Mild gap ups are the worst when people are looking to short vol intraday, specially on expiry day (finnifty tomorrow)- because everyone who was carrying long puts will exit them in panic at the open to save what premium is left (massive put premium crush), at the same time 1/n
Calls will not gain much premium, because of 2 reasons
1) CE sellers would also have sold some PE and position would be in profit so no rush to cover
2) Call buyers will try to book profit (it's always the buyers who will be in a rush to book, be it profit or loss)
So at 2/n
1) CE sellers would also have sold some PE and position would be in profit so no rush to cover
2) Call buyers will try to book profit (it's always the buyers who will be in a rush to book, be it profit or loss)
So at 2/n
This point, both puts and calls become slightly deflated due to this behavior making fresh short vol entry for the expiry not so attractive, it's a situation where if there is a quick move on either side, volatility will expand from opening because there was no pressure at open
There needs to be good pressure on overnight sellers to cover at the open inorder to get good entries at the open
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