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RECKONER: Nifty Expiry Day Options Writing

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

Note that the table will start making sense as data keeps adding – maybe after 4-5 more weeks.

SYNOPSIS: In the last 5 expiries, NIFTY‘s Close as a percentage of Open has moved in a range of 0.10% and 0.74% (either way). Therefore, to be safe, I would consider consider writing PEs and CEs that are 0.74% away from the NIFTY 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 and volatile local markets17,35317,31217,380

High over Open: +0.39%
17,369-0.23%+0.33%
2-9-21US cues bullish; Local market narrow but large caps bullish17,07617,09517,245

High over Open: +0.88%
17,234+0.11%+81%
26-8-21All cues flat16,63516,62816,683

High over Open: +0.33%
16,637-0.04%+0.05%
18-8-211. Overnight cues from US were negative

2. But Asia was in positive territory

3. Nifty pre-open was +77

4. Day's bias was bullish, but the trend completely reversed in the 2nd session
16,61516,69216,702

High over Open: +0.06%
16,569+0.46%-0.74%
12-8-211. Overnite US and EU markets green

2. Asia in green

3. Midcaps fell hard a day before, but recovered
16,28216,30316,375

High over Open: +0.44%
16,364+0.13%+0.37%
5-8-211. BNF had a monster rally yesterday. It was up 821 points or 2.3%

2. There were no particular cues for Nifty except that global cues were largely negative

3. RIL jumped by Rs 27 and HDFC Bank by Rs 18 and they helped the Nifty close +ve
16,25816,28816,349

High over Open: +0.37%
16,294+0.18%+0.04%
29-7-21Fed keeps interest rates low, but global markets flat15,70915,76215,817

High over Open: +0.34%
15,778+0.34%+0.10%
22-7-21All markets green15,63215,73615,834

High over Open: +0.62%
15,824+0.67%+0.56%

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