Call writers shifting to higher bands

Indicating lack of support, the resistance level remained at 18,000CE for the second consecutive week, while support level moved up by 700 points to 16,700PE. The options data after trading hours on last Friday on NSE website points to narrowing down the trading range for the truncated week ahead (October 3-7, 2022) as trading holiday on Wednesday for Dasara.

The 18,000CE has highest Call OI followed by 17,200/17,400/ 17,300/ 17,800/17,700 strikes, while 17,600/ 17,400/17,200/17,600/ 18,000 strikes witnessed reasonable addition of Call OI. Coming to the Put side, the 16,700 PE has maximum Put OI followed by 16,800/ 16,000/ 16,500/15,900/ 15,500 strikes. Further, 16,700/ 16,800/ 16,500/ 16,500/ 16,000/ 15,900 strikes recorded hefty build-up of Put OI.

Dhirender Singh Bisht, senior research analyst (derivatives) at SMC Global Securities Ltd, said: "From the derivatives front, Put writers were seen adding hefty Open Interest at 16800-16900 strikes, while Call writers were seen shifting at higher bands with marginal Open Interest seen at 17200 strike."

"Indian markets remained under pressure in the week gone by as Nifty and Bank Nifty, both the indices shattered down badly on the back of weak global cues. The Nifty shed more than one per cent, while Bank Nifty settled with a loss of over two per cent last week despite a sharp pull back witnessed in Friday's session after RBI's monetary policy," remarked Bisht.

Despite a whopping recovery of 1,016.96 points or 1.80 per cent recovery on Friday, BSE Sensex closed the week ended October 30, 2022, at 57,426.92 points, a net loss of 672 points or 1.15 per cent, from the previous week's closing of 58,098.90 points. Registering a fall of 233 points or 1.34 per cent, NSE Nifty ended the week at 17,094.35 points from 17,327.35 points a week ago.

Bisht forecasts: "Technically both the indices i.e Nifty and Bank Nifty still managed to hold above their 200Day Exponential Moving Average on daily charts and expected to trade sideways in the upcoming week. On the higher side, 17200 to 17300 zone is likely to act as a resistance zone for the index, while the 16900-16700 zone is likely to provide support on any downside. We expect that volatility is likely to grip Indian markets and bias is expected to remain in favour of bulls as far Nifty holds above 16800 levels."

The September Futures and Options (F&O) series concluded as NSE Nifty fell at 16,814 level with a loss of 3.9 per cent and the Bank Nifty also ended in the negative at 37625 falling sharply by 3.5 per cent. On the Open Interest front, the Nifty added 36 per cent and is starting the October derivatives series with OI of 121 lakhs share.

As per data from sharekhan.com, Nifty recorded higher rollover of 78.03 per cent versus previous 76.45 per cent and the three-month average of 77.61 per cent with a rollover cost of 15.2 points and with OI addition, with price closing in the red, it indicates some of the long in the Nifty have not got carried forward. The market-wide rollover was 87.99 per cent from previous 91.73 per cent.

The Bank Nifty on the other hand, added 39 per cent in Open Interest with a decrease in prices indicating short building seen in the index. The Bank Nifty saw a rollover of 82.34 per cent versus the three-month average of 84.35 per cent with a rollover cost of 213.55 points. With a low rollover, the Bank Nifty has not got long getting carried forward to the next series.

"Implied Volatility (IV) of Calls closed at 20.37 per cent, while that for Put options closed at 21.64 per cent. The Nifty VIX for the week closed at 21.3 per cent. PCR of OI for the week closed at 1.27 lower than the previous week," added Bisht.

Bank Nifty

NSE's banking index closed the week at 38,631.95 points, a net drop of 914.30 points or 2.31 per cent, from the previous week's closing of 39,546.25 points.