AU Small Finance Bank Limited Option Chain Analysis
| CE OI | Chg | Vol | IV | LTP | Strike | LTP | IV | Vol | Chg | PE OI |
|---|---|---|---|---|---|---|---|---|---|---|
| 44K | 0 | — | —% | ₹— | 880 | ₹— | —% | — | +3K | 16K |
| 8K | 0 | — | —% | ₹— | 920 | ₹— | —% | — | 0 | 43K |
| 21K | 0 | — | —% | ₹— | 940 | ₹— | —% | — | — | — |
| 9K | 0 | — | —% | ₹— | 960 | ₹— | —% | — | +5K | 1.8 L |
| 21K | 0 | — | —% | ₹— | 980 | ₹— | —% | — | +10K | 1.0 L |
| 1.2 L | 0 | — | —% | ₹— | 1,000 | ₹— | —% | — | +78K | 5.5 L |
| 79K | 0 | — | —% | ₹— | 1,020 | ₹— | —% | — | -34K | 2.6 L |
| 58K | +3K | — | —% | ₹— | 1,040 | ₹— | —% | — | -37K | 3.8 L |
| 3.4 L | +15K | — | —% | ₹— | 1,060 | ₹— | —% | — | +10K | 9.5 L |
| 7.1 L | +1K | — | —% | ₹— | 1,080 | ₹— | —% | — | -46K | 5.2 L |
| 11.9 L | -1K | — | —% | ₹— | 1,100ATM | ₹— | —% | — | -8K | 10.3 L |
| 8.5 L | +29K | — | —% | ₹— | 1,120 | ₹— | —% | — | 0 | 2.8 L |
| 10.3 L | +34K | — | —% | ₹— | 1,140 | ₹— | —% | — | -1K | 4.4 L |
| 11.2 L | +52K | — | —% | ₹— | 1,160 | ₹— | —% | — | 0 | 90K |
| 4.0 L | -8K | — | —% | ₹— | 1,180 | ₹— | —% | — | 0 | 4K |
| 11.4 L | -35K | — | —% | ₹— | 1,200 | ₹— | —% | — | 0 | 16K |
| 1.8 L | +3K | — | —% | ₹— | 1,220 | ₹— | —% | — | +5K | 9K |
| 1.9 L | -1K | — | —% | ₹— | 1,240 | ₹— | —% | — | 0 | 0 |
| 91K | -9K | — | —% | ₹— | 1,260 | ₹— | —% | — | 0 | 3K |
| 1.3 L | -2K | — | —% | ₹— | 1,280 | ₹— | —% | — | 0 | 0 |
Bold CE OI = highest call writing (resistance). Bold PE OI = highest put writing (support). ATM = at-the-money.
Live Greeks Panel
Key Strike Levels
The open‑interest (OI) picture shows a tight clustering around the ₹1,100 level, where both call and put contracts pile up, suggesting a primary resistance–support band. The highest call OI sits at ₹1,100 (11.87 lakh contracts), while the largest put OI also rests at ₹1,100 (10.28 lakh contracts), anchoring the implied price corridor. The spot price of ₹1,065 sits just below the central strike, implying that market participants expect the underlying to oscillate within a roughly ₹35‑₹40 band around the current level through expiry.
OI Buildup Activity
Fresh open interest adds are evident on the upside side: the ₹1,160 call accrues an extra 51,000 contracts, the ₹1,140 call 34,000, and the ₹1,120 call 29,000, indicating that option writers are extending exposure near the upper edge of the range. On the downside, the most notable influx occurs in the ₹1,000 put, which gathers 80,000 new contracts, followed by modest additions of 11,000 at ₹1,060 and 9,000 at ₹980, pointing to increased protective positioning near the lower boundary. These inflows reinforce the notion that market makers are hedging around the identified support‑resistance zone.
Volatility Read
The at‑the‑money implied volatility stands at 21.11 %, a moderate level that reflects balanced option pricing ahead of the September 29 expiry. The volatility skew is bearish, with out‑of‑the‑money calls priced higher than equivalent puts, indicating a tilt toward downside risk premia.
Key OI Levels
The strikes with the heaviest concentration are the ₹1,100 call (11.87 lakh contracts) and the ₹1,100 put (10.28 lakh contracts).