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F&O expiry: Nifty support at 16000, use Call Ladder for new expiry week, Bank Nifty to remain flat-to-negative

The trading strategy for the weekly expiry dated 16th June is a Moderately Bullish strategy called as Call Ladder

Nifty 50, Bank Nifty, F&O expiry
Nifty Put options OI distribution shows that 16,000 has highest OI concentration followed by 16,100 & 16,200 which may act as support for current expiry

By Rajesh Palviya

In the NSE Nifty 50 current series, a Short Covering has been witnessed with an increase in price of 1.22% and decrease in OI by 1%  as of Wednesday wherein there was unwinding of 0.81 lakh shares in OI, decreasing from 112.81 lakh to 112 lakh shares. Nifty current month rollover stands at 14% as of Wednesday, while Nifty Put Call Ratio, a sentiment indicator used by traders to gauge the market sentiment and mood, is currently at 0.72 compared to 0.97 of last week, indicating a flat-to-negative movement for expiry.

India Vix, a market volatility indicator often called the fear gauge, is currently trading 19.90% compared to 22.32% of last week. Implied Volatility of Nifty ATM options for the current series is at 19.13% in contrast to 18.89% of last week, indicating lower volatile movement on either side on the expiry session.  

Nifty Put options OI distribution shows that 16,000 has highest OI concentration followed by 16,100 & 16,200 which may act as support for current expiry and on the Call front 16,600 followed by 16,500 & 16,400 witnessed significant OI concentration and may act as resistance for current expiry. 

In WEEKLY options there was Call writing seen at 16,400 strike followed by 16,500 & 16,600 while on the Put side noticeable activity of writing was witnessed in 16,000 ,16,150 & 16,200 strike prices. Options data suggest an immediate trading range between 16,150 and 16,500 levels.

Nifty Open Interest Concentration

Nifty Option OI Change

Bank Nifty Outlook

In the current series, a Short Addition has been witnessed in Nifty Bank Fut with an decrease in price of -0.44% and increase in OI by 2% af Wednesday wherein there was addition of 0.32 lakh shares in OI, increasing from 23.79 lakh to 24.11 lakh shares. Nifty Bank Current series rollover stands at 12% as of Wednesday, while Bank Nifty Put Call Ratio, a sentiment indicator used by traders to gauge the market sentiment and mood, is currently at 0.65 compared to 0.63 of last week indicating flat-to-negative movement for expiry.

Bank Nifty Put options OI distribution shows that 34,500 has highest OI concentration followed by 34,000 & 33,500 which may act as support for current expiry and on the Call front 35,500 followed by 36,000 & 36,500 witnessed significant OI concentration and may act as resistance.

In WEEKLY options Call writing seen at 35,500, 35,200 & 35,300 strike while on the put side it was seen at 34,500, 34,900 & 35,000 Options data indicated an immediate trading range between 35,500 and 34,000 levels.

Bank Nifty Open Interest Concentration

Bank Nifty Option OI Change

Nifty 50 trading strategy for weekly F&O expiry

The strategy which we are suggesting for the weekly expiry dated 16th June is a Moderately Bullish strategy called as Call Ladder, which involves Buying of one lot of Nifty 16,350 Call @ 182 & selling of one lot each of 16,500 Call @114 & one lot of 16,650 Call @ 65. The cost of the strategy involves outflow of Rs 1,250 which is the maximum loss if Nifty trades & remains below 16,375 levels on expiry. The maximum profit of Rs 150 will be attained above 16,500 levels, while strategy will start making loss if Nifty crosses 16,800, hence it’s advisable to exit the strategy in total to avoid Unlimited losses above 16,800. Break Even points of the strategy are 16,797 on upside & 16,353 on the lower side.

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

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