Call bases widening ahead of March series expiry

The resistance level rose by 200 points to 18,000CE and the support level remained at 17,000PE for a second consecutive week. The 18,000 strike has the highest Call OI followed by 17,100/ 17,000/ 17,500/ 17,300/ 17,200 strikes, while 17,000/ 17,100/ 17,300/ 17,500/17,650 strikes recorded significant build-up of Call OI.

Coming to the Put side, maximum Put OI is seen at 17,000PE followed by 16,500/ 16,700/16,800/ 17,100/ 17,200/ 17,500 strikes. Further, 16,800/16,700/ 16,500 strikes witnessed moderate addition of Put OI.

The volume-weighted average price (VWAP) of the March derivatives series is at 17,300 level. Highest Put base is at 17,000PE. If NSE Nifty remains below 17,000 points, then the divergence from VWAP may get extended and the benchmark index may further fall below its recent lows.

Dhirender Singh Bisht, senior research analyst (derivatives) at SMC Global Securities Ltd, said: "From derivatives front, Put writers were seen getting trapped at 17,000 PE strike, which further added selling pressure into the market."

Further, the Call writing for monthly expiry stayed aggressive as high Call bases are seen in 17,000-17,200 range.

"Indian markets fell for a third consecutive week, as NSE Nifty ended the week below 17,000 mark, while Bank Nifty slipped back below the crucial support level of 39,600 points once again. The selling pressure at higher levels mounted amid fear of a rising inflation rate was seen as a main hurdle. It pulled down the market in the later part of the week," added Bisht.

BSE Sensex closed the week ended March 24, 2023, at 57,527.10 points, a net loss of 462.80 points or 0.79 per cent, from the previous week's (March 17) closing of 57,989.90 points. NSE Nifty ended the week at 16,945.05 points, a decline of 155 points or 0.90 per cent, from 17,100.05 points a week ago.

Bisht forecasts: "Technically both the indices are holding well below its 200-day Exponential Moving Average on daily charts and can be seen fluctuating in broader range. For the upcoming week, we keep our stance bearish for Nifty and expect markets to remain volatile as well. On the lower side, the 16,650 level would act as a major support for the index, below which we could witness further downside into the prices."

India VIX rose 5.18 per cent to 15.24 level. "The Implied Volatility (IV) of Calls closed at 13.56 per cent, while that for Put options closed at 14.59 per cent. The Nifty VIX for the week closed at 14.49 per cent. PCR of OI for the week closed at 0.74," remarked Bisht.

FII net shorts are still elevated near 1.85 lakh contracts and only marginal closure was seen after Fed policy. Derivatives analysts observe that there are less chances for rollover of aggressive shorts into April F&O series. Such high shorts may create more volatility in markets. Hence, investors should be cautious in longs below 17,000 in the settlement week. The 17,200-17,250 range may remain in immediate resistance.

Bank Nifty

NSE's banking index closed the week at 39,395.35 points, lower by 202.75 points or 0.51 per cent from the previous week's closing of 39,598.10 points. High rollover of positions was taking place in Bank Nifty. April series holds nearly 22 lakh shares and near month OI also remains above 20 lakh shares, according to data from ICICIdirect.com. Considering the Bank Nifty closing below its major Put base of 39,500 points, weakness may continue.