By Rajesh Palviya
In Nifty’s current series, a Short Covering has been witnessed with increase in price of 0.98% and decrease in OI by -3.69% as of Wednesday wherein there was shedding of 3.79 lakh shares in OI, decreasing from 102.68 lakh to 98.99 lakh shares. Nifty 50 current month rollover stands at 17.15%, while Nifty Put Call Ratio, a sentiment indicator used by traders to gauge the market sentiment and mood, is currently at 0.97 compared to 1.34 of last week, indicating flat –neutral bias.
India Vix, a market volatility indicator often called the fear gauge, is currently trading 20.59% compared to 17.71% of last week. Implied Volatility of Nifty ATM options for the current series is at 21.33% in contrast to 16.44% of last week, indicating volatile movement on either side of the expiry session.
Nifty Put options OI distribution shows that 17,000 has highest OI concentration followed by 17,200 & 17,300 which may act as support for current expiry and on the Call front 17,400 followed by 17,500 & 17,600 witnessed significant OI concentration and may act as resistance for current expiry.
In weekly options there was Call writing seen at 17,400 strike followed by 17,500 & 17,600 while on the Put side noticeable activity of writing was witnessed in 17,000 & 17,100 strike prices. Options data suggest an immediate trading range between 17,500 and 17,000 levels.
Bank Nifty Outlook
In current series, a Short Build Up has been witnessed in Bank Nifty Fut with an decrease in price of -0.68% and increase in OI by 7.15% as of Wednesday wherein there was addition of 1.36 lakh shares in OI, increasing from 18.97 lakh to 20.33 lakh shares. Bank Nifty Current series rollover stands at 16.02%, while Bank Nifty Put Call Ratio, a sentiment indicator used by traders to gauge the market sentiment and mood, is currently at 0.79 compared to 0.97 of last week indicating flat-to-positive bias. .
Bank Nifty Put options OI distribution shows that 37,500 has highest OI concentration followed by 37,000 which may act as support for current expiry and on the Call front 38,500 followed by 39,000 witnessed significant OI concentration and may act as resistance.
In weekly options, Call writing was seen at 38,000, 38,500 & 39,000 strike while on the put side it was seen at 37,000 , 37,500 & 37,800 Options data indicated an immediate trading range between 38,500 and 37,500 levels.
Nifty Open Interest Concentration
Nifty Option OI Change
Bank Nifty Open Interest Concentration
Bank Nifty Option OI Change
Nifty 50 trading strategy for weekly F&O expiry day
The strategy which we are suggesting for this weekly/monthly expiry dated 24th February is a Bullish strategy called as CALL LADDER, which involves Buying of one lot of NIFTY 17,300 Call @ 219 & selling of one lot each of 17,500 Call @ 125 & one lot of 17,700 Call @ 62. The cost of the strategy involves outflow of Rs 1,600 which is the maximum loss if NIFTY trades & remains below 17,330 levels on expiry .The maximum profit of Rs 8,400 will be attained at 17,500 levels, while strategy will start making loss above 17,870. Call Ladder although being a limited profit & unlimited risk strategy; is an extension to the bull call spread and to further bring down the cost of the premium one more extra leg of OTM call is sold and hence any move above the sold leg can incurred unlimited loss, hence it’s advisable to exit the strategy in total to avoid UNLIMITED losses above 17,780. Break Even points of the strategy are 17,868 on Upside & 17,332 on the lower side.
(Rajesh Palviya, VP – Research (Head Technical & Derivatives), Axis Securities. Views expressed are the author’s own.)