My personal view on volatality that was created on 5/12/24 Nifty expiry. All data taken from NSE website.

OPTION TRADING – A BUSINESS MODEL THAT MAY CEASE TO EXIST

On 5/12/24 – Nifty had weekly expiry as usual but no traders knew that it will be one of the most volatile expiry in recent times. Nifty Spot started the day at 24495 to hit low of 24295 at 10.55 AM (200 points approx.) , then moved to 24853 by 2.35 PM (move of 560 points approx.) then again back to 24490 at 2.55 PM (move of 360 points) and finally closed at 24717 (move of 220 points) . In totality Nifty moved more than 1000 points during the day making it impossible for anyone to trade. If we go and check the historical data, Nifty moves approx. 4-5% either side during the month while on 5/12/24 it moved the same range within a day. A genuine question arises that what was the reason for this big move ? With no big event pending during the day- there was practically nothing that could have caused this level of volatality in the Index.

Generally expiry day is controlled by the sellers of options in every market and it is presumed that big funds /HNI client runs crores of option selling book on expiry day to eat the premium. But there was something which was not normal on that day.

Lets see the below table to understand the same and compare the same timing data with 12/12/24 expiry to understand what was abnormal on last Thursday :
We can easily observe that the Prices of ATM straddle were almost 3x of what they were today . The VIX (the index to measure the volatility) was around 14.50 and today it was around 13.25. So a fall of 10% approx. in the volatility. But this 10% fall cant be ascribed to so low premium today. Our point of discussion is why the Option prices were so high on last Thursday and what made Index to show a volatility of 4% in a day.

Now lets see the volume of major stock of Nifty 50 on both the days ::

Seeing something interesting on weekly option chain after a long time. So thought to share with you all.

Below is the pic of today EOD position Now see this OC as per Friday close. Here concentrate especially on CE side. If my memory serves me right, then I have never seen 40lk contract O/s on friday close in any particular option. But friday saw 40000CE close at 39lk OI. Quite huge by friday standard.

Lets do a detailed BNF analysis.

This is BNF daily chart from year 2019. I have drawn AVWAP from big breakout point of 32000 which lead BNF to do 44800 almost. If you see this AVWAP has already provided support on closing basis.

Even during the Budget/Adani volatality BNF went below it on intraday basis and then recover to close above it at day end. This is standing at 39870 now or say 39800. So first and foremost we need to make sure that BNF doesnt close below 39800 for two consecutive days and violation of this will open up 37400 or so.

Lets start !!!

On Saturday we got surprised announcement of Excise Cut !!

Lets see how the market are placed As per EOD data, on weekly chain (26/5 expiry)Top 10 CE OI is standing at Rs 254,154,9742/- and top 10 PE OI is standing at Rs 422,770,9945/-. On the face of it, looks like PE value is almost double of CE OI. But here one has to understand that BNF was up 1000 points on Friday

Today BNF moved 600 points out of which almost 350 points came in the last hour. But can you catch this move?? Did data was saying that something big coming today ?? Yes !!

Yes , you can catch these moves . Which side move will come, can we catch that ?? Again yes..lets start While trading expiry day, concentrate on highest OI of both CE & PE. Today highest OI was on 36500 strike. I dont remember when last time I had seen OI of almost 90 lk on any strike. Today around 11 AM total OI outstanding on this 36500 straddle was 87 lk with price at Rs 230