By Rajesh Palvia
In the current series of Nifty, there was a long unwind with a price drop of -4.73% and an OI drop of -3% from Wednesday, where there was an unwind of 3 .01 lakh shares of OI, rising from 112.81 lakh shares to 109.79 lakh shares. The current month NSE Nifty 50 rollover stands at 24%, while Nifty Put Call Ratio, a sentiment indicator used by traders to gauge market sentiment and mood, is currently at 0.81 to 1 .28 last week, indicating a flat to cautious move. for expiration.
India VIX, a market volatility indicator often referred to as the fear gauge, is currently trading at 21.30% from 22.87% last week. Nifty ATM options implied volatility for the current series is 21.63%, down from 24.17% last week, indicating weaker volatile movement either side of the expiry session.
The OI distribution of the Nifty Put options shows that 15,200 has the highest concentration of OI, followed by 15,300 and 15,400 which can act as support for the current expiration and on the call front, 15,700 followed by 15,500 and 15,600 witnessed a significant OI concentration and may act as resistance for the current exhalation. Options data suggests an immediate trading range between 15,600 and 15,200 levels.
Nifty Open Interest Concentration
Clever option OI change
Astute insights from the bank
In the current series, there was a long unraveling seen in Bank Nifty Fut with a price drop of -6.62% and an OI drop of -11% from Wednesday where there was a unwinding of 2.50 lakh shares in OI from 23.79 lakh shares to 21.29 lakh shares. The Bank Nifty Current series rollover stands at 25%, while the Bank Nifty Put Call Ratio is currently at 0.86 from 0.69 last week, indicating a flat-to-negative move for expiry.
The Bank Nifty Put options OI distribution shows that 32,500 has the highest concentration of OI, followed by 32,000 and 31,500 which can serve as support for the current expiration and on the call front, 33,500 followed by 34,000 and 33,000 witnessed significant OI concentration and may act as resistance. Options data pointed to an immediate trading range between 33,500 and 32,300 levels.
A large call write in Bank Nifty was seen at 33,500, 33,000 and 34,000 strike while on the supply side it was seen at 32,500, 32,800 and 32,500.
Bank Nifty Option OI Concentration
Bank Nifty Option IO Change
NSE Nifty 50 Trading Strategy for June 30 Expiry F&O
The strategy we suggest for this June 30 weekly expiry is a moderately bullish strategy called CALL LADDER, which involves buying one lot of NIFTY 15,450 Call @ 168 and selling one lot each of 15,650 Call @ 82 and a lot of 15,850 Call @ 36. The cost of the strategy implies an exit of Rs 2,500/- which is the maximum loss if NIFTY trades and remains below 15,500 levels at expiry. The maximum profit of Rs 7,500/- will be reached above 15,650 levels, while the strategy will start making losses if Nifty crosses 16,000, so it is advisable to exit the strategy altogether to avoid UNLIMITED losses at the above 16,000. The equilibrium points for the strategy are 16,000 on the upside and 15,500 on the downside.
(Rajesh Palviya, Vice President – Research (Head of Technical and Derivatives) at Axis Securities. Opinions expressed are those of the author.)