August 29, 2018

Open interest distribution

- persistent build up in put writing this series
- support has been shifting from 11000 to 11200 and then to 11400-11500
- yesterday, it looked like support will shift to 11700

- but today things changed



- put writing support remained at 11500
- while highest OI immediately shifted to 11800 (call)
- note that tomorrow is expiry so some wild moves can happen



How the OI changed today
- 11700 put strike show huge addition in open interest (20k+)
- this meant writers did not expect this level to break
- but something happened intraday
- and there was a massive drop in 11700 put open interest (14k minus)
- this means upside is capped (atleast for tomorrow)






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