Derivatives Data Analysis and Expiry Day Trading Strategy - Feb 24

Derivatives Data Analysis and Expiry Day Trading Strategy

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by Ruchit Jain Last Updated: Dec 11, 2022 - 05:00 am 35.9k Views

Expiry Day Strategy for 24.02.2022

Uncertainty over the global developments on Russia-Ukraine geopolitical tensions have led to higher volatility in the indices in this week. However, if we look at the recent price movement, then it is seen that the index has traded with higher volatility but is confined within a broad range. When the index comes near 16900-16800 range, we witness buying interest over there but selling pressure is seen on pullback moves towards 17300 - 17400.


The recent global geo-political developments have led to rise in volatility and hence INDIA VIX has surpassed its hurdle of 24 and almost tested 28 mark yesterday. The IV’s of options are high which in turn results in expensive options premiums. 

FII Data Analysis

During the start of the series, FII’s had more of short positions in the index futures segment, but off-late, they have covered much of the short and their ‘Long Short Ratio’ is now around 54%. They have also formed long positions in the stock futures recently.

Options Data Analysis

Ahead of the expiry day, open interest build up was seen in 17200-17300 call options indicating this to be a resistance range on the expiry day. On the flipside, 17000 put option has highest open interest which will be a level of tug-of-war on the expiry day.

The highest open interest outstanding in Bank Nifty is at 38000 call option and 37000 put option.

Expiry Day Strategy

On the expiry day, the global markets development is likely to derive the momentum. However, given that the data is not negative, we would advice keeping a buy-on-dip strategy and look for buying at-the-money call options in the index when it comes around the support. Below are the intraday supports and resistances for key indices.

• Nifty Expiry day levels -  Support at 16985 & 16910           

                                          Resistance at 17180 & 17300

• BankNifty expiry day levels – Support at 37215 & 37040

                                                  Resistance at 38500 & 38670


Below is the link to the expiry day strategy webinar

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About the Author

Ruchit Jain is Lead Research Analyst at 5paisa. He has a vast experience of 14 years in this field and is proficient in Technical and Derivatives Research. He has completed his CMT (U.S.A.) and has done Masters in the field of Finance at Mumbai University.

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