Sensex put options shot up sharply on Thursday as another late-session swing during the closing auction session rattled expiry-day traders, bringing back concerns over volatility in the cash market close. The Sensex was around 76,510 at 3:17 pm, but slipped to nearly 74,373 by 3:20 pm, a fall of more than 2,100 points in just three minutes. The move came during expiry day, when option prices are highly sensitive to sudden changes in the underlying index.
The sharp drop triggered a massive spike in out-of-the-money put options. The 76,600 put option jumped from Rs 102 to Rs 446, a gain of nearly 335%. The 76,500 put rose from Rs 71 to Rs 346, up about 350%, while the 76,400 put moved from Rs 45 to Rs 246, a surge of around 446%. The 76,300 put climbed from Rs 31 to Rs 146, gaining nearly 370%.
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