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Pre-open brief

ICICIGI ICICI LOMBARD GIC LIMITED

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

ICICI LOMBARD GIC LIMITED — on this desk since 30 Oct 2020.

implied move
3.7%
12 days to the expiry read
futures
short build
price fell and open interest rose
basis
-0.16%
the future traded 0.16% below the share
option prices
75
dearer than 75 of the past 252 sessions

Option chain

as of Thu 15 Oct 15:30
CallsStrikePuts
What happenedPriceChange in OIOpen interestOpen interestChange in OIPriceWhat happened
long unwinding194.46−1,30069,5501,5001,30,650−1,05,3001.25long unwinding
—174.69015,6001,52056,875−1,26,7501.50long unwinding
long unwinding155.09−1,62562,4001,5401,02,050−31,2002.05long unwinding
long unwinding135.82−65039,0001,56079,950−1,84,6002.75long unwinding
short build-up117.06+65046,8001,5802,19,375+32,8253.95short build-up
long unwinding94.50−14,6251,38,7751,6004,10,150−9,24,6256.00long unwinding
long unwinding77.65−13,00087,7501,6201,60,225−1,43,6508.65long unwinding
long unwinding62.15−6,17584,8251,6401,60,875+20,47512.85short build-up
long unwinding46.70−16,90073,1251,66087,100−69,87518.75long unwinding
short build-up34.80+19,17584,1751,6801,01,075−58,17526.65long unwinding
short build-up25.50+58,5003,66,6001,700at the moneywall4,15,025−1,79,40036.85long unwinding
short build-up18.10+1,08,2252,86,3251,7201,81,350−27,30049.90long unwinding
short build-up12.90+82,2253,26,6251,74085,800+16,57565.35short build-up
short build-up9.25+2,87,9504,88,1501,76070,525+39,97580.60long build-up
short build-up6.75+1,68,0252,83,0751,7801,33,900+1,30098.50long build-up
short build-up5.00+3,36,37510,62,425wall1,80016,575−3,575116.50short covering
long unwinding3.70−10,7251,04,3251,820325+325127.69—
long unwinding2.90−12,0251,84,9251,8403,250+2,600146.58long build-up
—2.35+9,4259,4251,860————
long unwinding1.95−2,28,1503,25,0001,8801,3000185.45—
—1.00+29,57529,5751,920————

The options were priced for a move of about 3.7% by 27 Oct.

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Open interest

as of Thu 15 Oct 15:30

Short build: price fell and open interest rose.

For this stock, 223 of 438 times the close 5 sessions later was higher.

Across every F&O stock, 58,860 of 1,16,717 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% below the share.

Not in the F&O ban this session; open interest stood at 39% of its market-wide limit.

Implied volatility

as of Thu 15 Oct 15:30

The options were priced for a move of about 3.7% by 27 Oct; over the sessions the desk holds it ranged 1.4–6.3%.

Option prices were dearer than 75 of the past 252 sessions.

Calls were priced dearer than puts the same distance out.

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Implied and realised around results

as of Thu 15 Oct 15:30
  • 14 Oct 2026: options priced about 5.3%; the share moved 0.0% by 15 Oct.

The futures, session by session

as of Thu 15 Oct 15:30
sessionfuturesimplied movebasisban
Thu 15 Octshort build3.7%-0.16%
Wed 14 Octlong build6.0%-0.12%
Tue 13 Octlong build5.3%0.12%
Mon 12 Octshort build5.4%-0.35%
Fri 9 Octlong build5.5%-0.67%
Thu 8 Octlong build5.4%-0.46%
Wed 7 Octshort build5.5%0.36%
Tue 6 Octshort cover5.4%0.07%
Mon 5 Octshort cover5.7%-0.80%
Thu 1 Octlong unwind6.0%0.37%
Wed 30 Sepshort cover6.0%-1.03%
Tue 29 Sepshort build5.6%0.14%
Mon 28 Seplong unwind5.7%0.35%
Fri 25 Seplong unwind1.8%-0.01%
Thu 24 Seplong build2.5%0.16%
Wed 23 Sepshort cover1.8%-0.09%
Tue 22 Seplong unwind2.2%0.50%
Mon 21 Sepshort cover2.4%-0.13%
Fri 18 Seplong unwind2.7%0.80%
Thu 17 Sepshort cover2.9%-0.22%

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.