banknifty expected movement standard deviation

BankNifty BN Option Chain Analysis, Strangle Straddle Returns, Expected Movement – 27th March 2019

27th March 2019 – Really tough times for option writers with strict Stop Loss as BankNifty moved very sharply within a span of 15-20 mins. Intra day range was close to 2% of the index. This volatility is expected to increase further as we go closer to the elections. Trade with caution, we may have erratic moves on the expiry date.

Option chain – (28th March expiry) – Major short covering happened across CEs because of the negative sentiments. 30200, 30300 and 30500 acts as the resistance on the CE side while 30000, 29800 and 29500 act as support. Also, the key levels to watch for – 29584, 29756, 29929, 30102, 30276, 30450

Range – 29500 to 30500

Max Pain – 30000 (D-1: 29700, D-2: 29400, D-3: 29700, D-4: 29500, D-5: 29700)

PCR – 0.91

Strangle and Straddle Returns Table

BankNifty BN expected movement with 0.5 SD to 3.5 SD (Reference – Previous day’s closing price)

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