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NIFTY Dec 2027 27000 put IRR sensitivity table

Im considering going long on nifty and buying Dec 2027 put ITM. Can you make a table for NIFTY position between 20 and 32K every 1000 points, my IRR. NIFTY 27DEC 27000 PE NFO 1604.90 -92.10 (-5.43%) Bid Orders Qty. 1605.00 1 65 1601.00 2 130 1600.00 1 130 1560.00 1 65 1558.00 1 585 Total 6,500 Offer Orders Qty. 1620.95 1 65 1621.00 1 130 1647.95 1 65 1754.50 1 975 1755.00 1 585 Total 1,950 Open1,700.00 Low1,600.00 Prev. Close1,697.00 High1,700.00

about 13 hours ago
11 replies Ask a follow up

I'll work through this step by step. Let me gather the current data needed.

First, let me clarify what you're describing:

  • Underlying: NIFTY (Nifty 50 Index)
  • Option: NIFTY Dec 27 27000 Put, ITM
  • Option price: The last traded price appears to be around 1,604.90 (the bid/ask is ~1605/1621, and the previous close was 1,697)
  • NIFTY spot range: 20,000 to 32,000 in 1,000-point increments
  • You want: IRR for the combined position (long NIFTY + long put) at each spot level

Let me get the current NIFTY spot price and look up the Dec 2027 expiry details.Good. NIFTY spot is approximately 24,607 as of today (Aug 3, 2026). Now let me search for the specific option details and the NIFTY lot size.Now I have all the key parameters. Let me summarize:

  • NIFTY spot: ~24,607 (Aug 3, 2026)
  • Lot size: 65
  • Strike: 27,000 PE
  • Expiry: Dec 28, 2027 (last Tuesday of December)
  • Option premium: ~1,605 (mid of bid/ask ~1605/1621)
  • Days to expiry: From Aug 3, 2026 to Dec 28, 2027 = ~512 days (1.40 years)

Now let me compute the IRR table. The position is: - Long NIFTY futures/ETF at spot: paying 24,607 per unit - Long 27,000 Put paying 1,605 premium per unit - Total initial investment = 24,607 + 1,605 = 26,212 per unit

At expiry, for each NIFTY level: - NIFTY leg: value = NIFTY level - Put leg: value = max(27,000 - NIFTY, 0) - Total payoff: NIFTY + max(27,000 - NIFTY, 0) = max(NIFTY, 27,000) - IRR: (Payoff / 26,212)^(1/1.40) - 1

Let me compute this properly:Here's the analysis:

NIFTY Protective Put — IRR at Expiry
Long NIFTY at 24,607 + Dec 28, 2027 27,000 Put at 1,605 = Total cost ₹26,212/unit | Lot size: 65 | Days to expiry: 512 (1.40 yrs)

NIFTY at Expiry Put Payoff Total Payoff P&L/Unit IRR
20,000 7,000 27,000 +788 2.1%
21,000 6,000 27,000 +788 2.1%
22,000 5,000 27,000 +788 2.1%
23,000 4,000 27,000 +788 2.1%
24,000 3,000 27,000 +788 2.1%
25,000 2,000 27,000 +788 2.1%
26,000 1,000 27,000 +788 2.1%
27,000 0 27,000 +788 2.1%
28,000 0 28,000 +1,788 4.8%
29,000 0 29,000 +2,788 7.5%
30,000 0 30,000 +3,788 10.1%
31,000 0 31,000 +4,788 12.7%
32,000 0 32,000 +5,788 15.3%

Key observations:

  • Downside floor: The 27,000 put creates a hard floor at 27,000. Even if NIFTY crashes to 20,000, your total payoff stays at 27,000 — a 2.1% IRR (~3% absolute return over 1.4 years). The put cost of ₹1,605 is your insurance premium.

  • Breakeven: ~26,212 (your total cost), which sits between 26,000–27,000. The put is ITM by about 2,393 points, so you already have built-in protection.

  • Upside: Above 27,000 you capture every point of NIFTY upside, net of the 1,605 put premium. At 32,000 the IRR is ~15.3% annualized.

  • Risk profile: This is effectively a synthetic structure where the worst case is a modest 2.1% annualized return. The put premium is the cost of guaranteed principal protection at 27,000.

about 13 hours ago
10 replies Ask a follow up

Add 1 more column - IRR long only position (no put)

about 13 hours ago
9 replies Ask a follow up

NIFTY Protective Put vs Long-Only — IRR Comparison
Long NIFTY at 24,607 | Put: Dec 28, 2027 27,000 PE at 1,605 | 512 days (1.40 yrs)

NIFTY at Expiry Put Payoff Hedged P&L Hedged IRR Long-Only P&L Long-Only IRR
20,000 7,000 +788 +2.1% −4,607 −13.7%
21,000 6,000 +788 +2.1% −3,607 −10.7%
22,000 5,000 +788 +2.1% −2,607 −7.7%
23,000 4,000 +788 +2.1% −1,607 −4.7%
24,000 3,000 +788 +2.1% −607 −1.8%
25,000 2,000 +788 +2.1% +393 +1.1%
26,000 1,000 +788 +2.1% +1,393 +4.0%
27,000 0 +788 +2.1% +2,393 +6.8%
28,000 0 +1,788 +4.8% +3,393 +9.6%
29,000 0 +2,788 +7.5% +4,393 +12.4%
30,000 0 +3,788 +10.1% +5,393 +15.2%
31,000 0 +4,788 +12.7% +6,393 +17.9%
32,000 0 +5,788 +15.3% +7,393 +20.6%

The trade-off in clear terms: The put costs you roughly 2–5 percentage points of IRR on the upside (the long-only beats the hedged by ~3ppt at 28K, ~5ppt at 32K). In exchange, you completely eliminate the left tail — what would be a −13.7% annualized loss at 20,000 becomes a positive 2.1%. The put insurance premium of ₹1,605 is the price of that convexity.

about 13 hours ago
8 replies Ask a follow up

and with this? NIFTY 27DEC 26000 PE NFO 1205.00 -90.00 (-6.95%) Bid Orders Qty. 1211.00 1 65 1210.00 1 195 1208.00 1 65 1200.00 1 65 1190.00 2 130 Total 7,670 Offer Orders Qty. 1225.00 1 1170 1270.15 1 65 1275.85 1 65 1282.55 1 65 1399.50 1 650 Total 2,080 Open1,220.00 Low1,205.00 Prev. Close1,295.00 High1,236.95 Volume2,925Avg. price1,220.84 Lower circuit0.05Upper circuit2,946.65 LTQ65LTT2026-08-03 13:13:14 ExpiryN/AOI44885 NIFTY 5024,583.95. Put long IRR, and different PUT strategy columns. (3) - NIFTY 27DEC 25000 PE NFO 900.00 -66.85 (-6.91%) Bid Orders Qty. 890.15 1 65 890.10 1 65 890.00 1 65 881.05 1 65 865.60 1 65 Total 6,305 Offer Orders Qty. 897.00 1 130 900.00 3 780 929.90 1 65 930.00 1 65 947.75 1 65 Total 2,405 Open924.20 Low892.00 Prev. Close966.85 High925.80 Volume4,550Avg. price904.64 Lower circuit0.05Upper circuit2,456.20 LTQ65LTT2026-08-03 13:12:56 ExpiryN/AOI63635 NIFTY 5024,584.00, NIFTY 27DEC 24000 PE NFO 659.00 -58.65 (-8.17%) Bid Orders Qty. 650.85 1 65 650.55 1 65 650.20 1 65 650.00 2 195 648.00 1 65 Total 9,035 Offer Orders Qty. 661.00 1 65 662.00 1 65 663.00 1 65 664.00 1 65 665.00 1 65 Total 2,795 Open700.00 Low655.05 Prev. Close717.65 High700.00 Volume4,680Avg. price668.99 Lower circuit0.05Upper circuit2,010.10 LTQ65LTT2026-08-03 13:12:56 ExpiryN/AOI120220 NIFTY 5024,582.15, curreny NIFTY is 24581

about 13 hours ago
7 replies Ask a follow up

NIFTY Protective Put — 4 Strike Comparison
NIFTY spot: 24,581 | Expiry: Dec 28, 2027 | 512 days (1.40 yrs) | Lot size: 65

NIFTY at Expiry 27,000 PE (₹1,205) 26,000 PE (₹900) 25,000 PE (₹659) 24,000 PE (₹659) Long-Only
20,000 +3.3% +1.4% −0.7% −3.5% −13.7%
21,000 +3.3% +1.4% −0.7% −3.5% −10.6%
22,000 +3.3% +1.4% −0.7% −3.5% −7.6%
23,000 +3.3% +1.4% −0.7% −3.5% −4.6%
24,000 +3.3% +1.4% −0.7% −3.5% −1.7%
25,000 +3.3% +1.4% −0.7% −0.7% +1.2%
26,000 +3.3% +1.4% +2.1% +2.1% +4.1%
27,000 +3.3% +4.2% +4.9% +4.9% +6.9%
28,000 +6.0% +7.0% +7.7% +7.7% +9.7%
29,000 +8.7% +9.7% +10.4% +10.4% +12.5%
30,000 +11.4% +12.3% +13.1% +13.1% +15.3%
31,000 +14.0% +15.0% +15.8% +15.8% +18.0%
32,000 +16.6% +17.6% +18.4% +18.4% +20.7%

How to read this: The 27,000 PE is the only strike that stays positive across every scenario — even at 20,000 you earn +3.3% annualized. The 26,000 PE also stays positive everywhere, dipping to +1.4% in a crash. The 25,000 and 24,000 PEs go negative in deep drawdowns because the lower strike plus the premium cost doesn't fully cover losses below ~24,600. On the upside, the cheaper puts give you more of the rally — the 24,000/25,000 PE gives almost 3 extra points of IRR at 32K versus the 27,000 PE. The classic trade-off: the 27,000 PE is true disaster insurance (always positive), the 24,000/25,000 PEs are cheaper catastrophe hedges that pay off better if markets rise.

about 13 hours ago
6 replies Ask a follow up

Can you take cost at ask, not bid.

about 13 hours ago
5 replies Ask a follow up

Good catch. Let me use the ask (offer) prices. From the data you shared:

  • 27,000 PE: Ask ~1,225 (from the offer side, 1225.00 was the best offer)
  • 26,000 PE: Ask ~897 (best offer at 897.00)
  • 25,000 PE: Ask ~890.15 (best offer at 890.15)
  • 24,000 PE: Ask ~650.85 (best offer at 650.85)---

NIFTY Protective Put — IRR at Ask Prices
NIFTY spot: 24,581 | Expiry: Dec 28, 2027 | 512 days (1.40 yrs)

NIFTY at Expiry 27,000 PE (₹1,225) 26,000 PE (₹897) 25,000 PE (₹890) 24,000 PE (₹651) Long-Only
20,000 +3.3% +1.5% −1.3% −3.5% −13.7%
21,000 +3.3% +1.5% −1.3% −3.5% −10.6%
22,000 +3.3% +1.5% −1.3% −3.5% −7.6%
23,000 +3.3% +1.5% −1.3% −3.5% −4.6%
24,000 +3.3% +1.5% −1.3% −3.5% −1.7%
25,000 +3.3% +1.5% −1.3% −0.7% +1.2%
26,000 +3.3% +1.5% +1.5% +2.2% +4.1%
27,000 +3.3% +4.2% +4.2% +4.9% +6.9%
28,000 +6.0% +7.0% +7.0% +7.7% +9.7%
29,000 +8.7% +9.7% +9.7% +10.4% +12.5%
30,000 +11.3% +12.4% +12.4% +13.1% +15.3%
31,000 +14.0% +15.0% +15.0% +15.8% +18.0%
32,000 +16.6% +17.6% +17.7% +18.5% +20.7%

Using ask prices, the picture is largely the same but a few spreads compressed. The 25,000 PE at ask (₹890) is notably expensive relative to the 26,000 PE (₹897) — just ₹7 separates them, making the 26,000 PE the clearly better choice between those two (same or better protection, nearly identical cost). The 27,000 PE remains the only strike that never goes negative. The 24,000 PE offers the best upside capture among the hedged strategies, trailing long-only by just ~2.2ppt at 32K.

about 13 hours ago
4 replies Ask a follow up

How - NIFTY 27DEC 27000 PE NFO 1621.00 -76.00 (-4.48%) Bid Orders Qty. 1605.00 2 130 1602.00 1 65 1601.00 2 130 1560.00 1 65 1558.80 1 585 Total 7,280 Offer Orders Qty. 1622.85 2 195 1639.90 1 65 1756.50 1 585 1757.00 1 780 1760.00 1 130 Total 1,755 -- for 27K

about 13 hours ago
3 replies Ask a follow up

You're right — the ask for the 27,000 PE is ₹1,621 (the best offer shown at 1622.85 / 1621 area based on the LTP of 1621.00, with 1622.85 as the lowest visible offer). Let me reprice all strikes properly using the correct ask/last traded prices from your latest data:

  • 27,000 PE: ₹1,621 (LTP / near best ask)
  • 26,000 PE: ₹897 (best offer from earlier)
  • 25,000 PE: ₹890.15 (best offer from earlier)
  • 24,000 PE: ₹650.85 (best offer from earlier)---

NIFTY Protective Put — IRR at Ask (Corrected)
NIFTY spot: 24,581 | Expiry: Dec 28, 2027 | 512 days (1.40 yrs)

NIFTY at Expiry 27,000 PE (₹1,621) 26,000 PE (₹897) 25,000 PE (₹890) 24,000 PE (₹651) Long-Only
20,000 +2.2% +1.5% −1.3% −3.5% −13.7%
21,000 +2.2% +1.5% −1.3% −3.5% −10.6%
22,000 +2.2% +1.5% −1.3% −3.5% −7.6%
23,000 +2.2% +1.5% −1.3% −3.5% −4.6%
24,000 +2.2% +1.5% −1.3% −3.5% −1.7%
25,000 +2.2% +1.5% −1.3% −0.7% +1.2%
26,000 +2.2% +1.5% +1.5% +2.2% +4.1%
27,000 +2.2% +4.2% +4.2% +4.9% +6.9%
28,000 +4.8% +7.0% +7.0% +7.7% +9.7%
29,000 +7.5% +9.7% +9.7% +10.4% +12.5%
30,000 +10.1% +12.4% +12.4% +13.1% +15.3%
31,000 +12.7% +15.0% +15.0% +15.8% +18.0%
32,000 +15.3% +17.6% +17.7% +18.5% +20.7%

At ₹1,621 the 27,000 PE floor drops to +2.2% (from +3.3% earlier). The 26,000 PE at ₹897 now offers a slightly higher floor (+1.5% vs +2.2%) but pulls ahead meaningfully above 27K — at 32,000 it delivers 17.6% vs 15.3%. The 27,000 PE is the purest insurance: positive in every scenario, but you pay ~2.3ppt of upside for that guarantee versus the 26,000 PE.

about 13 hours ago
2 replies Ask a follow up

Check all data again. prices are around 1600, 1200, for 27K and 26K (and possible next 2 strikes) also you got wrong. Check data again.

about 13 hours ago
1 reply Ask a follow up

You're right, let me re-read the data carefully.

From your messages:

27,000 PE (latest update): - LTP: 1,621.00 - Bid: 1,605.00 (best) - Offer (Ask): 1,622.85 (best) - So ask = ~1,623

26,000 PE: - LTP: 1,205.00 - Bid: 1,211.00 (best) - Offer: 1,225.00 (best) - So ask = ~1,225

25,000 PE: - LTP: 900.00 - Bid: 890.15 (best) - Offer: 897.00 (best) - So ask = ~897

24,000 PE: - LTP: 659.00 - Bid: 650.85 (best) - Offer: 661.00 (best) - So ask = ~661

I had the 26K and 25K completely wrong — the 26K was at ~1,225 not ~897, and 25K was at ~897 not ~890. Let me fix this properly.---

NIFTY Protective Put — IRR at Ask (Corrected)
NIFTY spot: 24,581 | Expiry: Dec 28, 2027 | 512 days (1.40 yrs)

NIFTY at Expiry 27,000 PE (₹1,623) 26,000 PE (₹1,225) 25,000 PE (₹897) 24,000 PE (₹661) Long-Only
20,000 +2.2% +0.5% −1.3% −3.5% −13.7%
21,000 +2.2% +0.5% −1.3% −3.5% −10.6%
22,000 +2.2% +0.5% −1.3% −3.5% −7.6%
23,000 +2.2% +0.5% −1.3% −3.5% −4.6%
24,000 +2.2% +0.5% −1.3% −3.5% −1.7%
25,000 +2.2% +0.5% −1.3% −0.7% +1.2%
26,000 +2.2% +0.5% +1.5% +2.1% +4.1%
27,000 +2.2% +3.3% +4.2% +4.9% +6.9%
28,000 +4.8% +6.0% +7.0% +7.7% +9.7%
29,000 +7.5% +8.7% +9.7% +10.4% +12.5%
30,000 +10.1% +11.3% +12.4% +13.1% +15.3%
31,000 +12.7% +14.0% +15.0% +15.8% +18.0%
32,000 +15.3% +16.6% +17.6% +18.4% +20.7%

Now the numbers make sense. The 27,000 PE at ₹1,623 gives the highest floor (+2.2%) and is the only strike that's always positive. The 26,000 PE at ₹1,225 barely stays positive in the worst case (+0.5%). The 25,000 PE at ₹897 goes mildly negative (−1.3%) below 25K but offers solid upside. The 24,000 PE at ₹661 gives the best upside capture but costs you in a real drawdown (−3.5% floor). Each step down in strike saves ~₹350–400 in premium and adds ~1.3–1.8ppt of upside IRR at 32K.

about 13 hours ago