Project 3

1.

Analysis:

Put Call Ratio:

 First Half: 0.2522

 Second Half: 0.3561

Interpretation:

The Put Call Ratio (PCR) is calculated by dividing Put options' total Open Interest (OI) by the total OI of
Call options. A PCR greater than 1 indicates a bearish sentiment in the market, while a PCR less than 1
suggests a bullish sentiment.

In this case, the PCR for the first half of the day was 0.2522, which indicates a strong bullish sentiment.
However, the PCR for the second half increased to 0.3561, suggesting a shift towards a slightly bearish
sentiment. This could be due to various factors such as news announcements, economic data releases,
or changes in investor expectations.

It's important to note that this is just a preliminary analysis based on limited data. To understand the
market sentiment more comprehensively, it's crucial to consider various factors and

2.

Support and Resistance Levels based on the Option Chain Data:

Support Levels:

 19000 Strike Price: This level has a significant Put OI (24752) in the second half, indicating
potential support.

 19100 Strike Price: This level also shows substantial Put OI (69123) in the second half, further
strengthening the support zone around 19000-19100.

 19200 Strike Price: This level has a higher OI for both Calls and Puts (149179 and 57294,
respectively), indicating a potential consolidation zone.
Resistance Levels:

 19400 Strike Price: This level has a significantly higher Call OI (157865) than Put OI (51238) in the
second half, suggesting potential resistance.

 19450 Strike Price: This level has increasing Call OI (101234) compared to the first half,
highlighting potential resistance.

Additional Observations:

 The overall Put Call Ratio (PCR) shift from 0.2522 to 0.3561 suggests a change from bullish to
slightly bearish sentiment.

 The significant Put OI concentrated around the 19000-19100 strike prices indicates a strong
support zone in the market.

 The higher Call OI at 19400 and 19450 strike prices suggests potential resistance levels.

3.

Option Trading Strategies and Payoff Tables

Nifty 50 Index (Spot Price = 19000)

Strike Price: 19200

Strategies:

1. Bull Call Spread:

o Buy 1 Call option at 19200 strike price

o Sell 1 Call option at 19250 strike price

2. Bear Put Spread:

o Sell 1 Put option at 19200 strike price

o Buy 1 Put option at 19150 strike price

Payoff Tables:

Bull Call Spread:

Spot 19200 19300 19400 19500 19600 19700

19000 19100
Price
Payoff -175 -75 -25 25 75 125 175 225

Bear Put Spread:

Spot Price Payoff

18900 225

19000 175

19100 125

19200 75

19300 25

19400 -25

19500 -75

19600 -125

19700 -175
 19800 -225

Explanation of Payoffs:

Bull Call Spread:

 Profitable when the spot price increases above the strike price of the long call (19200).

 Maximum profit occurs when the spot price reaches the strike price of the short call (19250).

 Limited profit potential (capped at the difference between strike prices).

 Limited risk (equal to the premium paid for the spread).

Bear Put Spread:

 Profitable when the spot price decreases below the strike price of the short put (19200).

 Maximum profit occurs when the spot price reaches the strike price of the long put (19150).

 Limited profit potential (capped at the difference between strike prices).

 Limited risk (equal to the premium paid for the spread).

Key Points:

 Both strategies are limited risk strategies, meaning the maximum loss is limited to the premium
paid.

 The Bull Call Spread is a bullish strategy that benefits from a rising market, while the Bear Put
Spread is a bearish strategy that benefits from a falling market.

 The choice of strategy depends on the trader's market outlook and risk tolerance.