ICICI Lombard General Insurance Company Limited Option Chain Analysis
| CE OI | Chg | Vol | IV | LTP | Strike | LTP | IV | Vol | Chg | PE OI |
|---|---|---|---|---|---|---|---|---|---|---|
| 0 | 0 | — | —% | ₹— | 1,240 | ₹— | —% | — | 0 | 325 |
| 0 | 0 | — | —% | ₹— | 1,280 | ₹— | —% | — | 0 | 0 |
| 0 | 0 | — | —% | ₹— | 1,320 | ₹— | —% | — | 0 | 0 |
| 0 | 0 | — | —% | ₹— | 1,340 | ₹— | —% | — | 0 | 0 |
| 0 | 0 | — | —% | ₹— | 1,360 | ₹— | —% | — | 0 | 0 |
| 0 | 0 | — | —% | ₹— | 1,380 | ₹— | —% | — | 0 | 325 |
| 325 | +325 | — | —% | ₹— | 1,400 | ₹— | —% | — | +975 | 2K |
| 0 | 0 | — | —% | ₹— | 1,420 | ₹— | —% | — | +8K | 49K |
| 0 | 0 | — | —% | ₹— | 1,440 | ₹— | —% | — | +2K | 61K |
| 325 | +325 | — | —% | ₹— | 1,460 | ₹— | —% | — | -650 | 91K |
| 325 | 0 | — | —% | ₹— | 1,480 | ₹— | —% | — | +21K | 61K |
| 14K | +4K | — | —% | ₹— | 1,500 | ₹— | —% | — | +33K | 1.6 L |
| 1.3 L | +32K | — | —% | ₹— | 1,520 | ₹— | —% | — | +39K | 90K |
| 1.4 L | -26K | — | —% | ₹— | 1,540 | ₹— | —% | — | +24K | 92K |
| 94K | +17K | — | —% | ₹— | 1,560 | ₹— | —% | — | -325 | 1.3 L |
| 94K | +1K | — | —% | ₹— | 1,580 | ₹— | —% | — | -5K | 97K |
| 2.8 L | +49K | — | —% | ₹— | 1,600ATM | ₹— | —% | — | 0 | 1.6 L |
| 1.4 L | +18K | — | —% | ₹— | 1,620 | ₹— | —% | — | 0 | 29K |
| 1.1 L | +6K | — | —% | ₹— | 1,640 | ₹— | —% | — | 0 | 80K |
| 77K | 0 | — | —% | ₹— | 1,660 | ₹— | —% | — | 0 | 18K |
| 36K | 0 | — | —% | ₹— | 1,680 | ₹— | —% | — | 0 | 2K |
| 3.6 L | -975 | — | —% | ₹— | 1,700 | ₹— | —% | — | -325 | 44K |
| 1.4 L | +83K | — | —% | ₹— | 1,720 | ₹— | —% | — | 0 | 975 |
| 1.2 L | 0 | — | —% | ₹— | 1,740 | ₹— | —% | — | 0 | 2K |
| 9K | 0 | — | —% | ₹— | 1,760 | ₹— | —% | — | 0 | 0 |
| 1K | 0 | — | —% | ₹— | 1,780 | ₹— | —% | — | 0 | 0 |
| 1.5 L | -10K | — | —% | ₹— | 1,800 | ₹— | —% | — | -325 | 8K |
| 0 | 0 | — | —% | ₹— | 1,840 | ₹— | —% | — | 0 | 3K |
| 0 | 0 | — | —% | ₹— | 1,880 | ₹— | —% | — | 0 | 0 |
| — | — | — | —% | ₹— | 1,900 | ₹— | —% | — | 0 | 975 |
| — | — | — | —% | ₹— | 1,920 | ₹— | —% | — | 0 | 3K |
| 975 | 0 | — | —% | ₹— | 1,960 | ₹— | —% | — | — | — |
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) map shows a pronounced concentration at the ₹1,520‑₹1,540 band for calls and the ₹1,500‑₹1,540 band for puts. The highest call OI sits at the ₹1,520 strike, while the highest put OI rests at the ₹1,500 strike, establishing a clear support‑resistance corridor. Combined, the OI cluster suggests an implied price range roughly between ₹1,500 and ₹1,540 for the September expiry.
OI Buildup Activity
During the latest trading session, fresh call OI accumulates sharply at the ₹1,720 strike (+81,250 contracts), followed by the ₹1,600 strike (+49,725) and the ₹1,520 strike (+32,175). On the put side, new OI builds at the ₹1,520 strike (+39,650 contracts), then the ₹1,500 strike (+31,850) and the ₹1,540 strike (+23,400). The pattern of large additions at higher‑strike calls and mid‑range puts indicates that option writers are positioning for a potential upside move while hedging downside risk around the current spot level.
Volatility Read
The at‑the‑money implied volatility stands at 21.99%, reflecting modest market expectations of price swings ahead of the expiry date. The volatility skew is bearish, with out‑of‑the‑money calls priced lower than comparable puts, implying a market bias toward lower‑side moves.
Key OI Levels
The most concentrated open interest is observed at the ₹1,520 call strike (1000 contracts) and the ₹1,500 put strike (1000 contracts).