PB-BNF Expiry

Nifty Bank Weekly Expiry Case Study
28-Dec-19
PASSIONATE BULLS
 AIM: To observe Nifty Bank on weekly expiries (all)
 Nifty Bank Weekly Expiry: National Stock Exchange introduced 1st

Nifty 50 weekly expiry on 7 May 2016 & it expires on 12 May 2019. The
weekly options on Nifty Bank index provides an additional hedging tool
for market participants to manage the portfolio risk more effectively. On
expiry of a weekly contract, the exchange will introduce next weekly
contract on rolling basis. The existing three-monthly options contracts,
three quarterly and eight semi-annual option contracts will also continue
to be available. The contracts will expire on Thursday of every week. In
case, Thursday is a trading holiday, the previous trading day will be the
expiry or the last trading day.
 Procedure: We have collected data from NSE’s website about historical

prices of index (made available in excel format), Based on that conducted
following three functions which may help to study index on expiries.
 1. Range: It is difference of highs & lows of Index presented below in

graphical format. Identifying range of index gives idea about max
possible move of index. (ref graph 1: range)
 2. Open & High: It is difference of highs & opens of index on expiries.

This gives idea about “how much index had gone up from open?”,
thereby enabling possibilities to identify upper shadows (ref graph 2: H-
O)
 3. Close & Low: It is difference between closes & lows of index, this
gives idea about “how much index had lifted from its lows?” thereby
enabling to identify size of lower shadows (ref graph 3. C-L)
Range
1600
1400
1200
1000
800
600
400
200
0
6 6 6 6 6 6 7 7 7 7 7 7 7 7 7 8 8 8 8 8 8 8 8 9 9 9 9 9 9 9 9 9
-1 -1 -1 -1 -1 - 1 -1 -1 -1 -1 - 1 -1 -1 -1 -1 - 1 -1 -1 -1 -1 - 1 -1 -1 -1 -1 - 1 -1 -1 -1 -1 -1 -1
ay Jun Aug Sep Oct Dec Jan ar Apr ay -Jul Aug Sep Nov Dec F eb ar Apr Jun -Jul S ep Oct Nov Jan Feb Apr ay Jun Aug Sep Oct Dec
-M 3- - 5- 7- 8- 19- 2-M 13- 5-M 6 7- 8- 9- 1- 1- 5-M 26- 14- 26 6- 17- 9- 10- 1- 4- 6-M 27- 8- 9- 31- 2-
12 2 4 1 2 2 1 2 2 1 2 2 1 1 1
Graph1: Range
H-O
1200
1000
800
600
400
200
0
6 6 6 6 6 6 7 7 7 7 7 7 7 7 7 8 8 8 8 8 8 8 8 9 9 9 9 9 9 9 9 9
-1 -1 -1 -1 - 1 - 1 -1 -1 -1 - 1 -1 -1 -1 -1 -1 - 1 -1 - 1 -1 -1 - 1 -1 -1 -1 -1 -1 -1 -1 -1 -1 - 1 -1
-M 3- - 5- 7- 8- 19- 2-M 13- 5-M 6 7- 8- 9- 1- 1- 5-M 26- 14- 26 6- 17- 9- 10- 1- 4- 6-M 27- 8- 9- 31- 2-
12 2 4 1 2 2 1 2 2 1 2 2 1 1 1
Graph2: High-Low
C-L
700
600
500
400
300
200
100
0
6 6 6 6 6 6 7 7 7 7 7 7 7 7 7 8 8 8 8 8 8 8 8 9 9 9 9 9 9 9 9 9
- 1 -1 -1 -1 -1 - 1 -1 -1 -1 - 1 - 1 -1 -1 -1 -1 - 1 -1 - 1 -1 -1 - 1 - 1 -1 -1 -1 - 1 - 1 -1 -1 -1 - 1 -1
-M 3- - 5- 7- 8- 19- 2-M 13- 5-M 6 7- 8- 9- 1- 1- 5-M 26- 14- 26 6- 17- 9- 10- 1- 4- 6-M 27- 8- 9- 31- 2-
12 2 4 1 2 2 1 2 2 1 2 2 1 1 1
Graph3: Close-Low
 OBSERVATIONS: we have found following observations in above

three functions as follows
A. Range: Out of 189 expiries
Range
max
<50
1%
3%5% 19% <100
8%
100-200
200-300
15% 300-400
18% 400-500
>500
30%
1) Max range is 1423 pts on 23-may-19 (0.5 %)

2) Min range is 96 pts on 16-Mar-17 (0.5 %)
3) 2 times index ranged Below100 pts (1%)
4) 47 times index ranged between 100-200 pts (25 %)
5) 60 times index ranged between 200-300 pts (32%)
9) 12 times index ranged above 600 pts (6%)
B. High-Open: out of 189 expiries
High-Open
max
<50
1%
3%5% 19% <100
8%
100-200
200-300
15% 300-400
18% 400-500
>500
30%
1) Max up move from open is 1078 pts on 26-Sep-19 (0.5%)

2) 36 times index up by below 100 pts (19%)
3) 54 times index up by below 50 pts (29%)
4) 54 times index up by below 100-200 pts (29%)
5) 22 times index up by between 200-300 pts (12%)
6) 12 times index up by between 300-400 pts (6%)
7) 5 times index up by above 400-500 pts (2.5%)
8) 3times index up by above 500 pts (1.5%)
C. Close-Low: out of 189 expiries
Close-Low
max
<50
1%
3%5% 19% <100
8%
100-200
200-300
15% 300-400
18% 400-500
>500
30%
1. Max retrace is 620 pts on 25-May-17 (0.5%)

2. 33 time index retrace by below 50 pts (17.5%)
3. 52 times index retrace by below 50-100 pts (27.5%)
4. 58 times index retrace by between 100-200 pts (30.5%)
5. 20 times index retrace by between 200-300 pts (10.5%)
6. 15 times index retrace by above 300-400 pts (8 %)
7. 10 times index retrace by above 400 pts (5 %)
D. Open-Low: out of 189 expiries
Open-Low
max
<50
1%
3%5% 19% <100
8%
100-200
200-300
15% 300-400
18% 400-500
>500
30%
1. Max low is 737 pts on 17-Oct-18 (0.5 %)

2. 36 times index lowed by below 50 pts (19%)
3. 34 times index lowed by below 50-100 pts (18%)
4. 57 times index lowed by below 100-200 pts (30 %)
5. 28 times index lowed by below 200-300 pts (15%)
6. 15 times index lowed by above 300-400 pts (8%)
7. 7 times index lowed by above 400-500 pts (3%)
8. 10 times index lowed by above 500 pts (5%)
DAY CANDLE APPROACH :

In below picture we have shown 189 expiries Day Candles
1. 86 times market closed in Red candle (45%)
2. 103 times market closed in green candle (55%)
CONCLUSION :
As we have tested various functions for study, we are using highest probability
scenarios, on that basis attempting to have an high probability day movement,
so from open of market
High : above 100 pts from open (48%)
Range: upto 300 pts (57%)
Close: upto 200 pts from low (58%)
considering above scenarios, it forms “ Body with uppper & lower shadow”

PB-BNF Expiry

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Nifty Bank Weekly Expiry Case Study

 AIM: To observe Nifty Bank on weekly expiries (all)

 Nifty Bank Weekly Expiry: National Stock Exchange introduced 1st

 Procedure: We have collected data from NSE’s website about historical

 1. Range: It is difference of highs & lows of Index presented below in

 2. Open & High: It is difference of highs & opens of index on expiries.

 OBSERVATIONS: we have found following observations in above

1) Max range is 1423 pts on 23-may-19 (0.5 %)

B. High-Open: out of 189 expiries

1) Max up move from open is 1078 pts on 26-Sep-19 (0.5%)

1. Max retrace is 620 pts on 25-May-17 (0.5%)

D. Open-Low: out of 189 expiries

1. Max low is 737 pts on 17-Oct-18 (0.5 %)

DAY CANDLE APPROACH :

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