Is this based on the series first 3 days levels? How do you calculate the first 3 days, based on calender days (May 1-3) or 3 days after expiry (March 26-30).
Apr 1 - 3 => 6025/5930. +/-0.382 levels are 5893<->5966. (NF closed below 5966)
Mar 26-30 => 5966/5867. +/-0.382 levels are 5904<->5829. (NF is still above +0.382).