Nifty Index Options Tug of War for 8800 can be the case on the last day of September 2016 expiry series
As we approach the expiry of the September 2016 series, $NIFTY closed on a positive note at 8745.15 and being expiry we need to keep a watch on the 8700 and 8800 PCR.
8700 Put writers were in control since the open and after struggling entire day $NIFTY was able to get away from the lower range. The PCR at 8700 in September Series at 2.44 looks promising for that level to be held on the expiry day. PCR at 8800 is at 0.51 which is not a good sign for a sustainable move above 8800 but if buying emerges during the session, 8800 Call writers may have to take a hit as they run for a cover in the rise.
Le’ts have a look at how the Open interest is distributed across various strikes
There is a huge addition in 8700 Put and 8750 Put, whereas there is decent liquidation in 8800 Call and negligible addition in the 8850 Call. The rollovers have already started and for a comparison, we can have a look at the October series Open Interest data to better understand the distribution of Open Interest across the strike prices.
October series shows huge addition in 8500,8800, 9000 and 9100 Calls while in the Put Options it shows huge addition at 9100. The PCR at 8800 in October series is just above 1 so if they can hold on to the shorts then the expiry can be within 8700-8800 range and if they start exiting in a rise above 8800 then even 8850 can be targeted. On the other hand, failure to stay above 8750 can go on to hurt the 8700 put writers.
October series is developing an initial broader range of 8700-9000 as per the highest Open Interest build up.