By Rajesh Palviya
In Nifty current series, there has been a Long Addition witnessed with an increase in price of 2.01% and an increase in OI by 4% as on today wherein there was an addition of 3.64 lakh shares in OI, increasing from 109.35 lac to 112.98 lakh shares. Nifty current month rollover stands at 11% as on today, while Nifty Put Call Ratio a sentiment indicator used by traders to gauge the market sentiment and mood is currently at 1.13 compared to 1.10 of last week, indicating a flat-to-positive movement for expiry. India VIX, a market volatility indicator often called the “fear gauge“, is currently trading 16.66% compared to 16.60% of last week.
Implied volatility of Nifty ATM options for the current series is at 16.77% in contrast to 15.57% of last week, indicating high volatile movement on either sides in expiry session compared to last week. Nifty Put options OI distribution shows that 18,000 has highest OI concentration followed by 17,800 & 17,700 which may act as support for current expiry and on the Call front 18,500 followed by 18,300 & 18,400 witnessed significant OI concentration and may act as resistance for current expiry. Options data suggest an immediate trading range between 18,300 and 17,900 levels. In Nifty Call writing was witnessed at 18,100, 18,200 & 18,300; while on Put side, it was seen at 18,000, 17,900 & 18,100.
Nifty Open Interest (OI) concentration
Nifty Options OI change
Bank Nifty Outlook
In current series there has been a Short addition witnessed in Bank Nifty Fut with an decrease in price of -0.41% and increase in OI by 10% as on today, wherein there was addition of 1.72 lakh shares in OI, increasing from 16.71 Lac to 18.43 lakh shares. Bank Nifty current series rollover stands at 14% as on today, while Bank Nifty Put Call Ratio a sentiment indicator used by traders to gauge the market sentiment and mood, is currently at 0.75 compared to 0.99 of last week indicating flat-to-positive movement for expiry.
Bank Nifty Put options OI distribution shows that 40,500 has highest OI concentration followed by 40,000 & 41,000 which may act as support for current expiry and on the Call front 42,000 followed by 41,700 & 41,800 witnessed significant OI concentration and may act as resistance. Options data indicated an immediate trading range between 40,500 and 41,800 levels with 41500 acting as pivotal level. On weekly basis, significant Call writing in Bank Nifty was seen at 41,500, 41,700 & 42,000 strike while on put side, it was seen at 41,000, 40,500 & 40,900.
Banknify Open Interest (OI) concentration
The strategy which we are suggesting for the week with expiry schedule on 10th November 2022 is IRON BUTTERFLY, which involves selling of one lot of Nifty 18,150Call at 155 & selling of one lot of Nifty 18,150 Put at 191 and simultaneously buying one lot of 18,550 Call at 27 & buying one lot of 17,750 put at 57. Both risk and reward in this strategy are limited and the gains in the strategy will be accrued between two levels i.e 18,400 on upside & 17,900 on downside. Maximum profit of Rs 13,100 will happen if Nifty closes/expires at 18,150. On the other hand, if Nifty on expiry closes above 18,412 (upper bep) or below 17,888 (lower bep) then the strategy will start making loss: While for any close above 18,550 or below 17,750, the max loss will be restricted to Rs 6,900.
(Rajesh Palviya, Vice President, Research-Head Technical & Derivatives, Axis Securities. Views expressed are the author’s own. Please consult your investment advisor before investing.)