In the Nifty current series, a Long Build up has been witnessed with marginal increase in price of 0.23% and increase in OI by 2.14% as on Wednesday
By Rajesh Palviya
In the Nifty current series, a Long Build up has been witnessed with marginal increase in price of 0.23% and increase in OI by 2.14% as on Wednesday wherein there was addition of 1.99Lac shares in OI, increasing from 93.23lac to 95.22Lac shares. Nifty July rollover stands at 8.48% as on Wednesday. Nifty Put Call Ratio, a sentiment indicator used by traders to gauge the market sentiment and mood, is currently at 1.23 compared to 1.06 of last week, indicating positive bias.
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India VIX, a market volatility indicator often called the fear gauge, is currently trading 12.59% compared to 13.56% of last week. Implied Volatility of Nifty ATM options for the current series is at 12.35% in contrast to 12.29% of last week, indicating low volatile movement on either side in the coming session.
Nifty Put options OI distribution shows that 15,800 has highest OI concentration followed by 15,700 which may act as support for current expiry and on the Call front 16,000 followed by 16,100 & 15,900 witnessed significant OI concentration and may act as resistance for current expiry.
In weekly options there was Call writing seen at 15,900 strike followed by 16,000 while on the Put side noticeable activity of writing was witnessed in 15,800 & 15,700 strike prices. Options data suggest an immediate trading range between 15,700 and 16,000 levels.
Nifty OI Concentration
Nifty OI Change
Bank Nifty Outlook
In the current series there has been a Long Build Up witnessed in Bank Nifty Futures with an increase in price of 2.16% and increase in OI by 2.61% as of today; wherein there was addition of 0.48Lac shares in OI, increasing from 18.54Lac to 19.03Lac shares. Bank Nifty July rollover stands at 7.44% as of Wednesday. Bank Nifty Put Call Ratio, a sentiment indicator used by traders to gauge the market sentiment and mood, is currently at 1.07 compared to 0.85 of last week indicating positive bias with caution at higher levels.
Bank Nifty Put options OI distribution shows that 35,500 has highest OI concentration followed by 35,000 & 34,500 which may act as support for current expiry and on the Call front 36,000 followed by 36,500 & 35,700 witnessed significant OI concentration and may act as resistance.
In weekly options Call writing seen at 35,700, 35,800 & 35,900 strike while on the put side it was seen at 35,400 & 35,500.Options data indicated an immediate trading range between 35,000 and 36,000 levels.
Bank Nifty OI Concentration
Bank Nifty OI Change
Nifty Strategy for weekly F&O expiry day
Traders can trade with LIMITED RISK – UNLIMITED PROFIT STRATEGY by Buying an At the Money Call option with strike price of 15900 @ 17 of weekly expiry; wherein this strategy will be profitable if Nifty closes above 15917 on expiry, while the maximum possible loss will be restricted to Rs 1,275 (17 points) which is the premium amount paid by the trader & the gains can be unlimited above the breakeven point of 15917.
The strategy for weekly expiry will be market neutral strategy called Long Straddle; wherein traders need to buy one lot each of Nifty 15,850 Call at 39 & 15,850 put at 37 options to benefit from sharp movement on either side and trader gains so long as the market moves, irrespective of its direction. The total premium outflow will be of Rs 5,700 (39 +37 =76 points) and break even point will be 15926 on the upside and lower breakeven point will be 15774. The sharp swing breaching break even points on either side will increase the volatility, which in turn will raise the price of the call or put option eventually generating profits in strategy while if there is no movement and Nifty trades range bound then the maximum loss will be restricted to the premium paid i.e Rs 5,700.
(Rajesh Palviya is Vice President– Research (Head Technical & Derivatives) at Axis Securities Limited. The views expressed are the author’s own. Please consult your financial advisor before investing.)