Which strike gains most from the next move
The move scores table answers one question: if the index moves 50 points in the next 30 minutes, which strike makes the most money? The answer is rarely the one people expect, and the number comes with caveats worth understanding.
- Why the obvious strike is usually wrong
- How the estimate is calculated
- Reading the table
- Why the gain is usually optimistic
- When the table is most and least useful
Why the obvious strike is usually wrong
Ask most traders which call gains most from a 50-point rise and they will say the at-the-money one, because it moves most in rupees. In percentage terms, which is what matters when you are sizing a position, that is usually false.
A deep in-the-money call might rise from ₹300 to ₹340 — forty rupees, but only 13%. A slightly out-of-the-money call might rise from ₹38 to ₹56 — eighteen rupees, but 46%. The out-of-the-money strike has lower delta, so it captures less of the move in absolute terms, but from a much smaller base. The table sorts by percentage gain, which is why the leader is often one or two strikes out.
The same maths works against you. The strike with the biggest gain if you are right usually has the biggest loss if you are wrong, which is why the table shows both. The "if wrong" column prices the opposite move, so you can see the shape of the bet rather than only its upside.
How the estimate is calculated
For every strike in the chain the calculation is:
- Take the strike's current market price and back out its implied volatility.
- Move the index by your chosen amount — 25, 50 or 100 points.
- Advance the clock by your chosen horizon — 15, 30 or 60 minutes, which reduces time to expiry.
- Reprice the option with Black-Scholes at the same implied volatility.
- Report the difference as a percentage of the current price.
Because the option is fully repriced rather than approximated with delta, gamma is included: the acceleration as a strike moves toward the money. Theta is included too, since the clock advances, which is what makes the 60-minute column meaningfully worse than the 15-minute one on expiry day.
Reading the table
| Column | What it tells you |
|---|---|
| LTP | What the strike costs now |
| Est. | Estimated price after the move and time decay |
| Gain | Percentage change if you are right |
| If wrong | Percentage change if the index moves the same distance the other way |
| Δ (delta) | How much of each index point the option currently captures |
Only the strikes nearest the money are listed, because far strikes produce enormous percentage numbers on premiums so small that the bid-ask spread swallows the edge.
Why the gain is usually optimistic
The model assumes implied volatility does not change. In practice it usually does, and typically against you:
- On a rally, implied volatility often falls, so calls gain less than the table suggests.
- On a sell-off, implied volatility usually rises, so puts can gain more than shown.
- Around events and the final hour of expiry, both effects get much larger.
There is also the practical cost the model ignores: you buy at the ask and sell at the bid. On a ₹40 option a one-rupee spread is 2.5% of the position before the index has moved at all.
The reliable information in this table is the relative ordering of strikes, not the exact percentage. "This strike gains roughly twice what that one does" survives the model's assumptions; "+46%" does not.
When it is most and least useful
Most useful when you already have a directional view and are deciding which strike expresses it, and when comparing the shape of the trade — a strike offering +46% against −38% is a different proposition from one offering +32% against −28%.
Least useful as a reason to trade. The table cannot tell you whether the index will move; it only prices what happens if it does. Pair it with something that speaks to direction, such as the OI positioning, rather than using it alone.