My personal view on volatality that was created on 5/12/24 Nifty expiry. All data taken from NSE website.
OPTION TRADING – A BUSINESS MODEL THAT MAY CEASE TO EXIST
On 5/12/24 – Nifty had weekly expiry as usual but no traders knew that it will be one of the most volatile expiry in recent times. Nifty Spot started the day at 24495 to hit low of 24295 at 10.55 AM (200 points approx.) , then moved to 24853 by 2.35 PM (move of 560 points approx.) then again back to 24490 at 2.55 PM (move of 360 points) and finally closed at 24717 (move of 220 points) . In totality Nifty moved more than 1000 points during the day making it impossible for anyone to trade. If we go and check the historical data, Nifty moves approx. 4-5% either side during the month while on 5/12/24 it moved the same range within a day. A genuine question arises that what was the reason for this big move ? With no big event pending during the day- there was practically nothing that could have caused this level of volatality in the Index.
Generally expiry day is controlled by the sellers of options in every market and it is presumed that big funds /HNI client runs crores of option selling book on expiry day to eat the premium. But there was something which was not normal on that day.
Lets see the below table to understand the same and compare the same timing data with 12/12/24 expiry to understand what was abnormal on last Thursday :