NESTLEIND NESTLE INDIA LIMITED
NESTLE INDIA LIMITED — on this desk since 28 Apr 2017.
Prices before Thu 29 Oct 2020 are not comparable with today's. A corporate action in this security carries no published ratio, so nothing before that date can be put on the same share count — it is left out rather than shown unadjusted.
Option chain
| Calls | Strike | Puts | ||||||
|---|---|---|---|---|---|---|---|---|
| What happened | Price | Change in OI | Open interest | Open interest | Change in OI | Price | What happened | |
| — | 98.75 | +4,000 | 4,000 | 1,180 | 1,05,500 | +92,500 | 3.45 | long build-up |
| — | — | — | — | 1,190 | 18,000 | +16,500 | 4.50 | long build-up |
| short build-up | 84.60 | +8,000 | 23,500 | 1,200 | 5,56,000 | +2,72,500 | 5.40 | long build-up |
| — | 70.59 | +1,500 | 1,500 | 1,210 | 1,06,000 | +90,000 | 6.35 | long build-up |
| — | — | — | — | 1,220 | 1,65,500 | +1,29,500 | 8.00 | long build-up |
| — | — | — | — | 1,230 | 1,47,500 | +92,500 | 9.75 | long build-up |
| — | 51.55 | +15,000 | 15,000 | 1,240 | 1,49,000 | +85,500 | 11.90 | long build-up |
| — | 45.20 | +1,01,500 | 1,01,500 | 1,250 | 2,85,500 | +1,93,500 | 14.55 | long build-up |
| — | 38.50 | +64,000 | 64,000 | 1,260 | 2,06,000 | −94,000 | 17.80 | short covering |
| — | — | — | — | 1,270 | 1,38,000 | +1,00,500 | 21.70 | long build-up |
| — | 27.05 | +3,06,000 | 3,06,000 | 1,280at the money | 2,07,500 | +1,08,500 | 26.00 | long build-up |
| short build-up | 22.80 | +2,50,500 | 2,93,500 | 1,290 | 1,80,500 | +1,12,000 | 31.20 | long build-up |
| short build-up | 18.60 | +13,13,500 | 14,29,500 | 1,300 | wall8,18,000 | +3,49,000 | 37.45 | long build-up |
| short build-up | 15.20 | +4,41,000 | 5,29,500 | 1,310 | 1,77,000 | +71,500 | 43.65 | long build-up |
| short build-up | 12.40 | +12,20,500 | 13,53,000 | 1,320 | 3,28,000 | +1,63,000 | 52.10 | long build-up |
| short build-up | 10.45 | +1,84,500 | 6,67,000 | 1,330 | 1,78,500 | −9,000 | 58.15 | short covering |
| short build-up | 8.45 | +6,71,500 | 9,68,500 | 1,340 | 1,83,500 | +48,500 | 68.05 | long build-up |
| short build-up | 6.80 | +8,31,000 | 11,16,000 | 1,350 | 3,54,500 | +4,500 | 75.25 | long build-up |
| short build-up | 5.70 | +4,44,500 | 6,65,500 | 1,360 | 1,37,500 | −78,000 | 83.35 | short covering |
| short build-up | 4.80 | +6,16,500 | 8,44,000 | 1,370 | 89,000 | −56,000 | 93.70 | short covering |
| short build-up | 4.15 | +11,42,500 | 13,87,500 | 1,380 | 2,89,500 | +2,09,500 | 103.40 | long build-up |
| short build-up | 2.95 | +14,72,500 | 22,81,000wall | 1,40012 strikes away | 1,74,500 | +29,000 | 120.70 | long build-up |
The options were priced for a move of about 4.2% by 27 Oct.
Open interest
Short build: price fell and open interest rose.
For this stock, 225 of 447 times the close 5 sessions later was higher.
Across every F&O stock, 58,860 of 1,16,717 times the close 5 sessions later was higher.
Basis, rollover and the ban
The future traded 0.38% above the share.
Not in the F&O ban this session; open interest stood at 41% of its market-wide limit.
Implied volatility
The options were priced for a move of about 4.2% by 27 Oct; over the sessions the desk holds it ranged 1.1–5.7%.
Option prices were dearer than 95 of the past 252 sessions.
Puts were priced dearer than calls the same distance out.
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Implied and realised around results
No results meeting with an option chain on its eve yet.
The futures, session by session
| session | futures | implied move | basis | ban |
|---|---|---|---|---|
| Thu 15 Oct | short build | 4.2% | 0.38% | |
| Wed 14 Oct | short cover | 5.0% | -0.27% | |
| Tue 13 Oct | long build | 4.9% | 0.41% | |
| Mon 12 Oct | short build | 4.8% | -0.08% | |
| Fri 9 Oct | long build | 4.8% | 0.62% | |
| Thu 8 Oct | short build | 5.0% | 0.07% | |
| Wed 7 Oct | long unwind | 5.0% | 0.08% | |
| Tue 6 Oct | long build | 5.1% | 0.08% | |
| Mon 5 Oct | short build | 5.2% | 0.62% | |
| Thu 1 Oct | short build | 5.2% | 0.49% | |
| Wed 30 Sep | short build | 5.3% | 0.63% | |
| Tue 29 Sep | short build | 5.0% | 0.22% | |
| Mon 28 Sep | long unwind | 5.1% | 0.79% | |
| Fri 25 Sep | short cover | 1.4% | -0.16% | |
| Thu 24 Sep | short build | 1.9% | 0.26% | |
| Wed 23 Sep | long build | 1.8% | -0.14% | |
| Tue 22 Sep | short build | 2.1% | 0.43% | |
| Mon 21 Sep | short cover | 2.3% | 0.49% | |
| Fri 18 Sep | short build | 2.6% | -0.57% | |
| Thu 17 Sep | short build | 2.6% | 0.61% |
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.