From the conversation
“These are very large additions for just 15 minutes. What this suggests is that traders are increasingly using far out-of-the-money options to participate in, or hedge against, the settlement uncertainty created during CAS. On zero days to expiry, even a small change in the final index settlement can sharply reprice these otherwise low-premium options. People are speculating more than ever before. This is exactly what Securities and Exchange Board of India did not want, and that is what is happening.”
On a 14-minute round trip
On 10 September the Sensex spent six hours inside 282 points, then travelled 4,655 points in the CAS window. From a 3.15 pm close of 74,629.5 it printed 75,708 by 3.23 pm before settling at 74,902.59. Nifty threw an indicative 23,761.65 off a 23,389 close, then gave it back. The 74,900 CE added about 59% in open interest in 15 minutes; the 75,000 CE added 48%. Both sides of the liquid options book finished lower on a day the index closed up — the signature of a spike that is not a repricing.
The excerpt above is from Shai Coelho's remarks as published in Business Standard. The full piece is at Business Standard. Market commentary is educational and observational; it is not investment advice or a trading recommendation.