F&O expiry: Nifty may trade in 16900-17200 range, Bank Nifty support at 36000; trading guide for expiry day

September 02, 2021 8:39 AM

Nifty Put options OI distribution shows that 17,000 has highest OI concentration followed by 16,900 and 16,800 which may act as support for current expiry

Nifty, bank niftyBank Nifty continues to remain in an uptrend in the medium term

By Rajesh Palviya

In the current series in Nifty, there has been a Long Build Up witnessed with an increase in the price of 2.70% and an increase in OI by 14.90% as of Wednesday wherein there was the addition of 18.47 lakh shares in OI, increasing from 123.97 lakh to 142.44 lakh shares. Nifty September rollover stands at 7% while sentiment indicator used by traders to gauge the market sentiment and mood, Nifty Put Call ratio, is currently at 1.20 compared to 1.23 of last week, indicating positive bias.

India Vix, a market volatility indicator often called the fear gauge, is currently trading 14.19% compared to 13.54% of last week. Implied Volatility of Nifty ATM options for the current series is at 13.44% in contrast to 12.35% of last week, indicating marginal volatile movement on either side in the coming session.

Nifty Put options OI distribution shows that 17,000 has highest OI concentration followed by 16,900 and 16,800 which may act as support for current expiry and on the Call front 17,200 followed by 17,300 witnessed significant OI concentration and may act as resistance for current expiry.

In weekly options there was Call writing seen at 17,300 strike followed by 17,200 and 17,100 while on the Put side noticeable activity of writing was witnessed in 17,000 and 16,900 strike prices. Options data suggest an immediate trading range between 17,200 and 16,900 levels.

Nifty OI Concentration 

Nifty Option OI Change 

Bank Nifty Outlook

In current series there has been a Long Build Up witnessed in Bank Nifty Futures with a increase in price of 2.69% and increase in OI by 26.94% as of Wednesday wherein there was addition of 3.94 lakh shares in OI, increasing from 14.63 lakh to 18.57 lakh. Bank Nifty September rollover stands at 5.14% while Bank Nifty Put Call Ratio, a sentiment indicator used by traders to gauge the market sentiment and mood, is currently at 0.99 compared to 0.92 of last week indicating positive bias with caution.

Bank Nifty Put options OI distribution shows that 36,500 has highest OI concentration followed by 36,000 & 35,500 which may act as support for current expiry and on the Call front 36,500 followed by 37,000 & 37,500 witnessed significant OI concentration and may act as resistance.
In weekly options, Call writing seen at 37,000,37,500 & 36,800 strike while on the put side it was seen at 36,500 & 36,000.Options data indicated an immediate trading range between 36,000 and 37,000 levels.

Bank Nifty OI Concentration 

Bank Nifty Option OI Change 

Nifty trading strategy for F&O expiry day

Traders can initiate a Moderately Bullish strategy with reduced premium outflow & lower breakeven point called BULL CALL SPREAD for 2nd September expiry wherein trader will buy one lot of 17,100 call strike @ 35.55 and simultaneously sell one lot of 17,200 call strike @ 9.95, so that net outflow or maximum loss will be restricted to up to Rs 1,280 (26 points). Nifty on expiry if closes above 17,126 the strategy will start making profit, however as the risk is limited so is the profit also limited. The maximum gains will be restricted up to Rs 3,720 (74 POINTS) only because the gains of long 17,100 strike call will be offset by the sold 17,200 strike call if Nifty closes above 17,200 on expiry.

(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.)

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