By Rajesh Palviya
In Nifty current series there has been a Long Addition witnessed with increase in price of 0.36% and increase in OI by 21% as of Wednesday, wherein there was addition of 21.95 lakh shares in OI, increasing from 106.13 lakh to 128.09 lakh shares. Nifty current month rollover stands at 10% as of Wednesday, while Nifty Put Call Ratio, a sentiment indicator used by traders to gauge the market sentiment and mood, is currently at 1.07 compared to 1.16 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 19.37% compared to 19.87% of last week. Implied Volatility of Nifty ATM options for the current series is at 18.36% in contrast to 19.49% of last week, indicating low movement on either side in expiry session compared to last week.
Nifty Put options OI distribution shows that 17,500 has highest OI concentration followed by 17,400 & 17,300 which may act as support for current expiry and on the Call front 17,900 followed by 17,700 & 17,800 witnessed significant OI concentration and may act as resistance for current expiry. Options data suggest an immediate trading range between 17,400 and 17,800 levels & 17600 acting as pivotal levels.
In Nifty Call writing was witnessed at 17,900, 17,800, and 17,700; while on Put side it was seen at 17,600,17,500 & 17,400.
Nifty Open Interest Concentration
Nifty Option OI Change
Bank Nifty Outlook
In current series there has been a Short Covering witnessed in Bank Nifty Fut with an increase in price of 1.26% and decrease in OI by 3% as on today, wherein there was unwinding of 0.62 lakh shares in OI, decreasing from 20.23 lakh to 19.61 lakh shares. Bank Nifty Current series rollover stands at 14% as of Wednesday, while Bank Nifty Put Call Ratio is currently at 0.80 compared to 0.93 of last week indicating flat-to-positive movement for expiry.
Bank Nifty Put options OI distribution shows that 39,000 has highest OI concentration followed by 38,500, and 39,300 which may act as support for current expiry and on the Call front 40,000 followed by 40,200 & 39,800 witnessed significant OI concentration and may act as résistance. Options data indicated an immediate trading range between 40,000 and 39,000 levels & 39500 acting as pivotal level
On a weekly basis significant Call writing in Bank Nifty was seen at 40,500 ,40,000 & 39,500 strike while on put side it was seen at 39,000, 39,500 & 39,400.
Bank Nifty Open Interest Concentration
Bank Nifty Option OI Change
Nifty 50 trading strategy for 15 September F&O expiry
The strategy which we are suggesting for this weekly expiry dated 15th September is a Moderately Bullish strategy called as CALL LADDER, which involves buying of one lot of Nifty 17,650 Call @ 175 & selling of one lot of 17,850 Call @ 92 & one lot of 18,050 Call @ 41. The cost of the strategy involves outflow of Rs 2,100 which is the maximum loss if Nifty trades & remains below 17,700 levels on expiry .On expiry the maximum profit of Rs 7,900 will be attained above 17,850 levels, while strategy will start making loss if Nifty crosses 18,200, hence it’s advisable to exit the strategy in total to avoid unlimited losses above 18,150. Break Even points of the strategy are 17,692 on down side & 18,208 on the up side.
(Rajesh Palviya, Vice President – Research ( Head Technical & Derivatives), Axis Securities. Views expressed are the author’s own.)