Saturday, 27 November 2021

Banknifty trade plan for December Expiry

Banknifty option strategy based on chart and option data  

Banknifty is in a firm bear grip. The market has fallen irrationally and is now in the oversold zone. 23.6% correct from top happened. There is a high chance that the market will reverse and change to consolidation or buy mode.

Future and Option data 

FII+Pro net short.  They sold 467061contracts as on 26th November market close. Total short by PRO is more than FII.

I considered only option data for the index because option volume is much more than the future.

Banknifty option chain - 2nd December

  • Put option  OI 518349
  • Call option OI 936440

Banknifty option chain -31st December

  • Put option  OI 131751
  • Call option OI 159055

Total change in Banknifty in last November clearing 

  • Open 39432 
  • Close 36025

Banknifty spot  36025 and future 36041 

The premium of December future is  16 points.

Technical Analysis of Banknifty daily char

Last Friday, banknifty broke 144 days EMA and closed near necessary support.  35937 is a 33 cube number that works as support. 

The following support is 233 EMA which is 34750. Banknifty is also very close to going long level as per Camarilla. 

Banknifty option strategy 

Delta for the strategy -10, Theta, and Vega ratio is less than 1:4, which is in my comfort zone.

Banknifty no loss strategy 

Break-even points are 33300 and 38800. This vast range makes this  no loss option strategy 

Payoff chart 

Adjustments :

1. Two lots straddle will be moved to ATM around 3:20 PM every day
2. Will make EOS adjustments if BNF crossed any of the breakeven points 

Banknifty weekly options strategy - Ironfly strategy deployed at 37500

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