PUT and CALL options

[columbus]

May Series Day=23 Nifty=4951 (-39)

Expiry Zone is now moved downwards 4900 strike as nifty lost around 39 points.
Despite this strikes below 4900 on PUT has not added value.In fact they have lost.
This tells how strong the THETA on nifty.But on the other hand Bank Nifty has
changed by -174 points.CALLS closer to 9500 lost values ,but PUTs lesser than
9500 has gained handsomely.I want to say the effect of THETA in case of Bank
Nifty is not as severe as in case of Nifty.Those regularly trading in BNF, throw
some light on this aspect.

On OI front today,CALLs added OI whereas PUTs sheded OI.There is likely UP
ward movement by few points.On Expiry day ,anyway INDEX is highly volatile.

THETA (time decay):
The option's theta is a measurement of the option's time decay.
The theta measures the rate at which options lose their value,
specifically the time value, as the expiration date draws nearer.
Generally expressed as a negative number, the theta of an option
reflects the amount by which the option's value will decrease every day.
(courtesy:theoptionguide.com)

In this series we have 11 UP days and 13 DOWN days:
UUUDDDUDDDDDUDUUUDDUDUUD
(After considering Previous Expiry day at the beginning)

 

[columbus]

May Series Day=24 (END) Nifty=4924 (-27)

May series ended at 4924.

MAY series

JUNE series

Looking at OI of today, we will see some downward movement.

In this series we have 11 UP days and 14 DOWN days:
UUUDDDUDDDDDUDUUUDDUDUUDD
(After considering Previous Expiry day at the beginning)

 

[timepass]

Hoping for a negative open tomorrow (I bought puts near the close today).

 

[columbus]

I feel the sentiment is negative.Have a look at last 2 days.

 

[timepass]

I feel the sentiment is negative.Have a look at last 2 days.

Yes, but what worries me is that on both the days, there was a strong intraday pullback. Also, it is still significantly above 4900. Among the oscillators, except the stochs, none have a negative crossover as yet. I wouldn't want any upside, at least initially, but I wouldn't be much surprised if there is a pullback to 4980 level, specially if the rupee recovers.

At present it is at about 50% retracement from 18th May lows.

 

[columbus]

JUN series DAY-1 (Start) Nifty=4842(-82)

The Expected Zone is around (4800~5100).

Have a look at Today's OI of CALLS which is all POSITIVE and on other hand
in PUTS it is mixed.But the Today's OI of 5000CE (more than 1M) and 4800PE
(more than 4L) are note worthy.A positive movement on next trading day is
not over ruled.

(NOTE:4100PE strike is not in Black Font as indicated since price is less than 10Rs.
It should appear in WHITE font.)
Delta

The option's delta is the rate of change of the price of the option with respect
to its underlying security's price. The delta of an option ranges in value from
0 to 1 for calls (0 to -1 for puts) and reflects the increase or decrease in the
price of the option in response to a 1 point movement of the underlying asset price.

Far out-of-the-money options have delta values close to 0 while deep in-the-money
options have deltas that are close to 1.

In this JUN series we have 1 DOWN day:
D

 

[columbus]

JUN series DAY-2 Nifty=4848(6)

The Expected Zone down to (4700~5100).

In this zone on CALL side we have addition of OI whereas on PUT side OI is
rather mixed , but OI of today of 4700PE is rather significant.

Delta

The option's delta is the rate of change of the price of the option
with respect to its underlying security's price. The delta of an option
ranges in value from 0 to 1 for calls (0 to -1 for puts) and reflects
the increase or decrease in the price of the option in response to a
1 point movement of the underlying asset price.

Far out-of-the-money options have delta values close to 0 while deep
in-the-money options have deltas that are close to 1.
(Courtesy:theoptionsguide.com)


In this JUN series we have 1 DOWN and 1UP day:
DU

 

[timepass]

4900CE had pretty good delta today.

Edit : The puts' movement was very sluggish today, maybe poor delta.

 

[columbus]

4900CE had pretty good delta today.

Edit : The puts' movement was very sluggish today, maybe poor delta.

Yeah,CALLS moved quite fast today.
I feel sentiment is still Bearish.Reason being ,if you look option data, of previous
post,the PUTS in the rage (4600~4300) are still in Black Font whereas we
have ONLY ONE strike in CALL side i.e. 5200 is Black.

 

[timepass]

Yeah,CALLS moved quite fast today.
I feel sentiment is still Bearish.Reason being ,if you look option data, of previous
post,the PUTS in the rage (4600~4300) are still in Black Font whereas we
have ONLY ONE strike in CALL side i.e. 5200 is Black.

Yes. But even bear market rallies can be sharp. Also, the markets are oversold worldwide, and one by one the governments are offering stimulus of some sort or the other. I think that even today's rally was on the hopes of stimulus. Mind you, the rupee closed higher than yesterday.