Rajandran R Creator of OpenAlgo - OpenSource Algo Trading framework for Indian Traders. Telecom Engineer turned Full-time Derivative Trader. Mostly Trading Nifty, Banknifty, High Liquid Stock Derivatives. Trading the Markets Since 2006 onwards. Using Market Profile and Orderflow for more than a decade. Designed and published 100+ open source trading systems on various trading tools. Strongly believe that market understanding and robust trading frameworks are the key to the trading success. Building Algo Platforms, Writing about Markets, Trading System Design, Market Sentiment, Trading Softwares & Trading Nuances since 2007 onwards. Author of Marketcalls.in

Nifty and Bank Nifty Straddle Premium, Implied Volatility and Hefty Options Premium Ahead of Budget 2023

1 min read

Focusing on the straddle premiums is quite important as we are nearing the major economic event of Budget 2023. Ahead of a major economic event, the index tends to be highly volatile, making it crucial to focus on straddle premiums as it can provide insight into the market’s expectations for the event.

As the Straddle Players are the max risk takers ahead of the event the volatility expectation from the options players can be extracted based on the straddle breakeven range.

Nifty Weekly Straddle Premiums

Nifty Weekly Straddle Premium – t+2 for expiry

Currently, Nifty Straddle Breakeven levels are at 17281 – 17919 and the combined premium is 319 points approx which increases the odds of possible wilder price swings / strong directional price action in the next two trading sessions with a minimum of 400+ points of high to low intraday price action.

Bank Nifty Weekly Straddle Premiums

Bank Nifty Straddle breakeven levels are at 39426 – 41574 and the combined premium is 1074 points approx which increases the odds of possible wilder price fluctuation of 1200+ points

Bank Nifty Straddle Premium – t+2 for expiry

Nifty Implied Volatility Charts

Implied Volatility Jumped from 13+ to 18+ levels

Nifty and Bank Nifty Implied volatility levels elevated to 18+ and 24+ levels respectively and the Hindenburg research report on Adani too spooked up the implied volatility in the last couple of days. The question here is whether will there be a volatility crush on the date of the budget or around the RBI Policy announcement which is due by next week.

Bank Nifty Implied Volatility Charts

Bank Nifty Implied Volatility Jumped from 16+ to 24+ levels

Nifty Weekly- Hefty Option Premiums

Option Premium too way costlier ahead of the event. Option buyers need to evaluate their probability of profit before taking any naked positions as it is most damaging and very rarely rewarding to trade ahead of the budget. Unless a strong directional price action option buyers it is a difficult choice to trade ahead of the budget event.

BankNifty Weekly- Hefty Option Premiums

Rajandran R Creator of OpenAlgo - OpenSource Algo Trading framework for Indian Traders. Telecom Engineer turned Full-time Derivative Trader. Mostly Trading Nifty, Banknifty, High Liquid Stock Derivatives. Trading the Markets Since 2006 onwards. Using Market Profile and Orderflow for more than a decade. Designed and published 100+ open source trading systems on various trading tools. Strongly believe that market understanding and robust trading frameworks are the key to the trading success. Building Algo Platforms, Writing about Markets, Trading System Design, Market Sentiment, Trading Softwares & Trading Nuances since 2007 onwards. Author of Marketcalls.in

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