I kind of got hint from Nitin Sir’s reply – The key is relative movement in premium on call and put side.
Let me still go ahead and elaborate the example to ensure there is no gap in understanding as I am not sure if my question was very clearly understood.
Suppose in a given expiry there is max OI at 11500 on put side and 12000 on call side and current NIFTY level is 11650. I need to record premium values ( 11500 PE and 12000 CE ) at different spot levels ( 11600, 11700,11800,11900). On a particular day NIFTY closes at 11770 and next day opens as 11830.
How do I note the premium values ( 11500 PE and 12000 CE ) at spot level 11800? NIFTY was never at 11800 and opened directly at 11830.
I think I should use level 11830 in stead of 11800 in this case and see the relative impact on premiums on both sides. So I would use premium values at spot levels 11600, 11700, 11830 and 11900 in this case.