By Rajesh Palviya
In Nifty current series there has been a Long Addition witnessed with increase in price of 2.73% and increase in OI by 2% as of Wednesday wherein there was addition of 1.58 lakh shares in OI, increasing from 114.50 lakh to 116.08 lakh shares. Nifty current month rollover stands at 10% as of Wednesday, while Nifty Put Call Ratio, a sentiment indicator used by traders to gauge the market sentiment and mood, is currently at 1.24 compared to 1.02 of last week, indicating a flat-to-position movement for expiry.
India Vix, a market volatility indicator often called the fear gauge, is currently trading 19.57% compared to 21.30% of last week. Implied Volatility of Nifty ATM options for the current series is at 19.00% in contrast to 20.78% of last week, indicating low volatile movement on either side in the expiry session compared to last week.
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Nifty Put options OI distribution shows that 17,000 has highest OI concentration followed by 17,100 & 17,200 which may act as support for current expiry and on the Call front 17,500 followed by 17,600 & 17,700 witnessed significant OI concentration and may act as resistance for current expiry. Options data suggest an immediate trading range between 17,500 and 17,100 levels. In Nifty Call writing was witnessed at 17,500, 17,550 & 17,600; while on Put side it was seen at 17,200,17,100 & 17,000.
Nifty Open Interest Concentration
Nifty Option OI Change
Bank Nifty Outlook
In current series there has been a Short Covering witnessed in Bank Nifty Fut with an increase in price of 3.72% and decrease in OI by 7% as of Wednesday, wherein there was shedding of 1.46 lakh shares in OI, decreasing from 21.96 lakh to 20.50 lakh shares. Bank Nifty Current series rollover stands at 8% as of Wednesday, while Bank Nifty Put Call Ratio is currently at 1.03 compared to 0.68 of last week indicating flat-to-mix movement for expiry.
Bank Nifty Put options OI distribution shows that 38,000 has highest OI concentration followed by 38,500 & 38,700 which may act as support for current expiry and on the Call front 40,000 followed by 39,500 & 40,100 witnessed significant OI concentration and may act as resistance. Options data indicated an immediate trading range between 38,500 and 39,800 levels. On a weekly basis Significant Call writing in Bank Nifty was seen at 40,000, 40,100 & 39,500 strike while on put side it was seen at 39,000, 38,500 & 38,000.
Bank Nifty Open Interest concentration
Bank Nifty OI change
NSE Nifty 50 trading strategy for 13 Oct F&O expiry
The strategy we are suggesting is short straddle for weekly expiry scheduled at 13 October 2022. This strategy involves selling of 17,300 call & 17,300 put one lot each having premium of 207 & 177 respectively making a total premium inflow of Rs 19,200 (384 points). As it’s a credit spread, from profit perspective this strategy can generate max profit to the extent of premium received if Nifty trades & conclude the expiry in the range of BEPs; while the loss can be unlimited if Nifty breaches the upper breakeven level of 17,684 or the lower breakeven level of 16,916 and sustains on either side on expiry day. It’s advisable to maintain a combined premium (i.e add premium of call option + put option together) stop loss of 550-570 points to avoid unlimited losses if Nifty makes a strong move in either of the directions or else Traders as per there risk appetite can even hold till expiry.
(Rajesh Palviya, Vice President – Research ( Head Technical & Derivatives), Axis Securities. Views expressed are the author’s own.)