NSE has decided to revise the strike parameters for near term expiry contracts (i.e. Near, Mid and Far month expiry) Nifty Options contracts as below:
Nifty Index Level : All levels
Strike Interval : 50
Number of strikes : 30 – 1 – 30
In the money- At the money- out of the money
The previous day’s closing value of Nifty index shall be rounded off to the nearest strike price for arriving at the at-the-money strike.
All the near expiry contracts generated in Nifty index options (i.e. Near, Mid and Far month expiry) shall follow the above strike parameter scheme with effect from August 30, 2013.
For Nifty long term options contracts (i.e. Quarterly and Half yearly expiry) and options contracts on other indices the existing strike scheme will continue to be applicable.
Also Read : Understanding NCDs