Open Interest data from 15th Jan shows stong accumulation in the 5300 call as well as the 5200 put heading into the weekend.
Whilst yesterday we had seen a lot of accumulation in puts at the 5200 strike, today we saw call writers adding 15 % at the 5300 strike to bring the open interest there to 6.5 million which is a formidable resistance to overcome.After adding 8.5 % yesterday, put witers added another 7.7 % today at 5200 bringing the total there above 5 million to 5.36 mn.
So, the players are expecting the theta decay to work over the weekend as can be seen in the OI concentrations at these strikes.
I have not seen the implied volatility at these levels in a very long time.Markets will remain range bound between 5200 & 5300 till we see OI declining at one of these 2 strikes.
