Readings and resources

Read first

1. M07 · 7.5 (open interest), M08 · 8.9 (the Greeks) and M09 · 9.7 (strategies), if any of them is not fresh; this module builds on all three.
2. Natenberg, S., Option Volatility & Pricing, 2nd ed., McGraw-Hill, 2015: the chapters on volatility spreads, risk considerations and position adjustments.
3. NSE F&O bhavcopy archive (URL pattern in 9A.2) and the participant-wise OI files: download a week of each and rebuild the tables in this module.

For depth 4. Sinclair, E., Positional Option Trading, Wiley, 2020: the variance premium, event trading and sizing. 5. Gatheral, J., The Volatility Surface, Wiley, 2006, ch. 2 (term structure and calendar no-arbitrage). 6. Dubinsky, A., Johannes, M., Kaeck, A., Seeger, N. J. (2019), "Option Pricing of Earnings Announcement Risks", Review of Financial Studies 32(2): 646–687.

Papers cited

• Avellaneda, M., Lipkin, M. D. (2003), "A market-induced mechanism for stock pinning", Quantitative Finance 3(6): 417–425. https://econpapers.repec.org/RePEc:taf:quantf:v:3:y:2003:i:6:p:417-425
• Ni, S. X., Pearson, N. D., Poteshman, A. M. (2005), "Stock price clustering on option expiration dates", Journal of Financial Economics 78(1): 49–87. https://ideas.repec.org/a/eee/jfinec/v78y2005i1p49-87.html
• Golez, B., Jackwerth, J. C. (2012), "Pinning in the S&P 500 futures", Journal of Financial Economics 106(3): 566–585. https://ideas.repec.org/a/eee/jfinec/v106y2012i3p566-585.html
• Pan, J., Poteshman, A. M. (2006), "The Information in Option Volume for Future Stock Prices", Review of Financial Studies 19(3): 871–908. NBER WP 10925: https://www.nber.org/papers/w10925

Indian primary sources

• NSE F&O bhavcopy: https://nsearchives.nseindia.com/content/fo/BhavCopy_NSE_FO_0_0_0_YYYYMMDD_F_0000.csv.zip
• NSE participant-wise OI: https://nsearchives.nseindia.com/content/nsccl/fao_participant_oi_DDMMYYYY.csv
• SEBI circular SEBI/HO/MRD/TPD-1/P/CIR/2024/132 (1 Oct 2024): https://www.sebi.gov.in/legal/circulars/oct-2024/measures-to-strengthen-equity-index-derivatives-framework-for-increased-investor-protection-and-market-stability_87208.html
• SEBI FY26 F&O study (PR 50/2026): https://www.sebi.gov.in/sebi_data/attachdocs/aug-2026/1787233506209.pdf
• STT and exchange charges: NSE circulars NSE/FATAX/73524 (https://nsearchives.nseindia.com/content/circulars/FATAX73524.pdf) and NSE/FA/73061 (https://nsearchives.nseindia.com/content/circulars/FA73061.pdf)
• Current futures OI by expiry, option OI by strike, put–call ratio by OI, max pain and straddle price for F&O stocks: https://oicharts.com/stocks (e.g. https://oicharts.com/stocks/RELIANCE); index levels and India VIX: https://oicharts.com/indices
• NSE Clearing (SPAN risk-parameter files and margin methodology): https://www.nseclearing.in/