On Wednesday 10 Jun 2026 the Nifty 23,250 call of the June expiry traded 10,854 contracts. The 23,300 call, one strike up, traded 43,490, which is 4.0 times as many. Same expiry, same lot of 65 units, one strike apart. If you had to buy one of them and sell it an hour later, which row would you trust? The chain does not say. It prints a price in every row, and a price is not the same as a market you can use. I check how much trades at a strike before I trust the number beside it. This lesson reads one chain for tradability: what the end of day file can show, what it cannot, and which checks take a minute. Every figure comes from the files of 10 Jun 2026. Nothing here is live, and nothing is a view on where the index goes.
3By the end you can
- Say what volume and open interest each count, and put them in the same unit.
- Spot a strike that prints a price with almost no trade behind it.
- Explain why a stop order cannot promise a fill and a closing chain cannot time a move.
The idea, plainly
Liquidity is how easily you can trade a size at a price close to the last one. A liquid strike has many buyers and sellers close together, so an order moves the price by a tick or so. An illiquid strike has a few, far apart, so the same order moves it by more. Three things describe it. The spread is the gap between the highest bid and the lowest offer. Depth is the size waiting at those prices. Volume is how much has traded.
Read one more paragraph, 68 words
Here is the limit of this lesson. NSE's end of day file records the last price, the settlement price, volume and open interest. It holds no quotes, so it has no spread and no depth. Volume and open interest are signs of liquidity, not measures of it. A live screen shows quotes and a closing file cannot. For how orders meet in the book, see module 10.1.
Volume or open interest: which matters?
Both, for different jobs. Volume is contracts traded during the day, a flow. Open interest is positions still open at the close, a stock. Think of traffic on a road and cars parked beside it. NSE's file counts open interest in units, so divide by the lot of 65 to get contracts before you set it beside volume. The chain reading module covers every column, and the open interest module the change column. Volume divided by open interest, both in contracts, is turnover: how many times the open positions changed hands in the day. The table gives June calls of 10 Jun 2026, with volume and open interest (OI) in contracts and turnover in times.
| Call | Volume | OI | Turnover |
|---|---|---|---|
| 23,250 | 10,854 | 4,494 | 2.4 |
| 23,300 | 43,490 | 17,272 | 2.5 |
| 23,000 | 17,475 | 25,555 | 0.7 |
| 22,950 | 26 | 104 | 0.25 |
Open interest is a stock: it sits on the round strikes and moves slowly
Read one more paragraph, 67 words
The 23,250 and 23,300 calls turned their open positions over by almost the same multiple, 2.4 and 2.5 times, but the 23,300 did it with four times the contracts. The 22,950 call is the other kind: 26 contracts traded against 104 open. Volume answers whether anyone traded this strike today. Open interest answers how many positions are parked there. Neither gives you the price you would get.
Which strikes trade
Look at the volume chart. The round hundreds are busy and the fifties between them are quiet. The 23,000 call traded 17,475 contracts and the 22,950 call, one strike lower, traded 26. The usual reason is that traders gather at round levels and quotes follow them. The file shows the pattern, not the reason.
Round hundreds trade several times what the fifties beside them do
The weekly expiry of the same day traded far more at the same strikes
Read one more paragraph, 62 words
Liquidity also depends on the expiry. On the same day the weekly chain that expired on 16 Jun, six days away, traded 6,68,000 contracts at its 23,250 call. The June monthly traded 10,854 at the same strike, so the weekly was 61.5 times as busy. A position in the quieter expiry has fewer counterparties to exit to. Module F04 lists the expiries.
Cheap options are costly to trade
The smallest price step on Nifty options is Rs 0.05, one tick, so a quoted spread cannot be narrower than that. On a dear option it hardly matters. On a cheap one it is a large share of the price. The table gives the settle in rupees a unit, one tick as a share of it, and volume in contracts, for three June options.
| Option | Settle | Tick share | Volume |
|---|---|---|---|
| Call 23,250 | 321.65 | 0.016% | 10,854 |
| Call 24,500 | 22.90 | 0.22% | 47,520 |
| Put 20,650 | 0.35 | 14.3% | 12 |
Read one more paragraph, 49 words
The last row is a put settled at Rs 0.35, with 12 contracts traded and 129 open. One tick is 14.3% of its price before any charge. A far strike like that prints a number every day, and the number says little about what an order would meet.
Worked example: a stop order and a closing chain
Two questions come up on every chain, and the numbers above answer both. Take the 23,000 and 22,950 calls of the June expiry, a strike apart.
Four checks take a minute, and they come before any price is trusted
Read 3 more paragraphs, 355 words
How do people set a stop on an option, and when do they exit? A stop order is an instruction that goes live when its trigger price trades. People tie one to the option's own price, to a level on the index, or to a time. What happens next depends on the strike. The 23,000 call traded 17,475 contracts in the session, so the next trade after a trigger is usually near it. The 22,950 call traded 26 in the whole day, so the next trade can be far from the trigger. A market order takes whatever comes. A limit order may never fill. Either way, a stop is a way out, not a cap on the loss. For a buyer the premium is already the cap. For a seller no trigger limits the loss, because the fill can come after a gap. When to exit is a risk decision made before the trade and sized against the account, and this lesson gives no level. Module F29 covers sizing, and the stop order question page has the short answer.
What should I look at in option chain analysis for intraday? The chain here is a closing snapshot. Its open interest and change in open interest compare one close with the next, so a position opened and shut inside the session leaves no mark there. Volume counts that round trip but cannot say when it happened, so the path of the day is missing. A closing chain can show structure: which strikes traded, where open positions sit, how thin the far rows are. It cannot time a turn inside the day. A live screen adds quotes, which is a different tool with its own risks, and this lesson reads only dated files. The intraday question page has the short answer.
Run the four checks on the 20,650 put. It traded 12 contracts. It has 129 open. One tick is 14.3% of its price. It sits in the June expiry, the quieter of the two that day. All four answers say thin, and the quote, the one thing that would settle it, is not in the file.
The common mistake
The belief: The chain prints a price for every strike, so I can trade any strike at that price.
A price in a row only says that NSE marked the contract. On a thin strike the mark can rest on a handful of trades, or on none, and it need not match the price those few trades went through at. The 20,650 put shows it: a settle of Rs 0.35 on 12 contracts for the whole day. The reverse slip is common too: reading a big open interest as a sign that exits are easy. A strike can hold a large stack of parked positions and trade little. Ask what traded today, in the same unit as what is parked.
Key takeaways
- The closing file has no bid, offer or depth.
- Volume is traffic today. Open interest is what stays parked, counted in units.
- Divide open interest in units by the lot to compare it with volume.
- Round hundreds trade far more than the fifties beside them.
- One tick is a large share of a cheap option's price.
- A stop order is not a cap, and a closing chain cannot time the day.
The term this section turns on: Stop order
Before you trade. Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. Read the SEBI study