Folks, trying to understand below behavior.
Why 77200 PE is so low, despite spot being 77067? (it was at last 30 mintues of expiry. Close to 5 or 10 minutes to expiry).
Though last 30 minutes have impact on stock’s closing price, how this much difference is witnessed in put premium? (i expected to be 100+, while it is just 0.45)
Hi @labtrader
As weighted average price between 3 to 3:30 PM is used to determine closing price, option prices after 3.15 pm usually factor in the implied closing price in 99% cases. As sensex closed at 77209.9, all put options starting from 77200 PE were nearing zero even when it was 3.22-3.25 pm
You can also verify this generally by checking the prices of ITM options which can give you a clue about where the spot can possibly expire.
You can also use Anchored VWAP indicator, which will give you idea about what the closing price world be.
why does this is not available on TV ?
can you show right settings to setup this indicator for last 30min average.
In the field select Close and drag the AWAP to 3:05 or PM on a minute Chart. (This is in ChartIQ)
it is always +/- 3 points usually as exchange takes volume of all the index constituents in the calculation too which is not in Zerodha’s index charts.
Synthetic future price can also show it in some cases, and on monthly expiry you can just look at the index future price for an idea.
The blue line is AVWAP and Index is Nifty Mid Select
So the difference in mine and exchange is of 1.92, due to AVWAP working without volume data
Advice on this would be welcome.
thx mate, will test it out on Monday.
For Anchored VWAP, what should be the anchor time on the expiry day???
Kindly guide.
For Anchored VWAP, why do you use 3:05 pm as Anchor time???
Won’t 3:00 pm be the more representative Anchor time.
Kindly guide.
Sorry missed replying
The major move usually takes place either before 3 pm or between 3 to 3.10 pm and after that it’s mostly done 90% of the times. If we’re trying to figure out the logic of 3.05 pm, it is that it can capture the avg btwn 3 and 3.10 pm
I’d recommend you to try both 3 and 3.05 pm and decide for yourself which one will help you the most. Difference won’t be too much.
This along with tracking ITM option price should be sufficient enough I feel
Thanks a lot wholeheartedly for the detailed reply.
One last question. From your years of market experience, how often do you see Max Pain level (strike price) changing after 3 PM on expiry day.
Thanks.
