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RECKONER: Bank Nifty Expiry Day Options Writing

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I have started this reckoner to help new options writers understand the ranges that the Bank Nifty fluctuates within on expiry days. You can check the past expiry day ranges within with the Bank Nifty moved and then based on the historical data, you can use your skills and experience to forecast Bank Nifty levels for the current expiry day.

Reading historical data is one of the tactics that pro options writers use to determine ranges. There are a couple of other tactics they use too, and I will reveal them in another post, as time permits.

SYNOPSIS: In the last 5 expiries, BANK NIFTY‘s Close as a percentage of Open has moved in a range of 0.05% and 1.84% (either way). Therefore, to be safe, I would consider writing PEs and CEs that are 1.84% away from the BANK NIFTY Open on expiry day.

However, note that the 1.84% is a freak occurrence and the 2nd most volatile movement was 0.99% followed by 0.71%. So, if one knows how to judge the trend midway and shift positions, he can manage with writing PEs and CEs that are 0.71% away from the Open on expiry day.

The main thing that writers should master is how to write one side options (i.e., either PEs or CEs). I’ll cover the strategy for that in another post.

DATETRENDPREVIOUS CLOSE (PC)OPEN (O)HIGH (H)CLOSE (C)(O over PC)(C over O)
9-9-21Incredibly narrow market, large caps are outperforming367683672536857

(H over O): +0.36%
36683-0.12%-0.11%
2-9-21Bullish US cues/Local market choppy and narrow36,57436,58836,895

(H over O): +0.88%
36,831+0.03%+0.66%
25-8-21Flat cues35,71235,76835,910

(H over O): +0.55%
35,586+0.16%-0.56%
18-8-211. Overnight Dow cues -ve but Asia in green

2. Nifty Pre Open +77

3. News of RBI lifting ban on HDFC Bk's issuing credit cards

4. Bias was bullish but trend reversed
35,86736,22236,249

(H over O): +0.07%
35,555+0.99%-1.84%
12-8-211. Overnight US and EU markets green

2. Asia in green

3. Midcaps fell hard a day before, but recovered in 2nd half
35,80635,82535,998

(H over O): +0.50%
35,937+0.05%+0.31%
5-8-211. BNF had a monster rally yesterday. It was up 821 points or 2.3%

2. But other than BNF, broader market fell

3. This expiry was hit by Vodafone's crisis and its impact on banks
36,02836,09336,115

(H over O): +0.06%
35,835+0.18%-0.71%
29-7-21Fed keeps interest rates low, but global markets flat34,53234,73034,778

(H over O): +0.14%
34,691+0.57%-0.11%
22-7-21All markets green34,41534,77434,990

(H over O): +0.62%
34,667+1.04%-0.31%

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