NSE Options & Technical Analysis Glossary

Call option (CE) CE

A contract giving its buyer the right to buy the underlying at a fixed strike price on or before expiry.

On NSE the call is written CE, for "call European", because Indian stock and index options can only be exercised at expiry rather than any day before it. The buyer pays a premium for the right and can walk away from it; the writer receives that premium and carries the obligation if it is exercised. In stored end-of-day data a call appears as its own row per strike per expiry, with its own price, open interest and volume.

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Put option (PE) PE

A contract giving its buyer the right to sell the underlying at a fixed strike price on or before expiry.

Written PE on NSE, the mirror of the call. The buyer pays a premium for the right to sell at the strike; the writer takes that premium and the obligation that comes with it. Calls and puts at the same strike carry separate open interest and separate volume, which is why an option chain shows two sides around a single column of strikes.

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Strike price Exercise price

The fixed price at which an option can be exercised.

The exchange lists strikes at set intervals around the current price, and the interval widens as the underlying gets more expensive. Every strike carries its own call and its own put, each with separate pricing and separate open interest, so a single expiry produces dozens of individually traded contracts.

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Premium

The price of the option itself — what the buyer pays and the writer receives, per share.

Quoted per share but dealt in lots, so the cash involved is the premium multiplied by the lot size. It splits into intrinsic value, which is how far the option is already in the money, and time value, which is everything else and decays to nothing by expiry. In stored history the premium is the session close where the contract traded, and the exchange settlement price where it did not.

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Expiry

The date a contract settles and stops existing.

NSE stock options expire monthly, on the last Thursday of the month unless that day is a holiday, in which case they settle on the preceding trading day. Index options also carry weekly cycles. Every contract is filed under its expiry, so the same strike exists once per cycle and history is stored cycle by cycle.

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Lot size

The number of shares one contract covers.

Options are not dealt in single shares. The exchange fixes a lot size per underlying and revises it periodically, which is why the cash value of one contract changes over time even when the premium does not. Converting open interest from contracts into shares means multiplying by the lot size in force for that expiry, not the current one.

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Spot price Underlying price

The current price of the underlying stock or index the option is written on.

Every option derives its value from the spot, which is where the "derivative" in derivatives comes from. In stored option history the spot recorded against a row is the underlying value published in the same exchange record, so it matches that session exactly rather than being looked up afterwards.

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Moneyness

Where a strike sits relative to the current spot price.

The single idea behind in the money, at the money and out of the money. It decides how much of a premium is intrinsic value and how much is time value, and it is why two options on the same stock with the same expiry can behave nothing alike.

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In the money (ITM) ITM

An option that already has intrinsic value: a call struck below spot, or a put struck above it.

If the contract expired now it would be worth something. Its premium is therefore at least the difference between strike and spot, plus whatever time value remains. In-the-money options cost more and move more closely with the underlying than out-of-the-money ones.

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At the money (ATM) ATM

The listed strike sitting nearest the current spot price.

Rarely exactly equal to spot, since strikes come at fixed intervals — it is the nearest one. At-the-money options carry the most time value of any strike and lose it fastest as expiry approaches, because that is where the outcome is least decided.

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Out of the money (OTM) OTM

An option with no intrinsic value: a call struck above spot, or a put struck below it.

If it expired now it would be worth nothing, so its entire premium is time value. That makes out-of-the-money options cheap per contract and the fastest to lose their value as expiry approaches, since time value is all they have to lose.

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Open interest (OI) OI

How many contracts are open and not yet closed or expired, at one strike on one side.

Unlike volume it does not reset each day. It rises only when a new contract is created, falls only when one is closed or expires, and so measures positions held rather than activity. That is what makes its direction readable: open interest going up means positions were opened, going down means positions were shut.

Open Interest Chain Option Historical Chart

Change in open interest

Today's open interest minus the previous session's, at the same strike and side.

One of the two axes behind the standard activity reading. On its own it says whether contracts were created or closed during the session; paired with the direction the premium moved, it says which side was pushing.

Open Interest Chain

Long build-up

Premium up and open interest up: new buying.

One of the four quadrants of the premium-against-open-interest reading. Open interest rising means contracts were created, and the premium rising alongside says buyers were the aggressor. It is a description of what the session's two numbers did together, not a forecast.

Open Interest Chain

Short build-up

Premium down and open interest up: new writing.

Contracts were created while the premium fell, which places the writers as the aggressor rather than the buyers. The opposite corner of the same four-quadrant reading as long build-up.

Open Interest Chain

Short covering

Premium up and open interest down: writers buying back.

Open interest falling means contracts were closed, and a premium rising while that happens points at writers closing rather than buyers leaving. It is often the sharpest of the four readings because closing a short means buying, which pushes the premium further in the same direction.

Open Interest Chain

Long unwinding

Premium down and open interest down: buyers leaving.

Contracts were closed while the premium fell, which reads as holders selling out rather than new writers arriving. The fourth quadrant of the activity classification, and the mirror of short covering.

Open Interest Chain

Max pain

The strike at which option writers across the whole chain would owe the least if the underlying settled there.

Worked out by taking every strike in turn, valuing what all open calls and puts would pay out if expiry settled at that level, and picking the strike where the total is smallest. It is a calculation on current open interest and nothing more — it shifts as open interest shifts, and it is not a prediction of where anything will settle.

Open Interest Chain

Put-call ratio (PCR) PCR

Put open interest divided by call open interest across a chain.

A single number summarising how the chain's open positions are split between the two sides. It can be built from open interest or from volume, and the two say different things: one counts positions held, the other counts a session's activity.

Open Interest Chain

Option chain

Every strike for one expiry, with the call data on one side and the put data on the other.

The standard layout for reading an expiry at a glance: a column of strikes down the middle, calls to the left, puts to the right, each carrying its own price, open interest, change in open interest, volume and implied volatility.

Open Interest Chain

Implied volatility (IV) IV

The volatility an option's own market price implies, expressed as an annual percentage.

Rather than measuring what the stock has done, it is solved backwards out of what the option costs: the figure you would have to feed a pricing model for it to return the traded premium. Where the exchange publishes it, that value is used; where the stored history does not carry it, it is solved out of the premium with Black-Scholes using the strike, the spot and the days left to expiry.

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Historical volatility Realised volatility

How much the underlying actually moved over a past window, annualised.

Measured from the stock's own closing prices, which makes it a record rather than an expectation. It is the natural counterpart to implied volatility: one says what happened, the other says what the option price currently implies about what will.

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Black-Scholes

The standard model for pricing a European option from spot, strike, time to expiry, volatility and the interest rate.

Because NSE stock and index options are European — exercisable only at expiry — the model applies directly. Run forwards with a volatility it returns a price; run backwards from a traded price it returns the implied volatility, which is how that figure is recovered where the exchange file does not carry it.

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Time decay (theta) Theta

The loss of an option's time value as expiry gets closer.

Time value is the part of a premium that is not intrinsic, and it has to reach zero by expiry. The decay is not even: it is slow while expiry is distant and accelerates into the final sessions, and it is fastest at the money, where the outcome is least settled.

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Intrinsic value

What an option would be worth if it expired right now.

For a call it is spot minus strike, for a put it is strike minus spot, and in both cases it is floored at zero — an option is never worth less than nothing. Everything in the premium above this figure is time value.

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Time value Extrinsic value

The part of a premium above intrinsic value.

What is being paid for the possibility that the option finishes better placed than it is now. It reflects how long is left and how much movement is expected, and it decays to zero by expiry, which is why an out-of-the-money option — whose premium is all time value — can lose everything without the stock moving at all.

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FII Foreign institutional investor · FPI

Foreign institutional investors — overseas funds registered to deal in Indian markets.

Their daily buying and selling is published by the exchanges as a single aggregate figure per segment, which is why it can be tracked as one number. The net figure is gross buying minus gross selling for the session.

FII / DII Data

DII Domestic institutional investor

Domestic institutional investors — Indian mutual funds, insurers, banks and pension funds.

Reported daily in the same form as the foreign figure, and usually read beside it, since the two often sit on opposite sides of the same session.

FII / DII Data

Bhavcopy

NSE's official end-of-day file: every contract and every scrip that traded in a session.

Published after the close, it is the record the whole market reconciles against — open, high, low, close, settlement price, volume and open interest per contract. Because it is the exchange's own file rather than a feed, it is stable after the fact, which is what makes studying past sessions possible at all.

Option Historical Chart

Volume

How much traded during a session.

Every trade counts, including ones opened and closed the same day, so volume can be large while open interest barely moves. It measures a session's activity rather than positions held. On aggregated candles the volume shown is the sum for the period, so a weekly candle carries that week's total and a monthly candle that month's.

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End-of-day data EOD

One record per contract per session, taken after the close.

The opposite of a live tick feed. End-of-day data is settled and does not get revised, which is what lets the same query return the same answer months later — the property any backtest or historical scan depends on.

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Candlestick

One period drawn as a body between open and close, with wicks to the high and low.

The body shows the distance between where the period opened and where it closed; the wicks show how far price travelled beyond that in each direction. A candle can represent a day, a week or a month depending on what the bars are aggregated into.

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Candlestick pattern

A named formation made of one, two or three consecutive candles.

Hammers, engulfing patterns, morning and evening stars and the rest. They are short by definition — never more than three sessions — which is what separates them from chart patterns. Several conventional names are classed against the textbook direction where the studied outcomes point that way, which is why a measured reversal rate is shown beside each one rather than the name alone.

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Chart pattern

A shape that takes dozens of bars to draw: head and shoulders, double tops, wedges, triangles, harmonics.

Where a candlestick pattern spans at most three sessions, a chart pattern spans a stretch of them, so it is detected by measuring the proportions between its legs rather than the shape of individual candles. That difference is why the two kinds of scanner are separate tools.

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Timeframe

How much trading each candle represents — a day, a week, a month.

Weekly and monthly candles are built by aggregating stored daily history: the open is the period's first open, the close its last close, the high and low the extremes across it, and the volume the sum for the period. The same stretch of price produces different formations at different timeframes, which is the whole reason for scanning more than one.

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Confluence

The same reading appearing independently on more than one timeframe.

A monthly, weekly and daily candle each carry their own formation. Confluence is the case where all three point the same way at once. It is uncommon by construction, since every additional timeframe that has to agree removes most of the candidates — which is what makes a confluence scan return a short list rather than a long one.

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Divergence

Price and a momentum measure moving in opposite directions over the same stretch.

Price makes a further high while the momentum measure behind it does not, or the reverse at a low. The structure is described by the proportions between the initial move and the recovery that follows — how far each travelled and how many sessions each took.

Momentum Divergence

Support and resistance

Price levels a stock has repeatedly stopped at.

Support is a level price has turned up from more than once; resistance is one it has turned down from. They are descriptions of where a stock has previously stopped, drawn from its own history, and carry no guarantee about the next approach.

Square of 9

Retracement

How much of a move was given back afterwards, as a percentage of that move.

A small figure means price held most of the advance; a large one means most of it was returned. Measured against the move it follows rather than in absolute terms, so retracements on different stocks are comparable.

Momentum Divergence

Square of 9 Gann Square of Nine

A spiral of numbers arranged so that each full turn squares the value, used to derive levels from a price.

Numbers are laid out in a spiral where every complete revolution lands on a perfect square. A price is located on the wheel and levels are read off at fixed angles from it. It is a geometric construction applied to a number, not a statistical measurement of the stock.

Square of 9

Backtest

Replaying a set of rules across past data to see what they would have produced.

The rules are applied to every qualifying past period in turn, with no knowledge of what came after each entry. It reports what the rules would have done on the data held — a record of the past, not evidence about the future.

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MAE and MFE Maximum adverse excursion · Maximum favourable excursion

The worst and the best a position got to while it was open.

Maximum adverse excursion is the furthest a position went against its holder before it closed; maximum favourable excursion is the furthest it went in their favour. Together they describe the path a trade took rather than only where it ended, so two trades closing at the same figure can be told apart.

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Win rate

The share of tested occurrences that closed in profit.

A count, not a measure of size: a high win rate made of small gains and a few large losses can still total a loss. It is read beside the size of the average outcome rather than on its own.

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Profit factor

Total gains divided by total losses across a tested set.

Above 1 means the gains outweighed the losses over the period tested, below 1 means the reverse. Because it weighs size rather than counting occurrences, it answers the question a win rate cannot.

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