Generally, the end of any series carries with it a little excitement on where it would end and pundits are known to record the value as a future reference.
We at Vtrender do not give any more importance to the closing expiry price than the close of any one trading day, and the larger auction process moves on regardless.
But we do have a little calculator which helps us arrive at an approximate range for expiry many days before.
That calculator has calculated the range of Thursday’s action to be 5625-5748.
Before we get into the Open Interest break-up, let’s look at the longer term view of the Nifty Jan Future in terms of Profile structure for this series.
The purple zone is where the Market has traded 70 % of the time and it’s chosen region to auction.
The price point of control at 5700 represents the pivot around which moves have been made and should be the same for tomorrow’s session.
Profile by itself would indicate the region around 5700 as a fair settlement price for the series.
Let’s shift our focus to the Open Interest at 5700 strike for Jan.
5700 Jan CE :
The table is for the Open Interest over the past five sessions here. It shows a reduction of -850650 units and a total OI of 5992500.
5700 Jan PE :
Reduction of -156900 here over 5 days and a prevailing build up of 5034800.
The picture cannot be complete without considering rollovers as well as the Open interest in Feb at the same strike
5700 Feb CE :
1666200 added and the total OI is 2516400. Most of it added in the past five sessions.
5700 Feb PE :
1371550 added against 3315400 as total Open Interest.The chart shows almost a 100 % rollover from Jan to Feb.
So Open Interest clearly shows what profile has been saying all along – that there is uncertainty or in the language of profile a balance prevalent in the current market structure.
I won’t be surprised if we expire between 5700 and 5716.