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Pre-open brief

AUBANK AU SMALL FINANCE BANK LTD

OverviewPrice & levelsF&OFinancials & peersCompanyas of Thu 15 Oct 15:30

AU SMALL FINANCE BANK LTD — on this desk since 26 Feb 2021.

Results meeting in 8 days Sat 24 Oct 2026, as the company announced it to NSE

implied move
4.8%
12 days to the expiry read
futures
long build
price rose and open interest rose
basis
0.16%
the future traded 0.16% above the share
option prices
85
dearer than 85 of the past 252 sessions

Option chain

as of Thu 15 Oct 15:30
CallsStrikePuts
What happenedPriceChange in OIOpen interestOpen interestChange in OIPriceWhat happened
—104.82060,0009002,34,000−18,0001.75long unwinding
—95.1402,00091071,000−5,0002.30short covering
—85.6201,0009203,40,000+1,0001.19short build-up
—76.3301,28,0009301,93,000−4,0003.85long unwinding
—67.34015,0009403,16,00005.25—
—58.74092,0009502,45,00006.55—
—50.60087,0009605,95,000+2,0008.55short build-up
short covering43.01−2,00057,0009702,66,000+35,00010.95short build-up
long build-up38.90+3,0002,32,0009805,13,000−6,00014.15long unwinding
short covering31.15−9,0003,62,0009903,45,000−15,00017.75long unwinding
long build-up26.05+24,00011,46,000wall1,000at the moneywall12,32,000+1,19,00022.00short build-up
long build-up21.30+1,43,0004,97,0001,0103,13,000+66,00027.00short build-up
short covering17.05−11,0005,95,0001,0203,35,000+22,00032.70short build-up
long build-up13.60+14,0003,33,0001,03091,000+10,00038.85short build-up
long build-up10.25+30,0007,06,0001,0402,01,000+3,00045.70short build-up
short covering8.05−8,0001,91,0001,05049,000051.96—
short covering6.15−69,0006,80,0001,0601,82,000−3,00060.16long unwinding
short covering4.80−7,0001,07,0001,070————
long build-up3.55+10,0003,93,0001,08052,000077.73—
long build-up2.90+1,0001,75,0001,0901,000086.95—
short covering2.20−10,0003,93,0001,1002,65,000096.39—

The options were priced for a move of about 4.8% by 27 Oct.

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Open interest

as of Thu 15 Oct 15:30

Long build: price rose and open interest rose.

For this stock, 170 of 335 times the close 5 sessions later was higher.

Across every F&O stock, 53,344 of 1,04,178 times the close 5 sessions later was higher.

Basis, rollover and the ban

as of Thu 15 Oct 15:30

The future traded 0.16% above the share.

Not in the F&O ban this session; open interest stood at 49% of its market-wide limit.

Implied volatility

as of Thu 15 Oct 15:30

The options were priced for a move of about 4.8% by 27 Oct; over the sessions the desk holds it ranged 1.3–9.1%.

Option prices were dearer than 85 of the past 252 sessions.

Puts were priced dearer than calls the same distance out.

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Implied and realised around results

as of Thu 15 Oct 15:30

No results meeting with an option chain on its eve yet.

The futures, session by session

as of Thu 15 Oct 15:30
sessionfuturesimplied movebasisban
Thu 15 Octlong build4.8%0.16%
Wed 14 Octshort cover4.9%0.07%
Tue 13 Octshort cover4.8%0.26%
Mon 12 Octshort build5.1%0.20%
Fri 9 Octlong build5.3%0.39%
Thu 8 Octshort build5.9%0.56%
Wed 7 Octlong unwind5.7%0.63%
Tue 6 Octlong unwind5.6%0.34%
Mon 5 Octshort cover5.8%0.53%
Thu 1 Octshort build6.4%0.60%
Wed 30 Sepshort cover5.9%0.13%
Tue 29 Seplong build5.9%-0.11%
Mon 28 Seplong unwind6.2%0.64%
Fri 25 Sepshort cover1.3%-0.14%
Thu 24 Sepshort build2.4%0.25%
Wed 23 Sepshort cover1.8%0.08%
Tue 22 Sepshort build2.1%-0.03%
Mon 21 Sepshort cover2.4%0.32%
Fri 18 Seplong build3.2%-1.72%
Thu 17 Sepshort cover3.2%-0.09%

After a name entered or left the ban

as of Thu 15 Oct 15:30
  • Every F&O stock, on entering the ban: 755 of 1,496 times the close 5 sessions later was higher.
  • Every F&O stock, on leaving it: 747 of 1,496 times the close 5 sessions later was higher.

Before comparing across time

as of Thu 15 Oct 15:30

Open interest is in shares. Traded volume is in contracts before July 2024 and in shares after, so volumes are not compared across that change.