Brent Reclaimed 100. The Floor Is The Buy. Vol Comes Back.
Yesterday's pin paid 5 for 5. Then Brent reclaimed 100 overnight. Asia cooled. The chain priced calm. The tape printed something else. Buy on dips continues. 24,000 is the level.
Setup
Thursday at 17:30 IST I locked the EP34 grade. Five out of five. Pin held at 78,000. Bank Nifty closed green. Broader market led. VIX stayed sub-19, ninth straight session.
Then at 17:35 I opened the 12 May Nifty options chain. Tuesday's weekly expiry. Five trading days out. The chain told me, do not get comfortable.
What changed overnight
Brent reclaimed 100. Tuesday print 97. Wednesday AM 101.50. That is plus 4 dollars 34 cents in a single overnight session. The Hormuz tail is not dead. It just took a break.
Asia cooled. Nikkei minus 0.61. KOSPI minus 1.13. Hang Seng minus 1.19. Yesterday's risk-on session gave back its bid.
US closed mixed. Dow futures plus 0.07. S&P minus 0.38. Nasdaq minus 0.13. Soft, not broken yet.
GIFT Nifty 24,294. That is 33 points below Thursday's cash close. Sub-magnet, above the active put floor.
The chain doubled
12 May Nifty options chain after the close. 24,400 call. Open interest added in a single session. 24.79 lakh contracts. Biggest single-strike call write of the day. Then 24,500 added 19 lakh. 24,600 13 lakh. 24,700 10 lakh. 24,800 12 lakh. Then 25,100 to 25,400 stacked 7 to 24 lakh contracts each strike.
Eleven strikes from 24,400 to 25,400. Total 1.43 crore contracts of fresh call write in eight hours. Not a wall. A ceiling. A multi-strike ladder. The cap is no longer 24,500 alone. The cap is a wall a thousand points wide.
The floor moved
Last week's pin was 24,000. The 24,000 PE OI sat at 73 lakh. The pin paid by 26 points last expiry.
This week the biggest single-strike put write was 23,500. 28 lakh contracts. 800 points out of the money. Deeper than any call write of the day. Writers built a new floor. 800 points below spot. They did not expect to need it. They built it anyway.
Pin map
24,300 strike, 14.82 lakh CE plus 17 lakh PE. Both sides written. 24,400 strike, 24.79 lakh CE plus 14.14 lakh PE. Both sides written.
Pin moved up 50 points from last week. 24,300 to 24,400. We are opening 50 points below it.
ATM straddle band
24,350 strike. Call 176 plus put 165 equals 341. Multiply by 1.25 standard wing factor. 426 points either side. Five-day chain range 23,924 to 24,776. Spot closed 24,326 inside the band, 24 points below the magnet. The chain did not pick a direction. It picked a range.
But the chain priced that range last evening. Before Brent moved 4 dollars. Before Asia softened. Before DXY firmed. The chain priced a calm Friday. The tape printed something else.
Bank Nifty stays long
Bank Nifty 26 May future closed 56,291. 244 points premium over cash. PCR 0.91. Call light. Bullish.
FIIs bought around 1000 crore Bank Nifty futures Wednesday. Held to Thursday. The same desks hedging Nifty index are long Bank Nifty futures. Two desks, two tilts. Banks long. Nifty hedged.
Participant book
Pro added 1.30 lakh long puts in a single session. The biggest one-day put hedge of S2. FIIs pressed all three legs short. Combined FII bear stack 8.31 lakh contracts.
When Brent reclaimed 100 overnight, the desks that bought protection on Thursday just got paid a little.
The trade
Buy on dips continues. View does not flip. Default lean from the chain was 24,050 to 24,150. Soft buy. With Brent reclaiming 100 and desks already hedged, I wait for a deeper print of 24,000 as the buy level.
24,000 is where 73 lakh PE OI sits. It is the active floor. It is where writers will defend before the deep wing prints in. If 24,000 comes in, I buy. Spot or front-week call, depending on where the IV opens.
Keep the Bank Nifty long carry. Bank PCR below 1 at 0.91. FII still long. Don't overthink it.
Expect a vol spike today. Brent moving 4 dollars overnight is not a calm-Friday signal. India VIX closed 16.62. Floor of a regime, not floor of a market. When Brent ramps and Asia cools and DXY firms, vol catches up.
I am not selling the straddle today. The chain priced calm. The tape priced something else. Buy the floor. Hold the wing. Let vol pay. The 23,500 PE is alive.