Traders flag abrupt movement in Sensex 86400 call option premium on expiry day

Traders flag abrupt movement in Sensex 86400 Call Option premium

Traders expressed surprise over the abrupt movement in the Sensex 86400 call option premium today. Incidentally, today is the monthly expiry for Sensex derivatives. According to market sources, the premium jumped from Rs 3 to Rs 45 in a short span of time.

Traders said this has been happening frequently in Sensex derivatives and alleged that there could be manipulation. Some traders also suspected it to be a freak trade.

A R Ramchandran of Tips2trade said, “The sudden spike in the 86400 CE Sensex on November 27 can only be attributed to HFT or a large institutional trade, even though the normal 15-minute chart for the Sensex showed a shooting star, indicating a trend reversal from bullish to bearish”.

However, one derivatives expert dismissed the allegations of manipulation and said, “When markets are moving, OTMs like the 86400 call will see movement as the market moves. So Rs 3 can become Rs 45 on any volatile day.”

Similar issues were raised by traders on the November 13 Sensex options expiry day, when traders alleged an unusual spike in put option premiums in the final minutes, with deep OTM puts suddenly surging despite no major movement in the underlying index.

One expert said such movements are closely watched by the exchange’s surveillance systems on a real-time basis, and if any issue is noticed, it is flagged with the parties who executed the trades.

The 30-share Sensex index settled at 85,720.38, higher by 0.1 percent in trade on November 27.