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Simple CAS Prediction Method (Before 3:30 PM)
Purpose
After 3:15 PM, the Sensex cash chart stops moving because of the Closing Auction Session (CAS).
To estimate where Sensex is moving, watch the ATM or 1 ITM Call Option.
Step 1 – At 3:15 PM
Example:
- Sensex = 78,785
- ITM Strike = 78,700 CE
- Option LTP = 365
Calculate:
Intrinsic Value
= 78,785 − 78,700
= 85
Extrinsic Value
= 365 − 85
= 280
Remember only one number: 280 (Extrinsic).
Step 2 – During CAS (3:16–3:30 PM)
Watch only the option price.
Formula:
Estimated Sensex
= Strike + Current Option Price − 280
Example 1
Option = 390
Sensex
= 78,700 + 390 − 280
= 78,810
Example 2
Option = 425
Sensex
= 78,700 + 425 − 280
= 78,845
Example 3
Option = 500
Sensex
= 78,700 + 500 − 280
= 78,920
Quick Rule
If the option price rises by:
+20 points → Sensex is approximately +20 points
+50 points → Sensex is approximately +50 points
+100 points → Sensex is approximately +100 points
As long as the extrinsic value stays nearly the same, every 1-point move in the option roughly corresponds to a 1-point move in the index.
Easy Memory Trick
At 3:15 PM:
✔ Note the Sensex level.
✔ Note the option LTP.
✔ Calculate and remember only the Extrinsic Value.
From 3:16 PM to 3:30 PM:
Estimated Sensex = Strike + Option LTP − Extrinsic
Example Summary
| Time | Option LTP | Estimated Sensex |
|---|---|---|
| 3:15 | 365 | 78,785 |
| 3:16 | 390 | 78,810 |
| 3:17 | 425 | 78,845 |
| 3:18 | 450 | 78,870 |
| 3:20 | 500 | 78,920 |
Important Note
This method estimates the current Sensex value during CAS. It does not predict the final closing price by itself. The final CAS close depends on the buy and sell orders matched in the closing auction, so the actual close can still differ slightly from the estimate.
