I intended to do this post in the evening, but ran into some problems with the NSE site which was flashing two different sets of Open Interest figures between 7.00 pm and 10.00 pm. The excruciating part was that there was a 20 % difference between the figures at 5300 CE, one showing covering at the 5300 strike and the other showing addition of the same amount at the strike !!
The calculations for the expiry have been done as per the formula detailed in this post here
The formula projects a range of 5276-5390 for the session.
Now comes the Open Interest part :
The reduction of 11 % in the 5300 CE and the addition of 11 % in the 5300 PE point to an expiry above 5300.
Further if you look ahead at the 5400 strike, you can see a reduction of 11 % at the 5400 put and addition of 7 % at the 5400 call.
This means that writers at these strikes are confident that the expiry will be below 5400.
So VIX is predicting that the future will expire around 5380/90 today.
Let’s see how it holds up.
We of course will be tracking the call of the VIX with Market Profile.
If there is a divergence, we will be the first to know.
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