Sudden 99.99% Drop in Nifty 50 Option Triggers Exchange Warning

A short-lived tumble in the price of an option on India’s Nifty 50 stock index has elicited a warning from the world’s biggest derivatives exchange and stirred speculation about potential losses for the unidentified trader who caused the plunge.

The contract in question, a deep in-the-money call option on the Nifty 50, sank 99.99% then quickly recovered about an hour before it was due to expire on Thursday. About 3,037 lots changed hands at the day’s low, according to data compiled by Bloomberg.

The National Stock Exchange of India is examining unusual trades in Nifty 50 options that ...