Wednesday, August 9, 2017

Opening Moves

With The Name of God, The Most Merciful. The Most Beneficent,
And The Excellent Helper, And The Excellent Protector
  1. Highest Open Interest in Calls is for 10100 with Open Interest at 5,304,450 a change of 8% and IV of 9.01 with change in OI to Volume of this strike at 9.6.

  2. Second Highest Open Interest in Calls is for 10200 with Open Interest at 4,797,450 a change of 9% and IV of 9.27 with change in OI to Volume of this strike at 10.3.

  3. Largest Change OI in Calls is for 10000 with Open Interest at 3,825,000 a change of 15% and IV of 8.87 with change in OI to Volume of this strike at 13.4.

  4. Highest Open Interest in Puts is for 9800 with Open Interest at 4,748,550 a change of 4% and IV of 14.08 with change in OI to Volume of this strike at 4.5.

  5. Second Highest Open Interest in Puts is for 10000 with Open Interest at 4,667,700 a change of 0% and IV of 13.35 with change in OI to Volume of this strike at 0.2.

  6. Largest Change OI in Puts is for 9900 with Open Interest at 4,182,375 a change of 7% and IV of 13.62 with change in OI to Volume of this strike at 5.4.

  7. #Nifty Put to Call Ratio of the actively traded strikes for the Current Series is 0.89 which indicates mixed sentiment.

  8. 9800 PE marginally beats the open interest at 10-000 strike

  9. Decent call writing at 10-000

  10. It indicates that Option seller are wary of the fact that current correction/reaction could carry all the way till 50 DMA which would be around 9747

  11. The popular strategy for the day is short strap strangle using 10-000 CE and 9800 PE

  12. The opening is Open Auction Inside Range

  13. The Momentum Bias for the current session is neutral

  14. The Sentimental Bias is moderately negative

  15. Nifty is likely to trade between 9897 to 9973 range for the most part of the day

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