Market makers provide liquidity and pocket the spread; expiry forces settlement at the max-pain-leaning spot. Understanding microstructure explains why IV behaves and why thin strikes slip. The model respects liquidity as a feature.
Trade with the structure, not against it. The filter's liquidity awareness and the monthly report's regime split reflect this reality. Naive models ignore who is on the other side.
Q: Who provides liquidity?
A: Market makers; they pocket the spread.
Q: Why expiry pins?
A: Settlement forces spot toward max-pain-leaning level.
Q: Why respect microstructure?
A: Explains IV behavior and slippage; naive models ignore it.
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By Shakti Tiwari · Options AI research pillar. NISM XII certified. Educational only, not investment advice; verify before acting.