Bank Nifty Expiry today: Here’s what the options market is saying

Equity markets opened lower on Wednesday and despite efforts to move upwards, the markets were trading in the red by noon. The benchmark Nifty 50 was trading 0.21% lower at 25,882 while the Sensex was trading 0.14% lower at 84,786 by noon.

The Bank Nifty index, which has its expiry on Wednesday, was trading 0.06% higher at 54,000.30 at 12:00 p.m. The options market is currently factoring in an immediate resistance at the 54,100 level with the Call strike having an open interest of 1.09 crore at noon. The change in open interest for the strike stood at 1.01 crore.

On the downside, the market is reflecting a strong support at the 54,000 level with the Put options at this strike having an open interest of 1.74 crore at the time of writing. The change in open interest stood at 1.53 crore.

The max pain of Bank Nifty stood at 54,000 at the time of writing. The max pain theory shows the level at which option sellers are likely to have the least loss on expiry. However, this level is dynamic and keeps shifting when the market moves significantly in either direction.

On a 15-minute chart, the index traded close to its 21-period and above 50-period exponential moving averages (EMAs) and reflected a put-call ratio (PCR) of 1.12 which indicates a bullish sentiment. PCR is the ratio of the number of puts to the number of calls of an asset. In extreme market movements, the PCR may shoot up to as high as 1.85 during an up move or to as low as 0.45 during a down move.

India VIX, an index that reflects the anticipated volatility in the market over the next 30 days, fell nearly 3% on Wednesday to 15.39.