MARKET INTELLIGENCEMARKET: NIFTY 50· MODEL: OPTION-CHAIN
OPTION CHAIN MATRIX
Option chain matrix, Max Pain, PCR, and Call/Put Walls
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Option chain matrix, Max Pain, PCR, and Call/Put Walls
SHIFT ? and % of OI of Volume remain not implemented — methodology unresolved. IV and Delta come from Dhan and read as unavailable on any leg Dhan could not solve. PCR, Intrinsic Value and Time Value are standard option math computed here, measured against the forward the chain itself implies (23515.60) rather than the spot index — index options are priced off the forward, and using spot understates every in-the-money leg. ATM±1…±5 labels follow the client workbook. ATM±n strike steps use instrument strikeInterval; exact client step rule remains pending confirmation.
Dedicated ATM strike row (workbook row 7)
| Label | Strike | CE LTP | CE Change | CE Change % | CE OI Lakhs | CE OI Chg | CE OI Chg % | CE Vol | CE IV | CE Delta | CE Intrinsic | CE Time Value | PCR | PE LTP | PE Change | PE Change % | PE OI Lakhs | PE OI Chg | PE OI Chg % | PE Vol | PE IV | PE Delta | PE Intrinsic | PE Time Value |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ATM | 23450 | 158.00 | -128.95 |
| 16.11L |
| 1565070 |
| 3420.17% |
| 43693715 |
| 10.6% |
| 0.5667 |
| 65.60 |
| 92.40 |
| 2.07 |
| 92.15 |
| 48.50 |
| 111.11% |
| 33.36L |
| 2428920 |
| 267.74% |
| 132895100 |
| 9.5% |
| -0.4262 |
| 0.00 |
| 92.15 |
Strikes on this side of ATM — every row carries both its CE and PE leg
| Label | Strike | CE LTP | CE Change | CE Change % | CE OI Lakhs | CE OI Chg | CE OI Chg % | CE Vol | CE IV | CE Delta | CE Intrinsic | CE Time Value | PCR | PE LTP | PE Change | PE Change % | PE OI Lakhs | PE OI Chg | PE OI Chg % | PE Vol | PE IV | PE Delta | PE Intrinsic | PE Time Value |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ATM+1 | 23500 | 128.70 | -120.65 | -48.39% | 87.46L | 7896265 | 929.04% | 199080375 | 10.4% | 0.5059 | 15.60 | 113.10 | 1.18 | 113.20 | 58.20 | 105.82% | 103.52L | 5788445 | 126.83% | 334670960 | 9.4% | -0.4940 | 0.00 | 113.20 |
| ATM+2 | 23550 | 103.75 | -110.40 | -51.55% | 42.97L | 4047030 | 1618.88% | 125653775 | 10.3% | 0.4431 | 0.00 | 103.75 | 0.64 | 137.65 | 69.10 | 100.8% | 27.65L | 1889030 | 215.58% | 161227495 | 9.2% | -0.5643 | 34.40 | 103.25 |
| ATM+3 | 23600 | 82.05 | -97.75 | -54.37% | 73.77L | 5587010 | 312.09% | 171506530 | 10.2% | 0.3804 | 0.00 | 82.05 | 0.51 | 166.45 | 81.25 | 95.36% | 37.62L | 645320 | 20.71% | 134399525 | 9.1% | -0.6343 | 84.40 | 82.05 |
| ATM+4 | 23650 | 64.15 | -86.80 | -57.5% | 38.93L | 1541735 | 65.58% | 88226385 | 10.1% | 0.3204 | 0.00 | 64.15 | 0.28 | 197.35 | 92.95 | 89.03% | 10.75L | -656825 | -37.94% | 38827750 | 8.8% | -0.7043 | 134.40 | 62.95 |
| ATM+5 | 23700 | 49.00 | -73.85 | -60.11% | 97.06L | 4847700 | 99.78% | 119770495 | 10.0% | 0.2640 | 0.00 | 49.00 | 0.3 | 233.65 | 106.10 | 83.18% | 29.38L | -932360 | -24.09% | 39884455 | 8.8% | -0.7658 | 184.40 | 49.25 |
| — | 23750 | 37.85 | -61.75 | -62% | 40.45L | 1915355 | 89.94% | 59278375 | 10.1% | 0.2157 | 0.00 | 37.85 | 0.26 | 271.30 | 117.35 | 76.23% | 10.67L | -29770 | -2.71% | 9032660 | 8.5% | -0.8257 | 234.40 | 36.90 |
| TOTAL | — | 380.64L | 25835095 | 67.87% | 763515935 | — | — | — | 219.59L | 6703840 | 30.53% | 718042845 | — | |||||||||||
Strikes on this side of ATM — every row carries both its CE and PE leg
| Label | Strike | CE LTP | CE Change | CE Change % | CE OI Lakhs | CE OI Chg | CE OI Chg % | CE Vol | CE IV | CE Delta | CE Intrinsic | CE Time Value | PCR | PE LTP | PE Change | PE Change % | PE OI Lakhs | PE OI Chg | PE OI Chg % | PE Vol | PE IV | PE Delta | PE Intrinsic | PE Time Value |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ATM-1 | 23400 | 190.20 | -138.30 | -42.1% | 17.40L | 1397435 | 408.42% | 31271565 | 10.9% | 0.6236 | 115.60 | 74.60 | 3.12 | 74.65 | 40.00 | 115.44% | 54.34L | 1962610 | 56.54% | 126724195 | 9.7% | -0.3632 | 0.00 | 74.65 |
| ATM-2 | 23350 | 225.60 | -144.20 | -38.99% | 3.10L | 299520 | 2898.11% | 5182255 | 11.2% | 0.6750 | 165.60 | 60.00 | 8.69 | 59.95 | 32.70 | 120% | 26.92L | 530205 | 24.52% | 59741435 | 9.9% | -0.3058 | 0.00 | 59.95 |
| ATM-3 | 23300 | 263.00 | -147.50 | -35.93% | 5.75L | 441480 | 331.48% | 7749235 | 11.4% | 0.7215 | 215.60 | 47.40 | 8.24 | 48.00 | 26.00 | 118.18% | 47.34L | 1939600 | 69.4% | 78610610 | 10.2% | -0.2550 | 0.00 | 48.00 |
| ATM-4 | 23250 | 304.45 | -157.05 | -34.03% | 0.73L | 65975 | 975.96% | 1097070 | 11.9% | 0.7589 | 265.60 | 38.85 | 22.73 | 38.50 | 20.60 | 115.08% | 16.53L | 786045 | 90.62% | 38867140 | 10.4% | -0.2114 | 0.00 | 38.50 |
| ATM-5 | 23200 | 345.60 | -165.60 | -32.39% | 1.93L | 130975 | 212.55% | 1939080 | 12.2% | 0.7944 | 315.60 | 30.00 | 26.54 | 31.05 | 16.35 | 111.22% | 51.12L | 1541735 | 43.18% | 59842900 | 10.7% | -0.1749 | 0.00 | 31.05 |
| — | 23150 | 389.70 | -167.40 | -30.05% | 0.27L | 26390 | 3690.91% | 207610 | 12.7% | 0.8218 | 365.60 | 24.10 | 53.71 | 25.00 | 12.85 | 105.76% | 14.56L | 816140 | 127.59% | 27710020 | 11.0% | -0.1441 | 0.00 | 25.00 |
| TOTAL | — | 29.17L | 2361775 | 80.98% | 47446815 | — | — | — | 210.82L | 7576335 | 35.94% | 391496300 | — | |||||||||||
Above-ATM totals − below-ATM totals, per leg (workbook row 27)