ICICIPRULI ICICI PRU LIFE INS CO LTD
ICICI PRU LIFE INS CO LTD — on this desk since 30 Jun 2017.
Option chain
| Calls | Strike | Puts | ||||||
|---|---|---|---|---|---|---|---|---|
| What happened | Price | Change in OI | Open interest | Open interest | Change in OI | Price | What happened | |
| — | 49.80 | 0 | 925 | 400 | 2,68,250 | −96,200 | 0.15 | long unwinding |
| — | — | — | — | 405 | 33,300 | 0 | 0.12 | — |
| — | 40.00 | 0 | 925 | 410 | 1,73,900 | −14,800 | 0.35 | long unwinding |
| — | 35.21 | 0 | 925 | 415 | 37,000 | −925 | 0.60 | long unwinding |
| — | 30.56 | 0 | 3,700 | 420 | 3,95,900 | −37,925 | 0.95 | long unwinding |
| — | 26.09 | 0 | 2,775 | 425 | 91,575 | −925 | 1.40 | long unwinding |
| — | 21.87 | 0 | 10,175 | 430 | 3,47,800 | +60,125 | 2.05 | short build-up |
| — | — | — | — | 435 | 1,22,100 | +9,250 | 3.05 | short build-up |
| short covering | 14.65 | −97,125 | 2,90,450 | 440 | 5,84,600 | −1,22,100 | 4.35 | long unwinding |
| short covering | 11.05 | −1,43,375 | 2,74,725 | 445 | 2,72,875 | +18,500 | 6.10 | short build-up |
| short covering | 8.50 | −4,61,575 | 13,24,600wall | 450at the money | wall10,00,850 | −54,575 | 8.30 | long unwinding |
| short covering | 6.10 | −1,35,975 | 3,93,125 | 455 | 3,83,875 | −11,100 | 11.00 | long unwinding |
| short covering | 4.50 | −4,36,600 | 10,74,850 | 460 | 4,08,850 | −82,325 | 14.30 | long unwinding |
| long build-up | 3.25 | +925 | 4,56,025 | 465 | 1,97,950 | −6,475 | 17.35 | long unwinding |
| short covering | 2.35 | −1,15,625 | 8,18,625 | 470 | 2,35,875 | 0 | 22.50 | — |
| short covering | 1.70 | −16,650 | 2,96,000 | 475 | 31,450 | 0 | 26.62 | — |
| short covering | 1.20 | −96,200 | 6,08,650 | 480 | 1,28,575 | 0 | 31.08 | — |
| long build-up | 0.95 | +5,550 | 1,40,600 | 485 | 8,325 | 0 | 35.71 | — |
| long unwinding | 0.70 | −47,175 | 2,87,675 | 490 | 78,625 | 0 | 40.46 | — |
| short covering | 0.22 | −2,775 | 1,08,225 | 495 | 7,400 | 0 | 45.29 | — |
| long unwinding | 0.40 | −3,46,875 | 11,19,250 | 500 | 1,78,525 | 0 | 50.19 | — |
The options were priced for a move of about 3.7% by 27 Oct.
Open interest
Short cover: price rose and open interest fell.
For this stock, 297 of 583 times the close 5 sessions later was higher.
Across every F&O stock, 50,957 of 98,536 times the close 5 sessions later was higher.
Basis, rollover and the ban
The future traded 0.29% above the share.
Not in the F&O ban this session; open interest stood at 61% of its market-wide limit.
Implied volatility
The options were priced for a move of about 3.7% by 27 Oct; over the sessions the desk holds it ranged 1.4–7.4%.
Option prices were dearer than 59 of the past 252 sessions.
Puts were priced dearer than calls the same distance out.
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Implied and realised around results
- 13 Oct 2026: options priced about 6.1%; the share moved 4.0% by 14 Oct.
The futures, session by session
| session | futures | implied move | basis | ban |
|---|---|---|---|---|
| Thu 15 Oct | short cover | 3.7% | 0.29% | |
| Wed 14 Oct | short build | 3.9% | -0.09% | |
| Tue 13 Oct | short build | 4.7% | -0.10% | |
| Mon 12 Oct | short build | 6.1% | -1.14% | |
| Fri 9 Oct | short cover | 5.9% | 0.48% | |
| Thu 8 Oct | short build | 6.3% | -1.29% | |
| Wed 7 Oct | short build | 6.1% | -0.63% | |
| Tue 6 Oct | long build | 6.4% | -0.48% | |
| Mon 5 Oct | short cover | 6.7% | -0.35% | |
| Thu 1 Oct | short cover | 7.0% | -0.10% | |
| Wed 30 Sep | short build | 6.7% | -0.08% | |
| Tue 29 Sep | long unwind | 6.7% | 0.22% | |
| Mon 28 Sep | long unwind | 6.9% | -1.62% | |
| Fri 25 Sep | short build | 1.7% | 0.10% | |
| Thu 24 Sep | long unwind | 2.8% | 0.16% | |
| Wed 23 Sep | short build | 2.3% | 0.10% | |
| Tue 22 Sep | short build | 2.8% | 0.48% | |
| Mon 21 Sep | short cover | 3.0% | 0.54% | |
| Fri 18 Sep | short cover | 3.4% | 0.47% | |
| Thu 17 Sep | short cover | 3.5% | 0.66% |
After a name entered or left the ban
- Every F&O stock, on entering the ban: 755 of 1,496 times the close 5 sessions later was higher.
- Every F&O stock, on leaving it: 747 of 1,496 times the close 5 sessions later was higher.
Before comparing across time
Open interest is in shares. Traded volume is in contracts before July 2024 and in shares after, so volumes are not compared across that change.