01Cold open: the monthly settles today
Today is the big one, not a weekly, the monthly expiry. The whole July series, the heaviest open interest of the month, settles today. Yesterday the market ran straight up to 24,000, tapped 24,011, and closed 23,995.95, four points under the round number, on the biggest single strike on the board.
Crude is still falling, near 87 dollars from 100 a week ago. The fear gauge is asleep at 12.6. The put sellers are stacked underneath like a floor. Every one of those things says the same thing, buy the dips.
02The close: a breadth thrust
Monday was a proper up day. Nifty 23,995.95, up 228 points, almost a percent. Sensex 76,835.78, up 776. The internals were stronger than the headline, forty three up and only seven down inside the Nifty 50, midcaps and smallcaps up more than a percent, all eleven sectors green, IT leading up more than two percent.
And the fear gauge crashed to 12.6, down almost ten percent, as the bounce confirmed. Price up and fear down hard on broad breadth is the tape telling you the sellers are done for now.
03The monthly chain: 24,000 is the magnet
On a monthly the open interest is three to four times heavier than a weekly, so the levels pull much harder. Max pain sits exactly at 24,000. The put call ratio is 1.13, the supportive side, 20 crore puts against about 17.7 crore calls.
24,000 itself holds more than one and a half crore puts and 23,900 holds one and a third crore, the writers' floor. Above, 24,200 is the heaviest call line at about one and a half crore. And the pocket that matters, between 24,100 and 24,200 the 24,150 strike is almost empty, barely six lakh puts, so if we hold 23,900 and reclaim 24,050 there is very little in the way up to 24,150, exactly where a monthly like this tends to drift and settle. The straddle at 24,000 is only about 126, pricing a move of just 125 points for the whole day.
04Positioning: everybody De-Risked
The official participant file showed one clear thing, everybody de-risked into this expiry. The professional desk booked profit on the calls they had been long. The foreign institutions bought back the calls they were short, and stopped defending the downside so hard. The retail crowd covered more of their short puts.
Nobody is pressing a big directional bet into a monthly settlement with a Fed the next day. That is a market that wants to pin, not one that wants to run.
05The plan: buy dips at 23,900, target 24,150
One line under, one line over. The line under is 23,900, the put sellers' floor, the dip to buy. Hold it and this monthly can drift to 24,150, into the empty pocket between the walls. The line over is 24,200, the heaviest call wall, fade the first tap unless it is taken on a close. Lose 23,900 and only then does the pin break toward 23,800.
GIFT is near 23,977, a flat open right under 24,000, starting the monthly expiry sitting on the pin. Crude near 87 keeps the tailwind, the rupee firm near 95.91, its best in weeks.
06The edu: be the seller of premium, with a spread
On a monthly expiry with the vol gauge this low and the straddle only 126, you do not want to be the buyer of options. Time decay and falling vol eat a naked call or put alive even if the direction is right. The structure that fits a pin is to be the seller with a spread so the risk is capped, sell into the walls, buy the dips into support, let theta do the work.
One caveat, the Fed decides tomorrow, so the vol gauge will not fully collapse today. Do not sell so much premium that a Fed surprise hurts. Keep it defined, keep it small, respect the event. On the book, the All Cap finally shone, up 1.31 percent against the Nifty at 0.99, level with its benchmark since rebalance.