S2EP30 | Sensex Expiry. Sell The Straddle. Brent Cooled | 30th April Thursday
The Tanmay Edge | India's pre-market edge, every trading day... di Tanmay Kurtkoti
Note sull'episodio
The Sensex 30-April future closed Wednesday at 77,444 — an 80-point discount to spot 77,525, on a green-day expiry-eve. That doesn't happen unless institutional money is committed to the pin.
The pin is at 77,300 ATM. Straddle 596.85. IV crushed to 15.52%. One standard deviation times 1.25 wings: 76,750 and 78,242. Sell the 77,300 ATM straddle with 76,750 PE and 78,000 CE wings. If the pin holds, you collect 250-300 net premium by 3:30.
Why it holds. Brent cooled overnight from $117.13 to $111.67 — the macro overhang is unwinding. Fed came in quiet, US closed flat post-Powell. GIFT mild gap-down. Asia mixed. No regional cascade flowing into the pin.
Backstop. Yesterday's Nifty regime change — 24,200 broke at the high, but writers migrated the wall to 24,500 with 2.46 million fresh call OI AND flipped 24,200 to a put-defended flo ...