Derivatives Outlook: Options data holds easing volatility

The latest options data on NSE after Friday's session is pointing to narrowing the trading range unlike huge volatility that occurred in the last week. The support level moved up by 2,800 points to 23,000PE, while resistance level also rose by 1,000 points to 24,000CE.

The 24,000CE has highest Call OI followed by 25,000/ 24,500/ 24,350/ 24,800/23,800/ 23,700/ 23,500/ 23,000/ 23,400, while 24,800/ 25,000/ 24,350/ 24,500/ 24,350/ 24,000/ 23,900/ 23,700/ 23,200 strikes. Deep Call ITM strikes recorded marginal drop in OI. Heavy Call writing was observed across the board with significant writing at 23,500 strike.

Coming to the Put side, maximum Put OI is seen at 23,000PE followed by 22,500/22,800/ 23,200/ 22,300/ 22,700/ 22,400/ 20,150/ 20,200/ 20,500/ 20,800 strikes. Further, 20,150/ 20,200/ 20,700/ 21,600/ 21,800/ 22,000/ 22,500 strikes witnessed moderate to heavy build-up of Put OI.

BSE Sensex closed the week ended June 7, 2024, at 76,693.36 points, a net fall of 2,732.05 points or 3.69 per cent, from the previous week’s (May 31) closing of 73,961.31 points. For the week, NSE Nifty also fell by 759.45 points or 3.37 per cent to 23,290.15 points from 22,530.70 points a week ago.

Nifty was quite volatile ahead of Lok Sabha poll results. Not only domestic investors, but FPIs also became very concerned about the outcome of elections. Hence, FPIs preferred to be net sellers. Apart from banking, most of the other sectoral heavyweights remained under pressure as FIIs sold nearly Rs12,000 crore last week. May F&O series concluded near VWAP of 22,500. Analysts expect short covering in Nifty and continued directional move can be seen in the coming week.

FIIs preferred to hedge their portfolio against volatility post-election outcome and their net shorts rose to over 3 lakh contracts. As a result, Nifty futures Open Interest moved to its highest levels seen since Covid.