F&O expiry: Nifty to trade in 17400-17600 range, Bank Nifty may hit 37300; check trading strategy

Updated: September 16, 2021 9:15 AM

Options data suggest an immediate trading range between 17,400 and 17,600 levels for Nifty 50 index on F&O expiry day

Nifty, bank niftyFor the week, we expect Bank Nifty to trade in the range of 40400-38700 with a positive bias

By Rajesh Palviya

On the daily chart, the index has formed a bullish candle and has closed above its past six session’s consolidation range(17450-17250) representing positive bias ahead. The index is moving in a Higher Top and Higher Bottom formation on the daily chart indicating a sustained uptrend. Nifty has witnessed a Long Build Up in the current week with an increase in the price of 5.33% and an increase in OI by 22.49% as of Wednesday wherein there was an addition of 27.88 lakh shares in OI, increasing from 123.97 lakh to 151.85 lakh shares.

Nifty September rollover stands at 8.32%, while the sentiment indicator, Nifty Put Call Ratio, used by traders to gauge the market sentiment and mood, is currently at 1.47 compared to 1.45 of last week, indicating positive bias.

India VIX, a market volatility indicator often called the fear gauge, is currently trading 13.73% compared to 13.94% last week. Implied Volatility of Nifty ATM options for the current series is at 12.61% in contrast to 12.56% of last week, indicating marginal volatile movement on either side in the coming session.

Nifty Put options OI distribution shows that 17,400 has highest OI concentration followed by 17,500 & 17,300 which may act as support for current expiry and on the Call front 17,500 followed by 17,600 witnessed significant OI concentration and may act as resistance for the current expiry.

In weekly options, there was Call writing seen at 17,500 strike followed by 17,600 & 17,700 while on the Put side noticeable activity of writing was witnessed in 17,500 & 17,400 strike prices. Options data suggest an immediate trading range between 17,400 and 17,600 levels.

Nifty Open Interest Concentration

Nifty Open Interest Change

Bank Nifty Outlook

On the daily chart, the index has formed a bullish candle and has closed above its previous session’s high representing positive bias ahead. The index is moving in a Higher Top and Higher Bottom formation on the daily chart indicating a sustained uptrend. The chart pattern suggests that if Bank Nifty crosses and sustains above 36950 levels it would witness buying which would lead the index towards 37100-37300 levels.

In the current series there has been a Long Build Up witnessed in Bank Nifty Futures with an increase in the price of 3.44% and an increase in OI by 20.90% as of Wednesday wherein there was the addition of 3.06 lakh shares in OI, increasing from 14.63 lakh to 17.69 lakh shares. Bank Nifty September rollover stands at 7.70%, while Bank Nifty Put Call Ratio, a sentiment indicator used by traders to gauge the market sentiment and mood, is currently at 0.93 compared to 0.93 of last week indicating positive bias.

Bank Nifty Put options OI distribution shows that 36,500 has highest OI concentration followed by 36,000 & 36,700 which may act as support for current expiry and on the Call front 37,000 followed by 37,500 & 38,000 witnessed significant OI concentration and may act as resistance.
In weekly options, Call writing was seen at 36,800,37,000 & 37,200 strike while on the put side it was seen at 36,500 & 36,600.Options data indicated an immediate trading range between 36,000 and 37,200 levels.

Bank Nifty Open Interest Concentration

Bank Nifty Open Interest Change

Nifty 50 strategy for weekly expiry

Traders can initiate a Moderately Bullish strategy with reduced premium outflow & lower breakeven point called BULL CALL SPREAD of 16th September Expiry wherein trader will buy one lot of 17,500 call strike @ 55 and simultaneously sell one lot of 17,600 call strike @ 11, so that net outflow or maximum loss will be restricted to up to Rs 2, 2 00 (44 points). If Nifty on expiry closes above 17,544, the strategy will start making profit, however as the risk is limited so is the profit. The maximum gains will be restricted up to Rs 2,800 (56 POINTS) only, because the gains of long 17,500 strike call will be offset by the sold 17,600 strike call if Nifty closes above 17,600 on expiry.

(Rajesh Palviya, VP– Research (Head Technical & Derivatives), Axis Securities. Views expressed are the author’s own.)

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