Derivatives Outlook: Options data holds positive bias amid volatility

Despite key indices hitting fresh record highs, the resistance level remained at 16,000 points for three weeks, while support level at 15,000 for a consecutive second week.

The 16,000 strike has the highest Call OI followed by 16,500/ 16,200/ 16,100/ 15,900/ 16,400 strikes. Further, 16,400/ 16,000/ 15,9900/ 16,200 strikes witnessed significant Call OI build-up.

Coming to Put side, the 15,000 strike recorded maximum Put base followed by 15,700/ 15,800/ 15,600/ 15,44000/15,100 strikes. As per the data from sharekhan.com, the Nifty Futures began the June series with an Open Interest at 1.05 crore shares versus 1.02 crore shares in open interest.

Nifty June month rollover is at 77.28 per cent as against previous 66.28 per cent and three-month average of 75.40 per cent. Nifty in May F&O series rose three per cent and Bank Nifty gained four per cent. Nifty recorded two per cent long addition and Bank Nifty witnessed 27 per cent addition in Open Interest.

The June derivatives series began with Rs154,709 crore versus Rs135,393 crore in stock futures, Nifty futures worth Rs16,115 crore versus Rs15,287 crore and index options toe tune of Rs197,925 crore versus Rs 170,393 crore. Stock options with Rs54,269 crore against Rs42,781 crore. Market-wide rollover is at 91.49 per cent versus 83.80 per cent.

Dhirender Singh Bisht, senior research analyst (derivatives) at SMC Global Securities Ltd, said: "Bulls made a strong comeback in Indian markets after June series expiry as Sensex hit all-time highs, while Nifty indices remained just short of retesting their record highs. This time markets got support from the banking counter along with IT and metal space."

For the week ended June 15, 2021, BSE Sensex closed at 52,925.04 points, a net gain of 580.59 points or 1.10 per cent, from 52,344.45 points. NSE Nifty too declined by 177 points or 1.12 per cent to 15,860.35points from 15,683.35 points.

Bisht forecast: "However, markets are likely to remain in its bullish territory as far Nifty is holding well above 15,500 level on broader structure. We can expect some volatility in upcoming week as traders look to book some profits at higher levels. Technically the 16,000 level would act as a key psychological level for Nifty above which we could witness the next round of buying momentum which could take markets towards 16,250 levels as well."

The put-call ratio (PCR) in the June series began with a comfortable level at 1.38. On the other hand, the volatility index VIX has been trading in a narrow range between 19-22 levels. Seeing the above data with high rollover, analysts predict that the positive movement in Nifty may continue and can see a target of 15600-15700 with reversal at 14,900 points, according to sharekhan.com.

"The Implied Volatility of Calls closed at 13.73 per cent, while that for Put options closed at 14.32 per cent. The Nifty VIX for the week closed at 15.10 per cent and is expected to remain volatile. PCR of OI for the week closed at 1.42" adds Bisht.

Bank Nifty

NSE's banking index Bank Nifty further declined by 806.65 points or 2.33 per cent to 35,364.65 points from 34,558 points.

"From technical front, Bank Nifty is facing a strong hurdle in the 35,500-35,700 levels, above which we expect the banking sector to gather some momentum in upcoming sessions," observes Bisht.

Bank Nifty June month rollover was at 80.76 per cent versus 64.60 per cent. Bank Nifty to continue its outperformance. Derivatives analysts forecast Bank nifty may reach around 37,000 with reversal placed at 33,200 points.

Bank Nifty, for a second week in a row, closed on a negative note as private players failed to gauge any noticeable momentum.

According to ICICI Direct.com, most private banks are trading near their Call bases, which is likely to keep pressure intact in private banks. The Bank Nifty-Nifty price ratio slipped below its support of 2.20 levels. Analysts feel underperformance in the Bank Nifty should continue and, going ahead, it can move towards levels of 33000 in the expiry week.