Sensex Expiry today: Index rallies over 1%, here’s what the options market is saying

Equity markets opened higher on Friday and rallied to trade significantly higher by noon. The benchmark Nifty 50 was trading higher by1.11% at 25,709 at 12:00 p.m.

The Sensex, which has its expiry on Friday, saw considerable gains and was up by 1.18% at 84,164.39 at 12:00 p.m. The options market is currently factoring in an immediate resistance at the 84,500 level with the open interest at this Call strike amounting to 17.24 lakh. The change in open interest for the strike stood at 12.61 lakh.

On the downside, the market is reflecting a strong support at the 84,000 level with the Put options at this strike having an open interest of 15.87 lakh at the time of writing. The change in open interest stood at 15.48 lakh.

The max pain of the Sensex stood at 83,900 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.

On a 15-minute chart, the index was trading above its 21-period and 50-period exponential moving averages (EMAs). The index reflects a put-call ratio (PCR) of 1.17 which indicates a bullish sentiment. PCR is the ratio of the number of puts to the number of calls of an asset. It is noteworthy that in extreme downward and upward market movements, the PCR could hit as low as 0.45 and as high as 1.8, respectively.

India VIX, an index that reflects the anticipated volatility in the market over the next 30 days, fell 10.42% on Friday to 16.33 by noon.