Why does bank nifty in NSE F&O take price of future instead of spot. Premiums are w.r.t to spot whether the option is ITM or OTM.
For example Bank nifty Spot at close to 9:20 am was around 34400 where as futures were trading at 34550
The straddle on spot should be 34400 CE and 34400 PE instead it shorted 34600CE and 34600 PE which caused huge premium mismatch.
Straddle by definition should be shorting options at the current spot.
Few days futures were trading at 300/400 points premium and the straddle were completely not delta neutral Example straddle should be executed at 25000 ( spot) instead randomly 25400 straddle is executed