The calculations for the expiry have been done as per the formula detailed in this post here
The formula projects a range of 5276-5390 for the session.
Now comes the Open Interest part :
The reduction of 11 % in the 5300 CE and the addition of 11 % in the 5300 PE point to an expiry above 5300.
Further if you look ahead at the 5400 strike, you can see a reduction of 11 % at the 5400 put and addition of 7 % at the 5400 call.
This means that writers at these strikes are confident that the expiry will be below 5400.
So VIX is predicting that the future will expire around 5380/90 today.
Let's see how it holds up.
We of course will be tracking the call of the VIX with Market Profile.
If there is a divergence, we will be the first to know.
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Posts
67 comments:
GM Shai n evryone.
Gm Shai,
Me also calculate the same & cover all my shorts near 5338 range in big losses.
Can U give some Idea for nxt month?
Should I carry my shorts for nxt month or wait & watch?
Good Morning Shai & Viren.
Sir Good Morning
I buy NF @5341 what is the targets and SL?
Hey Google Finance & yahoocharts showing difrent numbers for Nf?
Yts happening?
shai,
thanks for this simple but powerful calculation.. in april,i was not able to interpret the OI change well hence end up with only the range and not able to pinpoint the expiry.. your article in May has given some idea on OI change and today's article has given complete idea..once again thanks for sharing knowledge..
GM all.
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Yesterday's resistance at 44 playing out.
Next is 67/77.
Axis bank looking good for a break-out today above 1256
1296 is what I see on Axis in next 2-3 days.
GM All. Gm RM. Good to see you.
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It seems I have been forgotten elsewhere. Hope I have the "love" here.
Hi Viren!
How can we forget you? You are the one who has introduced most of us to this concept of market profile.
Grateful to you and Shai for taking so much trouble to impart knowledge.
Best regards.
Gm all..
Viru pa ji..who told u tht u r forgotten pa ji..
in ur absence (sh)Jai pa ji is very well playing with
"dhano-nifty" thru "basanti-MP"
::::))))
@Manu
Manu bhai, lage raho!
:)
Viren,
Welcome back.
There's always love here, my friend.Let's rock!!
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Thank you RM, Manu, Shai.
I'm a liitle rusty from inaction, but looking forward to getting back. :) .
Hi Viren Welcome back
Your seat is always empty,Plz continue with us.
Bought LNt @ 1795 sl-1785 T-1810
Shai can U elaborate my tarde as per Mp
Musti,
LT is a very good pick. Should see 1816 today.
I will go for Axis only above 1260.5 Is that ok
It cant sustain near 1258 level
Shai,
Trend day or double distribution??
Shai,
A question. we have seen an addition of 18L OI in 5300 put @ 3.3-3.5 today. On the other hand 5400 puts have shed OI just a little bit. If we are to see an expiry closer to 5400, should not 5400 puts be building up?
On a similar note, if expiry was to be closer to 5400, why should 5400 call build up @ 2.25. Would have thought some action on 5300 calls was likely. But so far it is not so?
Does this point to an expiry around 5300 or am i getting it all wrong?
BN consolidating at 9725.
Should give a run up to 9795. Stop would be 9700.
Viren,
67 is standing in the way of your trend day.Will have to watch for responsive selling there if any.
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GK,
On the NSE the logic of index options is reversed. there are more sellers of options than buyers. Check under the detailed quotes or the order book for total qty of buyers/ sellers.
Thanks Shai,
that was a quick response.
Recieved a chat now about a buy call on Axis bank by angel.Their tgt 1285.
LOL Viren.
Now I am worried about the call. :) .
Dear Shai, yest. i asked u about my positional shorts.Are the levels same for me to look ie 5297 and 5367. Any suggestions??
Thanks
GA Shai, jus finished 20-20 trade in BN. 9705-9725 :)
Bizagra,
There is a very good chance we will see 5367 today and a few more.
The other level of 5297 is where shorts can feel safe slightly.
However, there is a lot of supply from here (5350) to 5400/5450 and you will get breaks of 60-80 points.
hey Shai
this is what i call a selflessness.
not only u try and calculate the nifty expiry every expiry, but also u put up the formula for the same on ur blog.
no wonder, ur honesty and selflessness have put u to the accurate expiry figure, and this time also u would succeed.
bravo
regards
O SHAI GERAT EXPIRY TARGET.THX FOR FOR YR SELFLESS EFFORT
Rochak,
Congrats on your new blog.Wishing you the best!
Shai, jus saw ur expiry calculations, can we calculate bn too with the same VIX figure?
HELLO FRIENDS
our targets completed in UTV SOFT. 2 more trades suggested. Please have a look at stock2gains.blogspot.com
thanks
regards
market is getting risky for longs. needs to stay above 5338-5345.
BN not moved at all today.
Only 34 points all day.
Very very odd !
Possible rate announcement today?
Shai, jus saw ur expiry calculations, can we calculate bn too with the same VIX figure?
No VJ,
Every stock/index has it's own volatility figure,
For BN it is 20.1 for the fut.
Thanks Shai, & where do we find this data?
Hi Shai, i was going through your entry on how to calculate expiry and found it to be quite interesting. How would you apply the same for any individual scrip or is there a different method for doing so?...Thanks!
ES below 1083.
The last move down is global.
market is getting risky for longs. needs to stay above 5338-5345.
June 24, 2010 12:33 PM
5306.
The warning was there on the profile chart. Didn't take advantage...damn it.
shai
y u said last move
sitting and watching this unfold.
expiry at it's best !!!
truely said, expiry at its best
but, can we now expect a counter move towards 5365-85 since its an expiry day.
What a move from 5327...36 points in minutes!!
Shai now yt U think for expiry near 5300 or below 5300
rochak,
Does not look like we will see higher prices now.
Shai,
1078 ES. Keep an eye on that one.
We of course will be tracking the call of the VIX with Market Profile.
If there is a divergence, we will be the first to know.
Shai U posted in morning & warned but not mention any -ve divergance
A fall of 40 points very fast cant be ignored.
Dear Shai can i hav a sigh of relief for my shorts now?
Thanks
This expiry is such a funny thing. It paralyzes your thought processes.
You have 2 schools of thoughts running in your head.
On one hand the Vix was shouting 5380.
On the other hand the profile didn't show any significant movement above 5344.
Next came the global sell-off.
Now you don't know whether to listen to your profile chart or to the vix/ open interest.
Bizagra,
The distance btw your relief and pure joy seems to be a very short one now.
Thanks Shai..:):)
Well said, Shai.
I can understand your predicament.
Last month was cool, we had both MP and Vix singing along together.
Today as you mentioned in your post above, there was divergence.
Shai did say..
market is getting risky for longs. needs to stay above 5338-5345.
shai ..
did u chck HCL..http://us.i1.yimg.com/us.yimg.com/i/mesg/emoticons7/102.gif
utv soft & indian hotels success, and PFC and federal bank failures strengthens my point that volume follow ups along with LH/LL & HH/HL formation on a daily/weekly/monthly scale are valid enough parameters for a stock specific approach.
ind hotel trgts? r parekh?
to me it was 106.5-106.8, since 106.55 hit, it already reached its targets. but overshooting can be expected if ur buys are closer to 103-102 as suggested by me with a SL < 102
5276 11 pts more ....
vi
even now a risk of buying closer to 104 can be taken since volumes are on our side.
but SL being 102 risk reward ratio doesnt favour. if somebody is a risky player, buy closer to 104, sl same, target closer to 108-110 positional if not intraday.
again good vols on the upside now
what a swing from 5276-87 zone....
expiry at 5320.
Bye Shai. Let's get ready for the next series. :)
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