NSE options straddles spike as new end-of-day auction takes effect
On Tuesday, the NSE's options market got a bit unpredictable. Prices for at-the-money straddles spiked late in the day instead of fading out as usual.
This sudden change lines up with a new rule for how end-of-day prices are set, making things more interesting (and maybe profitable) for traders keeping an eye out.
Auction sets Nifty close at 3:35pm
The new auction method, started on Monday, now sets the official Nifty 50 close at 3:35pm 20 minutes after regular trading ends.
This timing gap has led to some big price jumps and fresh opportunities.
Mumbai-based Vishal Mehta, an independent trader, suggested trying long straddles before the auction to catch these moves.
With BSE Sensex index options expiring soon and low participation during auctions, expect even more volatility ahead.