Sensex Expiry Today: Options market reflects 79,600 level to be crucial, low OI numbers indicate weak conviction

Equity markets opened higher on Friday and continued their strong momentum by noon after major Wall Street indices recorded gains following upbeat US retail sales data. The benchmark Nifty 50 was trading higher by 0.99% at 24,381.75.

The Sensex, which has its expiry on Friday, traded higher by 1.05% at 79,933.18 at 12:00 p.m. The options market is currently factoring in an immediate resistance at the 80,000 level, with the open interest at this Call strike amounting to 21 lakh. The change in open interest for the strike stood at 16.5 lakh. It is noteworthy that given a strong upside momentum seen on Friday, the open interest numbers on the Call side are lower than what is usually seen. This indicates the resistance level is a weak one.

On the downside, the market is reflecting a reasonable support at the 79,500 level with the Put options at this strike having an open interest of 18 lakh at the time of writing. The change in open interest stood at 17.3 lakh.

The max pain of the Sensex stood at 79,600 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 0.93 which indicates a neutral 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 5.12% on Friday to 14.65 by noon.