1. VAIBHAV BADGI - Dept. of MBA KLE Dr. M. S. Sheshgiri College of Engineering and Technology,
Belagavi, Karnataka, India.
2. Dr. PRALHAD RATHOD - Dept. of Management Studies, Visvesvaraya Technological University Belagavi, 590018, Karnataka, India.
3. Dr. ANILKUMAR GARAG - Management Consultant, Chartered Engineer and Approved Valuer, Belagavi.
Exchange traded Options are standardized contract between parties. Price dynamics is directly associated with holders and writers in the option markets. Apart from price, there are two more parameters that have to be taken into consideration while trading in option, they are day by day volumes generated through trades in option markets and open contracts that have not yet been settled. Trading quantity reveals vigor in current price movement. Open Interest denotes the unsettled contracts held by market participants for that day, it a yardstick to measure the money flow in the option market. New money flow denotes an increase in open interest. The study is undertaken with an objective to explore the possibilities of predicting the nifty closing price based of the historical strike price proportionate to the highest open interest on daily bases. This study makes an attempt to forecast the closing value of the asset under consideration, in the cash market depending on the previous open interest positions. The nifty near month option data and daily nifty closing price data was considered for the study from Jan 2014 to Dec 2020; with 1728 observation the result of the study reveal that highest open interest for each day has ability to predict the next day’s closing prices of the same asset. It was found that there is a strong correlation (99.20%) between the strike price proportionate to the highest Open Interest and next day closing price of Nifty
Put Call Ratio, Open interest, Volatility Index, Open Interest band.