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Below the Quote on Bank Nifty Expiry Strategy by Shrey Jain, Founder & CEO, SAS Online - a deep discount stock brokerage platform

The weekly ATM IV for BankNifty is at 17.86 levels and rolling straddle for strikes of 47800 to 48200 are priced at 380 – 435 points. The chart analysis points to subdued volatility in the spot indices with a possible range of 556 points.
 

The ADX continues to be below 20 on a higher timeframe while on a lower timeframe of 2Hr is sloping upwards on a rolling basis. We expect the volatility in BankNifty to be elevated in the second half of the trading session.

The Possible range for BankNifty based on IV on the higher side comes at 48,540 while on the lower side 47,460 levels. The highest OI, which generally indicates the seller's range is at 47500 – 48500 on 22^nd May and 29^th May expiry.

We will deploy a short straddle around 10 Am on BankNifty. A short straddle consists of one short call and one short put, both options have the same underlying stock, the same strike price and the same expiration date. A short straddle is established for a net credit (or net receipt) and profits if the underlying stock trades in a narrow range between the break-even points.

Below are the trades to be executed

Below is the Payoff graph

The combined straddle is worth 363 rs. Once executed, a stop-loss of 30% of straddle premium can be kept.

For example, presently if the straddle is worth 363 Rs, the Stoploss will be 363 + 30% = 471. Any decline of 50% in straddle should be taken as an opportunity to book 50% profits.

below is the chart of rolling straddle for 48000 strikes.

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