.3%
4/19/2021 43.74 -1.05% 155 0.50% 62.8%
4/20/2021 43.78 0.09% 156 0.50% 63.2%
4/22/2021 44.01 0.52% 157 0.51% 63.6%
4/23/2021 44.27 0.59% 158 0.51% 64.0%
4/26/2021 44.53 0.59% 159 0.51% 64.4%
4/27/2021 45 1.05% 160 0.52% 64.8%
4/28/2021 45.58 1.28% 161 0.53% 65.2%
4/29/2021 45.87 0.63% 162 0.53% 65.6%
4/30/2021 45.85 -0.04% 163 0.53% 66.0%
5/3/2021 46.03 0.39% 164 0.54% 66.4%
5/4/2021 46.1 0.15% 165 0.58% 66.8%
5/5/2021 46.58 1.04% 166 0.58% 67.2%
5/6/2021 46.97 0.83% 167 0.59% 67.6%
5/7/2021 46.95 -0.04% 168 0.59% 68.0%
5/10/2021 47.07 0.26% 169 0.59% 68.4%
5/11/2021 47.27 0.42% 170 0.59% 68.8%
5/12/2021 46.98 -0.62% 171 0.62% 69.2%
5/14/2021 46.78 -0.43% 172 0.62% 69.6%
5/17/2021 47.72 1.99% 173 0.62% 70.0%
5/18/2021 48 0.59% 174 0.63% 70.4%
5/19/2021 48.23 0.48% 175 0.64% 70.9%
5/20/2021 48.53 0.62% 176 0.66% 71.3%
5/21/2021 48.79 0.53% 177 0.66% 71.7%
5/24/2021 49.22 0.88% 178 0.66% 72.1%
5/25/2021 49.14 -0.16% 179 0.66% 72.5%
5/26/2021 49.36 0.45% 180 0.66% 72.9%
5/27/2021 49.52 0.32% 181 0.67% 73.3%
5/28/2021 49.14 -0.77% 182 0.68% 73.7%
5/31/2021 49.13 -0.02% 183 0.68% 74.1%
6/1/2021 49.21 0.16% 184 0.71% 74.5%
6/2/2021 49.56 0.71% 185 0.71% 74.9%
6/3/2021 49.67 0.22% 186 0.72% 75.3%
6/4/2021 49.88 0.42% 187 0.73% 75.7%
6/7/2021 50.13 0.50% 188 0.74% 76.1%
6/8/2021 50.47 0.68% 189 0.74% 76.5%
6/9/2021 50.17 -0.60% 190 0.75% 76.9%
6/10/2021 50.57 0.79% 191 0.75% 77.3%
6/11/2021 50.71 0.28% 192 0.76% 77.7%
6/14/2021 50.48 -0.45% 193 0.78% 78.1%
6/15/2021 50.45 -0.06% 194 0.79% 78.5%
6/16/2021 50.24 -0.42% 195 0.79% 78.9%
6/17/2021 50.12 -0.24% 196 0.81% 79.4%
6/18/2021 50.12 0.00% 197 0.82% 79.8%
6/21/2021 49.9 -0.44% 198 0.83% 80.2%
6/22/2021 49.9 0.00% 199 0.83% 80.6%
6/23/2021 50.04 0.28% 200 0.86% 81.0%
6/24/2021 50.33 0.58% 201 0.86% 81.4%
6/25/2021 50.29 -0.08% 202 0.88% 81.8%
6/28/2021 50.38 0.18% 203 0.89% 82.2%
6/29/2021 50.57 0.38% 204 0.89% 82.6%
6/30/2021 51.1 1.04% 205 0.89% 83.0%
7/1/2021 51.18 0.16% 206 0.91% 83.4%
7/2/2021 52.05 1.69% 207 0.93% 83.8%
7/5/2021 52.1 0.10% 208 0.93% 84.2%
7/6/2021 52.73 1.20% 209 0.93% 84.6%
7/7/2021 53.21 0.91% 210 0.95% 85.0%
7/8/2021 53.3 0.17% 211 0.96% 85.4%
7/9/2021 53.55 0.47% 212 0.97% 85.8%
7/12/2021 53.5 -0.09% 213 0.99% 86.2%
7/13/2021 53.52 0.04% 214 1.00% 86.6%
7/14/2021 53.88 0.67% 215 1.00% 87.0%
7/15/2021 54.25 0.68% 216 1.02% 87.4%
7/16/2021 54.68 0.79% 217 1.03% 87.9%
7/19/2021 54.96 0.51% 218 1.04% 88.3%
7/20/2021 54.98 0.04% 219 1.04% 88.7%
7/22/2021 54.65 -0.60% 220 1.05% 89.1%
7/23/2021 54.47 -0.33% 221 1.08% 89.5%
7/26/2021 54.94 0.86% 222 1.13% 89.9%
7/27/2021 54.93 -0.02% 223 1.17% 90.3%
7/28/2021 55.2 0.49% 224 1.20% 90.7%
7/29/2021 55.45 0.45% 225 1.20% 91.1%
7/30/2021 55.11 -0.62% 226 1.21% 91.5%
8/2/2021 55.6 0.89% 227 1.25% 91.9%
8/3/2021 55.52 -0.14% 228 1.28% 92.3%
8/4/2021 55.77 0.45% 229 1.30% 92.7%
8/5/2021 55.87 0.18% 230 1.39% 93.1%
8/6/2021 55.48 -0.70% 231 1.46% 93.5%
8/9/2021 55.35 -0.23% 232 1.48% 93.9%
8/10/2021 55.55 0.36% 233 1.49% 94.3%
8/11/2021 55.47 -0.14% 234 1.53% 94.7%
8/12/2021 54.45 -1.86% 235 1.64% 95.1%
8/13/2021 54.34 -0.20% 236 1.65% 95.5%
8/16/2021 55.05 1.30% 237 1.69% 96.0%
8/17/2021 54.88 -0.31% 238 1.77% 96.4%
8/18/2021 54.54 -0.62% 239 1.77% 96.8%
8/20/2021 55.13 1.08% 240 1.95% 97.2%
8/23/2021 55.09 -0.07% 241 1.96% 97.6%
8/24/2021 54.19 -1.65% 242 1.99% 98.0%
8/25/2021 53.62 -1.06% 243 2.04% 98.4%
8/26/2021 54.25 1.17% 244 2.14% 98.8%
8/27/2021 54.53 0.51% 245 2.38% 99.2%
8/30/2021 54.66 0.24% 246 2.85% 99.6%
8/31/2021 55.21 1.00% 247 5.36% 100.0%
TION BASED ON HISTORICAL METHOD)
HISTORICAL METHOD
Particulars NAV

Option Data of Marico Limited
Date Expiry Date Spot Price Option Type Strike Price Moneyness Option
of options Premium
520 ITM 36
CE 550 NTM 15.55
580 OTM 6.1
30-Jul-21 30-Sep-21 546.70
580 ITM 44.4
PE 550 NTM 26.25
520 OTM 13.35
515 ITM 35.05
CE 540 NTM 15.15
565 OTM 17.95
3-Aug-21 30-Sep-21 543.90
565 ITM 28.1
PE 540 NTM 10.8
515 OTM 4.95
510 ITM 15.95
CE 525 NTM 9.6
540 OTM 4.75
10-Aug-21 30-Sep-21 520.6
540 ITM 24.25
PE 525 NTM 14.6
510 OTM 5.9
505 ITM 4.65
CE 520 NTM 6.15
535 OTM 2.7
16-Aug-21 30-Sep-21 515.35
535 ITM 23.55
PE 520 NTM 10
505 OTM 4.45
525 ITM 16.25
CE 535 NTM 9.65
545 OTM 5.55
20-Aug-21 30-Sep-21 537.9
545 ITM 11.9
PE 535 NTM 6.4
525 OTM 3.2
Additional Information :
Interest Rate (91Day T-Bill Rate) 3.30%
Dividend Yield of Marico Ltd. 1.34%
Time to Maturity 3 Months
Volatility(Standard Deviation) 1.54%
Lower Boundary for European Call and Put Option
Lower Lower Lower
Option Type Spot Price Boundary for Boundary for Boundary for Overpriced /
European Call European Call European Put Underpriced
Call Option 546.70 / Put
30.97 Option
30.97 Option Overpriced
Call Option 546.70 1.22 Not Executed Overpriced
Call Option 546.70 0 Not Executed Overpriced
Put Option 546.70 29 28.53468396 Overpriced
Put Option 546.70 0 0 Overpriced
Put Option 546.70 0.00 Not Executed Overpriced
Call Option 543.90 33.13 33.13 Overpriced
Put Option 543.90 0 Not Executed Overpriced
Call Option 515.35 14.50 14.50 Underpriced
Call Option 537.9 17.21 17.21 Underpriced
Put Option 537.9 0 Not Executed Overpriced
Formulas :
For European Call Option
S - Ke-rT When S ≥ K
Lower Boundary
Not Executed When S < K
For European Put Option
Ke-rT - S When S < K
Lower Boundary
Not Executed When S ≥ K
Put Call Parity
Value of Value of Observation for

Date Strike Price Portfolio 1 Portfolio 2 Portfolio 1
Underprice, Buy
520.00 521.83 560.05
Portfolio1
Overprice, Sell
30-Jul-21 550.00 589.88 578.95 Portfolio1
Overprice, Sell
580.00 601.48 559.05
Portfolio1
Underprice, Buy
515.00 528.72 548.85
Portfolio1
Overprice, Sell
3-Aug-21 540.00 563.66 536.55
Portfolio1
Overprice, Sell
565.00 571.16 530.20 Portfolio1
Underprice, Buy
510.00 510.56 526.50
Portfolio1
Overprice, Sell
10-Aug-21 525.00 544.94 520.00
Portfolio1
Overprice, Sell
540.00 550.16 521.50
Portfolio1
505.00 503.55 519.80 Underprice, Buy

Portfolio1
Underprice, Buy
16-Aug-21 520.00 539.28 554.15
Portfolio1
Underprice, Buy
535.00 540.60 547.55
Portfolio1
Underprice, Buy
525.00 526.24 541.10
Portfolio1
20-Aug-21 535.00 542.50 0.00 Overprice, Sell

Portfolio1
545.00 546.92 0.00 Overprice, Sell

Portfolio1
Formulas :
Portfolio 1:
Buy Call Option and cash equivalent of PV of Strike Price
Value of Portfolio 1 c + Ke-rT
Portfolio 2:
Buy Put Option and buy underlying asset
Value of Portfolio 1 p+S
Observation for
Portfolio 2 Date Option Type Spot Price Strike Price
Overprice, Sell Call Option 546.70 580.00

Portfolio2 Call Option 546.70 580.00
Underprice, Buy Call Option 546.70 550.00
Portfolio2 30-Jul-21
Put Option 546.70 520.00
Underprice, Buy Put Option 543.90 515.00
Portfolio2 Put Option 543.90 540.00
3-Aug-21
10-Aug-21
16-Aug-21
Overprice, Sell Put Option 537.90 525.00
20-Aug-21
Formulas :
Black and Scholes Model
Theoretical Option
d1 d2 Premium Theoretical Call Premium
-7.038734109 -7.046434109 0.00000000000056 0.00000000000056

-7.038734109 -7.046434109 0.00000000000056 0.00000000000056
-0.141354198 -0.149054198 1.39220564340778 1.39220564340778
7.14299212 7.13529212 0.00000000000026
7.730928671 7.723228671 0.00000000000000
1.574793749 1.567093749 0.10357674708701
-4.302685678 -4.310385678 0.00000748816972 0.00000748816972
-4.302685678 -4.310385678 0.00000748816972 0.00000748816972
1.574793749 1.567093749 6.64310462253889 6.64310462253889
7.730928671 7.723228671 0.00000000000000
3.311806733 3.304106733 0.00048870475109
-0.452808446 -0.460508446 2.68311259151830
-4.111363896 -4.119063896 0.00001735630476 0.00001735630476
-4.111363896 -4.119063896 0.00001735630476 0.00001735630476
-0.452808446 -0.460508446 0.84932024820765 0.84932024820765
3.311806733 3.304106733 0.00048870475109
3.274999637 3.267299637 0.00055625710506
-0.526348713 -0.534048713 2.85831479034493
-4.219587067 -4.227287067 0.00001046138802 0.00001046138802
-4.219587067 -4.227287067 0.00001046138802 0.00001046138802
-0.526348713 -0.534048713 0.75008237411345 0.75008237411345
3.274999637 3.267299637 0.00055625710506
3.792733985 3.785033985 0.00007284779230
1.342281478 1.334581478 0.17278264473615
-1.06278966 -1.07048966 0.30471124897230 0.30471124897230
-1.06278966 -1.07048966 0.30471124897230 0.30471124897230
1.342281478 1.334581478 5.68787044726713 5.68787044726713
3.792733985 3.785033985 0.00007284779230
116.7499699 116.7422699 0.00000000000000
122.7915303 122.7838303 0.00000000000000
Call Option Price, c = S x N(d1) – Ke-(r-q)T x N(d2)

Put Option Price, p = Ke-(r-q)T x N(-d2) – S x N(-d1)
Theoretical Put
Premium Overpriced / Underpriced
Overpriced
Overpriced
Overpriced
0.00000000000026 Overpriced
0.00000000000000 Overpriced
0.10357674708701 Overpriced
Overpriced
Overpriced
Overpriced
0.00000000000000 Overpriced
0.00048870475109 Overpriced
2.68311259151830 Overpriced
Overpriced
Overpriced
Overpriced
0.00048870475109 Overpriced
0.00055625710506 Overpriced
2.85831479034493 Overpriced
Overpriced
Overpriced
Overpriced
0.00055625710506 Overpriced
0.00007284779230 Overpriced
0.17278264473615 Overpriced
Overpriced
Overpriced
Overpriced
0.00007284779230 Overpriced
0.00000000000000 Underpriced
0.00000000000000 Underpriced
N(d1) – Ke-(r-q)T x N(d2)

)T
x N(-d2) – S x N(-d1)
PGIM INDIA LARGE CAPs
Cumulat
NAV Portfolio ive
Date (Rs.)
RETURNS Day
Returns Probabil
ity
01-Sep-20 262.87
02-Sep-20 264.985 0.0080136072 1 -3.47% 0.40% 1%

03-Sep-20 265.284 0.0011277296 2 -3.08% 0.81%
99%
04-Sep-20 260.945 -0.0164912931 3 -2.76% 1.21%
07-Sep-20 260.761 -0.0007053782 4 -2.71% 1.62%
08-Sep-20 259.942 -0.0031457498 5 -2.38% 2.02%
09-Sep-20 258.918 -0.00394712 6 -2.25% 2.43%
10-Sep-20 262.579 0.0140405799 7 -1.98% 2.83%
11-Sep-20 263.862 0.0048742501 8 -1.74% 3.24%
14-Sep-20 265.512 0.0062337982 9 -1.74% 3.64%
15-Sep-20 267.531 0.0075754101 10 -1.65% 4.05%
16-Sep-20 269.345 0.0067576383 11 -1.61% 4.45%
17-Sep-20 267.555 -0.0066679331 12 -1.58% 4.86%
18-Sep-20 266.953 -0.0022525397 13 -1.58% 5.26%
21-Sep-20 261.023 -0.0224640869 14 -1.54% 5.67%
22-Sep-20 258.873 -0.0082709321 15 -1.50% 6.07%
23-Sep-20 258.995 0.0004711625 16 -1.34% 6.48%
24-Sep-20 252.061 -0.0271376348 17 -1.16% 6.88%
25-Sep-20 257.618 0.0218067459 18 -1.15% 7.29%
28-Sep-20 261.799 0.0160991662 19 -1.12% 7.69%
29-Sep-20 262.487 0.0026245232 20 -1.11% 8.10%
30-Sep-20 262.668 0.0006893203 21 -1.10% 8.50%
01-Oct-20 265.742 0.011635036 22 -1.10% 8.91%
05-Oct-20 267.496 0.0065786997 23 -1.05% 9.31%
06-Oct-20 269.869 0.0088320431 24 -1.05% 9.72%
07-Oct-20 271.801 0.0071335248 25 -1.02% 10.12%
08-Oct-20 274.208 0.0088167616 26 -0.95% 10.53%
09-Oct-20 276 0.0065139232 27 -0.94% 10.93%
12-Oct-20 275.747 -0.0009170871 28 -0.90% 11.34%
13-Oct-20 275.696 -0.0001849693 29 -0.90% 11.74%
14-Oct-20 277.14 0.0052239843 30 -0.89% 12.15%
15-Oct-20 270.627 -0.0237813046 31 -0.85% 12.55%
16-Oct-20 272.589 0.0072236773 32 -0.84% 12.96%
19-Oct-20 274.367 0.0065014599 33 -0.83% 13.36%
20-Oct-20 275.2 0.0030314798 34 -0.79% 13.77%
21-Oct-20 275.739 0.0019566601 35 -0.75% 14.17%
22-Oct-20 275.017 -0.0026218522 36 -0.71% 14.57%
23-Oct-20 275.642 0.0022700084 37 -0.69% 14.98%
26-Oct-20 272.48 -0.0115377054 38 -0.67% 15.38%
27-Oct-20 275.165 0.0098057008 39 -0.66% 15.79%
28-Oct-20 272.116 -0.0111424718 40 -0.66% 16.19%
29-Oct-20 271.406 -0.0026125912 41 -0.64% 16.60%
30-Oct-20 270.199 -0.0044571302 42 -0.60% 17.00%
02-Nov-20 270.389 0.0007029383 43 -0.57% 17.41%
03-Nov-20 273.466 0.0113156368 44 -0.51% 17.81%
04-Nov-20 275.585 0.0077188113 45 -0.51% 18.22%
05-Nov-20 279.647 0.0146319826 46 -0.46% 18.62%
06-Nov-20 282.086 0.0086838955 47 -0.45% 19.03%
09-Nov-20 286.632 0.015987174 48 -0.40% 19.43%
10-Nov-20 289.228 0.0090161414 49 -0.40% 19.84%
11-Nov-20 291.147 0.0066129899 50 -0.39% 20.24%
12-Nov-20 290.675 -0.0016224897 51 -0.39% 20.65%
13-Nov-20 291.171 0.0017049189 52 -0.33% 21.05%
17-Nov-20 294.52 0.011436189 53 -0.31% 21.46%
18-Nov-20 295.523 0.0033997555 54 -0.30% 21.86%
19-Nov-20 292.218 -0.0112465689 55 -0.29% 22.27%
20-Nov-20 294.742 0.0086002983 56 -0.29% 22.67%
23-Nov-20 296.995 0.0076149062 57 -0.29% 23.08%
24-Nov-20 299.676 0.0089865874 58 -0.28% 23.48%
25-Nov-20 295.212 -0.0150081487 59 -0.26% 23.89%
26-Nov-20 297.468 0.0076129139 60 -0.26% 24.29%
27-Nov-20 298.27 0.0026924604 61 -0.26% 24.70%
01-Dec-20 301.169 0.0096724524 62 -0.26% 25.10%
02-Dec-20 300.768 -0.0013323655 63 -0.23% 25.51%
03-Dec-20 301.186 0.0013888107 64 -0.22% 25.91%
04-Dec-20 304.01 0.0093325815 65 -0.20% 26.32%
07-Dec-20 306.045 0.0066715544 66 -0.17% 26.72%
08-Dec-20 307.225 0.0038482282 67 -0.16% 27.13%
09-Dec-20 309.464 0.0072613905 68 -0.16% 27.53%
10-Dec-20 308.238 -0.0039695569 69 -0.16% 27.94%
11-Dec-20 309.088 0.0027538142 70 -0.15% 28.34%
14-Dec-20 310.109 0.0032978226 71 -0.15% 28.74%
15-Dec-20 309.653 -0.0014715329 72 -0.15% 29.15%
16-Dec-20 311.825 0.0069898173 73 -0.13% 29.55%
17-Dec-20 312.987 0.0037195231 74 -0.13% 29.96%
18-Dec-20 313.378 0.0012484735 75 -0.13% 30.36%
21-Dec-20 304.857 -0.0275673154 76 -0.12% 30.77%
22-Dec-20 307.992 0.0102309944 77 -0.11% 31.17%
23-Dec-20 311.785 0.0122400391 78 -0.09% 31.58%
24-Dec-20 314.55 0.0088291983 79 -0.09% 31.98%
28-Dec-20 317.692 0.009939314 80 -0.07% 32.39%
29-Dec-20 318.772 0.0033937537 81 -0.06% 32.79%
30-Dec-20 320.194 0.0044509484 82 -0.06% 33.20%
31-Dec-20 320.036 -0.0004935726 83 -0.05% 33.60%
01-Jan-202320.865 0.0025869845 84 -0.04% 34.01%
04-Jan-202324.255 0.0105097694 85 -0.04% 34.41%
05-Jan-202326.645 0.007343711 86 -0.02% 34.82%
06-Jan-202326.099 -0.001672938 87 0.00% 35.22%
07-Jan-202325.685 -0.0012703597 88 0.02% 35.63%
08-Jan-202330.508 0.0147002082 89 0.03% 36.03%
11-Jan-202333.225 0.0081870727 90 0.03% 36.44%
12-Jan-202334.629 0.004204518 91 0.04% 36.84%
13-Jan-202334.257 -0.0011122973 92 0.05% 37.25%
14-Jan-202335.146 0.0026560996 93 0.05% 37.65%
15-Jan-202331.491 -0.0109655978 94 0.05% 38.06%
18-Jan-202328.029 -0.0104986408 95 0.06% 38.46%
19-Jan-202332.724 0.0142112984 96 0.07% 38.87%
20-Jan-202335.286 0.0076705815 97 0.07% 39.27%
21-Jan-202333.592 -0.0050652096 98 0.07% 39.68%
22-Jan-202330.445 -0.0094784585 99 0.10% 40.08%
25-Jan-202327.5 -0.0089521758 100 0.10% 40.49%
27-Jan-202321.854 -0.0173900285 101 0.11% 40.89%
28-Jan-202318.991 -0.0089351374 102 0.11% 41.30%
29-Jan-202315.494 -0.0110232249 103 0.12% 41.70%
01-Feb-20 328.448 0.0402388657 104 0.12% 42.11%
02-Feb-20 335.402 0.0209512823 105 0.13% 42.51%
03-Feb-20 337.831 0.007215958 106 0.14% 42.91%
04-Feb-20 340.52 0.0079280906 107 0.15% 43.32%
05-Feb-20 339.757 -0.0022432048 108 0.15% 43.72%
08-Feb-20 345.322 0.0162466589 109 0.16% 44.13%
09-Feb-20 346.176 0.0024700012 110 0.17% 44.53%
10-Feb-20 347.088 0.0026310339 111 0.17% 44.94%
11-Feb-20 348.366 0.0036753011 112 0.18% 45.34%
12-Feb-20 349.381 0.002909366 113 0.18% 45.75%
15-Feb-20 352.396 0.008592526 114 0.19% 46.15%
16-Feb-20 351.483 -0.0025941973 115 0.19% 46.56%
17-Feb-20 350.569 -0.0026037972 116 0.19% 46.96%
18-Feb-20 348.969 -0.0045744557 117 0.20% 47.37%
19-Feb-20 345.417 -0.0102307102 118 0.23% 47.77%
22-Feb-20 338.629 -0.01984727 119 0.23% 48.18%
23-Feb-20 339.822 0.0035168383 120 0.24% 48.58%
24-Feb-20 345.318 0.0160437805 121 0.25% 48.99%
25-Feb-20 347.655 0.0067448771 122 0.25% 49.39%
26-Feb-20 337.113 -0.030792423 123 0.26% 49.80%
01-Mar-20341.992 0.0143691593 124 0.26% 50.20%
02-Mar-20345.924 0.0114317528 125 0.26% 50.61%
03-Mar-20352.192 0.0179573837 126 0.27% 51.01%
04-Mar-20351.184 -0.0028661788 127 0.27% 51.42%
05-Mar-20347.887 -0.0094325882 128 0.27% 51.82%
08-Mar-20348.051 0.0004713064 129 0.28% 52.23%
09-Mar-20350.218 0.006206797 130 0.29% 52.63%
10-Mar-20351.869 0.0047031295 131 0.29% 53.04%
12-Mar-20348.927 -0.008396216 132 0.30% 53.44%
15-Mar-20346.511 -0.0069481671 133 0.30% 53.85%
16-Mar-20347.326 0.002349256 134 0.31% 54.25%
17-Mar-20341.871 -0.0158303473 135 0.32% 54.66%
18-Mar-20337.924 -0.0116124548 136 0.33% 55.06%
19-Mar-20342.403 0.0131673878 137 0.33% 55.47%
22-Mar-20342.52 0.0003416442 138 0.33% 55.87%
23-Mar-20345.136 0.0076084921 139 0.34% 56.28%
24-Mar-20339.181 -0.0174046541 140 0.34% 56.68%
25-Mar-20333.762 -0.0161057241 141 0.35% 57.09%
26-Mar-20338.028 0.0127005682 142 0.35% 57.49%
30-Mar-20345.304 0.0212964562 143 0.36% 57.89%
31-Mar-20343.047 -0.0065577244 144 0.37% 58.30%
01-Apr-20 346.439 0.0098392929 145 0.37% 58.70%
05-Apr-20 341.151 -0.0153815624 146 0.38% 59.11%
06-Apr-20 341.531 0.0011132564 147 0.38% 59.51%
07-Apr-20 344.746 0.0093694631 148 0.41% 59.92%
08-Apr-20 346.502 0.0050806766 149 0.42% 60.32%
09-Apr-20 346.196 -0.000883502 150 0.42% 60.73%
12-Apr-20 334.373 -0.0347479523 151 0.43% 61.13%
13-Apr-20 337.354 0.0088756878 152 0.45% 61.54%
15-Apr-20 338.452 0.0032494561 153 0.47% 61.94%
16-Apr-20 339.557 0.0032595466 154 0.49% 62.35%
19-Apr-20 334.222 -0.015836384 155 0.50% 62.75%
20-Apr-20 333.79 -0.0012933901 156 0.50% 63.16%
22-Apr-20 335.208 0.004239182 157 0.51% 63.56%
23-Apr-20 333.868 -0.0040055294 158 0.52% 63.97%
26-Apr-20 337.604 0.0111279057 159 0.52% 64.37%
27-Apr-20 340.975 0.0099355498 160 0.52% 64.78%
28-Apr-20 345.754 0.0139183787 161 0.54% 65.18%
29-Apr-20 346.004 0.0007227962 162 0.59% 65.59%
30-Apr-20 341.395 -0.013410171 163 0.59% 65.99%
03-May-20341.184 -0.0006182435 164 0.61% 66.40%
04-May-20338.12 -0.0090210591 165 0.62% 66.80%
05-May-20341.088 0.0087396464 166 0.62% 67.21%
06-May-20342.783 0.0049570854 167 0.64% 67.61%
07-May-20343.426 0.0018740652 168 0.64% 68.02%
10-May-20345.855 0.007047953 169 0.64% 68.42%
11-May-20344.904 -0.0027534946 170 0.65% 68.83%
12-May-20342.628 -0.0066208069 171 0.65% 69.23%
14-May-20341.286 -0.0039244751 172 0.66% 69.64%
17-May-20346.342 0.0147058907 173 0.66% 70.04%
18-May-20350.921 0.0131344007 174 0.66% 70.45%
19-May-20351.032 0.0003162605 175 0.67% 70.85%
20-May-20348.793 -0.0063987644 176 0.67% 71.26%
21-May-20354.065 0.0150018891 177 0.68% 71.66%
24-May-20354.905 0.0023696359 178 0.70% 72.06%
25-May-20355.565 0.0018579256 179 0.70% 72.47%
26-May-20357.506 0.0054440716 180 0.71% 72.87%
27-May-20358.609 0.0030805132 181 0.72% 73.28%
28-May-20359.918 0.0036435693 182 0.72% 73.68%
31-May-20363.815 0.010769269 183 0.73% 74.09%
01-Jun-202362.612 -0.0033121046 184 0.73% 74.49%
02-Jun-202363.89 0.0035182321 185 0.76% 74.90%
03-Jun-202366.787 0.0079296739 186 0.76% 75.30%
04-Jun-202366.649 -0.000376311 187 0.76% 75.71%
07-Jun-202368.997 0.0063835268 188 0.76% 76.11%
08-Jun-202369.666 0.0018113813 189 0.76% 76.52%
09-Jun-202367.037 -0.0071372348 190 0.77% 76.92%
10-Jun-202370.05 0.0081754712 191 0.77% 77.33%
11-Jun-202370.757 0.0019087298 192 0.79% 77.73%
14-Jun-202371.115 0.0009651261 193 0.79% 78.14%
15-Jun-202373.296 0.005859683 194 0.80% 78.54%
16-Jun-202371.399 -0.0050947142 195 0.82% 78.95%
17-Jun-202370.293 -0.0029823723 196 0.82% 79.35%
18-Jun-202369.859 -0.0011727322 197 0.86% 79.76%
21-Jun-202371.447 0.0042843372 198 0.86% 80.16%
22-Jun-202372.537 0.0029301726 199 0.87% 80.57%
23-Jun-202370.416 -0.0057096634 200 0.87% 80.97%
24-Jun-202372.609 0.0059029141 201 0.88% 81.38%
25-Jun-202374.479 0.0050061142 202 0.88% 81.78%
28-Jun-202374.331 -0.0003952939 203 0.88% 82.19%
29-Jun-202373.748 -0.0015586592 204 0.89% 82.59%
30-Jun-202373.839 0.0002434499 205 0.90% 83.00%
01-Jul-202 373.108 -0.0019573015 206 0.90% 83.40%
02-Jul-202 374.237 0.0030213646 207 0.93% 83.81%
05-Jul-202 376.723 0.0066208828 208 0.94% 84.21%
06-Jul-202 377.177 0.0012044039 209 0.96% 84.62%
07-Jul-202 377.74 0.001491555 210 0.97% 85.02%
08-Jul-202 374.909 -0.0075227984 211 0.98% 85.43%
09-Jul-202 374.349 -0.0014948125 212 0.98% 85.83%
12-Jul-202 375.019 0.001788174 213 0.99% 86.23%
13-Jul-202 377.31 0.0060904394 214 0.99% 86.64%
14-Jul-202 377.958 0.0017159476 215 1.02% 87.04%
15-Jul-202 379.205 0.0032938776 216 1.05% 87.45%
16-Jul-202 380.155 0.0025021083 217 1.08% 87.85%
19-Jul-202 376.175 -0.0105246036 218 1.11% 88.26%
20-Jul-202 373.207 -0.0079212351 219 1.11% 88.66%
22-Jul-202 378.102 0.013030775 220 1.13% 89.07%
23-Jul-202 380.515 0.0063615978 221 1.14% 89.47%
26-Jul-202 381.117 0.0015808163 222 1.14% 89.88%
27-Jul-202 378.849 -0.0059687058 223 1.16% 90.28%
28-Jul-202 378.25 -0.0015823561 224 1.18% 90.69%
29-Jul-202 379.272 0.0026982731 225 1.22% 91.09%
30-Jul-202 379.03 -0.0006382682 226 1.27% 91.50%
02-Aug-20 382.704 0.0096464868 227 1.30% 91.90%
03-Aug-20 387.241 0.0117853938 228 1.31% 92.31%
04-Aug-20 388.726 0.003827487 229 1.32% 92.71%
05-Aug-20 388.912 0.0004783717 230 1.39% 93.12%
06-Aug-20 387.8 -0.0028633541 231 1.40% 93.52%
09-Aug-20 387.954 0.0003970331 232 1.42% 93.93%
10-Aug-20 388.473 0.0013368934 233 1.44% 94.33%
11-Aug-20 387.352 -0.002889829 234 1.45% 94.74%
12-Aug-20 389.829 0.0063743411 235 1.46% 95.14%
13-Aug-20 392.788 0.0075618447 236 1.47% 95.55%
16-Aug-20 392.188 -0.0015287095 237 1.47% 95.95%
17-Aug-20 393.781 0.0040536005 238 1.50% 96.36%
18-Aug-20 393.771 -2.539515E-05 239 1.60% 96.76%
20-Aug-20 390.446 -0.0084798466 240 1.60% 97.17%
23-Aug-20 390.829 0.0009804487 241 1.61% 97.57%
24-Aug-20 392.878 0.0052290069 242 1.62% 97.98%
25-Aug-20 393.475 0.0015184023 243 1.80% 98.38%
26-Aug-20 393.724 0.0006326228 244 2.10% 98.79%
27-Aug-20 395.787 0.0052260315 245 2.13% 99.19%
30-Aug-20 401.575 0.0145181277 246 2.18% 99.60%
31-Aug-20 406.06 0.0111066165 247 4.02% 100.00%
CAPs PGIM India Large Cap
TotalNumber of trading Days

247
Abnormal
Conditions
Value at Risk using Historical Method
Normal Portfolio Value (AUM) as
Conditions on31st Aug 20222 5755148000
Confidence Level 99%
Value at Risk -177214951.655
Probable Value of the Portfolio 5577933048.345
Maximum loss that can occur in one day which we can say with 99% confidence level is 177258558.4.

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PUT CAL

Spot Price on 26th august 2021 1717

Particulars Strike Price Spot Price call price put price

Dividend Yield 2.25%

1600 1678.75 5.44532456431304 5.4361752422843

1600 1662.550049 4.38547870158127 4.3763293795526

1600 1646.5 3.32520615989169 3.316056837863

Call option 8/2/2021

Lower Boundary of Call

1600 1663.150024 71.90 Arbitrage not Possible as per Lower Boundary

1700 1663.150024 0 Arbitrage not Possible as per Lower Boundary

2000 1663.150024 0 Arbitrage not Possible as per Lower Boundary

Call option 8/3/2021

Lower Boundary of Call

1600 1678.75 87.50 Arbitrage not Possible as per Lower Boundary

1700 1678.75 0 Arbitrage not Possible as per Lower Boundary

2000 1678.75 0 Arbitrage not Possible as per Lower Boundary

Call option 8/4/2021

Lower Boundary of Call

1600 1662.550049 71.30 Arbitrage not Possible as per Lower Boundary

2000 1662.550049 0 Arbitrage not Possible as per Lower Boundary

Call option 8/5/2021

Lower Boundary of Call

1600 1648.949951 57.70 Arbitrage not Possible as per Lower Boundary

1700 1648.949951 0 Arbitrage not Possible as per Lower Boundary

2000 1648.949951 0 Arbitrage not Possible as per Lower Boundary

Call option 8/6/2021

Lower Boundary of Call

1600 1646.5 55.25 Arbitrage not Possible as per Lower Boundary

1700 1646.5 0 Arbitrage not Possible as per Lower Boundary

2000 1646.5 0 Arbitrage not Possible as per Lower Boundary

ITM OTM 1810.95 1776.500024

ITM OTM 1810.95 1792.1

ITM OTM 1810.95 1775.900049

ITM OTM 1810.95 1762.299951

ITM OTM 1810.95 1759.85

BLACK & SCHOLES

-5.445324564313 -5.43617524228434 0.999999974144496 0.999999972781791

-4.385478701581 -4.37632937955257 0.999994213450894 0.99999396527068

-3.325206159892 -3.31605683786299 0.999558234113471 0.999543513707051

Put Option 8/2/2021

Lower Boundary of Put Option

1600 1663.150024 0 Arbitrage not Possible as per Lower Bounda

1700 1663.150024 27.55 Arbitrage not Possible as per Lower Bounda

2000 1663.150024 325.91 Arbitrage not Possible as per Lower Bounda

Put Option 8/3/2021

Lower Boundary of Put Option

1600 1678.75 0 Arbitrage not Possible as per Lower Bounda

1700 1678.75 11.95 Arbitrage not Possible as per Lower Bounda

2000 1678.75 310.31 Arbitrage not Possible as per Lower Bounda

Put Option 8/4/2021

Lower Boundary of Put Option

1600 1662.550049 0 Arbitrage not Possible as per Lower Bounda

2000 1662.550049 326.51 Arbitrage not Possible as per Lower Bounda

Put Option 8/5/2021

Lower Boundary of Put Option

1600 1648.949951 0 Arbitrage not Possible as per Lower Bounda

1700 1648.949951 41.75 Arbitrage not Possible as per Lower Bounda

2000 1648.949951 340.11 Arbitrage not Possible as per Lower Bounda

Put Option 8/6/2021

Lower Boundary of Put Option

1600 1646.5 0 Arbitrage not Possible as per Lower Bounda