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Pre-open brief

BAJFINANCE BAJAJ FINANCE LIMITED

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

BAJAJ FINANCE LIMITED — on this desk since 29 May 2015.

Results meeting in 3 days Mon 19 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
0.57%
the future traded 0.57% above the share
option prices
90
dearer than 90 of the past 252 sessions

Option chain

as of Thu 15 Oct 15:30
CallsStrikePuts
What happenedPriceChange in OIOpen interestOpen interestChange in OIPriceWhat happened
————8704,86,750−2,2501.40long unwinding
long build-up88.25+75036,0008802,73,000−27,7501.85long unwinding
————8901,73,250−18,0002.45long unwinding
—69.5901,60,50090012,08,250−39,7503.30long unwinding
—60.74014,2509101,92,000+14,2504.50short build-up
short covering57.55−75095,2509204,32,000−14,2506.15long unwinding
short covering48.55−4,5001,77,0009304,38,000+26,2508.20short build-up
short covering41.50−23,2502,91,000940wall21,30,000+75010.75short build-up
long build-up34.60+49,5006,82,5009508,96,250+25,50014.00short build-up
long build-up28.55+12,75010,09,50096013,60,500+1,20,75017.90short build-up
long build-up23.35+96,75014,30,250970at the money14,73,750+66,75022.55short build-up
short covering18.80−87,00014,11,50098010,83,750−56,25027.85long unwinding
short covering14.85−69,75010,98,7509906,84,000+6,75034.15short build-up
long build-up11.80+22,50038,07,750wall1,00011,10,750+21,00040.50short build-up
long build-up9.20+7,5005,62,5001,0101,49,250048.76—
short covering7.00−19,5006,36,0001,0202,20,500−1,50056.25long unwinding
long build-up5.35+3,7506,93,7501,0301,54,500−1,50065.55long unwinding
long build-up3.95+3,75012,92,2501,0401,68,750074.50—
long build-up3.00+39,75010,22,2501,0501,81,500083.76—
short covering2.25−8,2504,12,5001,0601,46,250093.22—
short covering1.65−5,2505,04,7501,07026,2500102.85—

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, 388 of 689 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 0.57% above the share.

Not in the F&O ban this session; open interest stood at 29% 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 1.4–8.2%.

Option prices were dearer than 90 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
  • 30 Jul 2026: options priced about 7.2%; the share moved 8.2% by 31 Jul.

The futures, session by session

as of Thu 15 Oct 15:30
sessionfuturesimplied movebasisban
Thu 15 Octlong build4.8%0.57%
Wed 14 Octlong unwind5.2%0.48%
Tue 13 Octlong build4.9%0.52%
Mon 12 Octshort build5.2%0.16%
Fri 9 Octlong build5.3%0.38%
Thu 8 Octshort build5.6%0.21%
Wed 7 Octshort cover5.6%0.37%
Tue 6 Octlong unwind5.8%0.11%
Mon 5 Octshort cover5.5%0.30%
Thu 1 Octshort build6.4%0.68%
Wed 30 Sepshort build6.0%0.67%
Tue 29 Sepshort build5.8%0.38%
Mon 28 Seplong unwind5.8%0.03%
Fri 25 Sepshort cover1.5%-0.14%
Thu 24 Sepshort build2.4%-0.02%
Wed 23 Seplong build1.9%-0.22%
Tue 22 Sepshort build2.3%0.43%
Mon 21 Sepshort build2.6%0.41%
Fri 18 Sepshort cover2.9%-0.68%
Thu 17 Sepshort cover3.4%0.43%

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.