Options data holds caution amid volatility

Options data holds caution amid volatility
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Options data holds caution amid volatility

Highlights

Call writing shifting to lower bands; Nifty VIX at 23.03%; Put-Call Ratio of OI at 1.14 indicates more Put writing

As per the latest options data available on NSE after trading hours on Friday (April 23, 2021), the resistance and support levels remain at the previous week's levels of 15,000 strike and 14,000 strike respectively.

The 15,000 strike has the highest Call OI followed by 14,800/ 14,500/ 14,600/ 14,700/ 15,200 strikes, while reasonable addition of Call OI is seen at 15,000/ 14,800/14,7000/14,900 strikes.

Coming to the Put side, the maximum Put OI build-up is at 14,000 strike followed by 13,500/ 14,200/14,500/144,800/13,700 strikes. 14,000/14.300/ 14.100/ 13.800/ 13.700/ 13.400 strikes recorded considerable addition of Put OI.

On the data from ICICI Direct.com, the NSE Nifty has major Call base at the 14,500 strike for the settlement week, while the VWAP levels for the series are placed near 14,600 level. In case of continued recovery, analysts believe 14,600 should act as an immediate hurdle for the index. At the same time, recent lows near 14,200 are likely to provide immediate support to the indices on the lower side, below which declines may extend towards the highest Put base of 14,000 strike.

Dhirender Singh Bisht, senior research analyst (derivatives) at SMC Global Securities Ltd, said: "From the derivatives side, Call writers were seen shifting to lower bands and added hefty Open Interest at 14,400/ 14,500 and 146,00 strikes and this should limit any sharp upside in the index, whereas on down side, the 14,150 level would act as major support for Nifty."

The continued rising number of Covid-19 cases led to underperformance of Indian equities last week. Global markets are also reeling under pressure. However, the NSE Nifty consolidated largely above 14,300 strike, after witnessing a decline of 276 points and closed the week on a negative note. Meanwhile, mid-cap and small-cap indices closed the week within the green amid significant sectoral churning.

"Sideways moves were witnessed in Indian markets during the week as Nifty hovered in the range of 14,150 to 14,525 levels on the back of mixed cues from global and domestic front," added Bisht. For the week ended April 23, 2021, BSE Sensex closed at 47,878.45 points, a net fall of 953.58 points or 1.95 per cent, as against 48,832.03 points. NSE Nifty further declined by 276.50 points or 1.89 per cent and closed at 14,341.35 points from 14,617.85 points.

"On technical front, below 14150 levels, we could witness further selling pressure and it may drag the nifty towards 14,000-13,900 levels going forward," forecasts Bisht.

The Implied Volatility (IV) in the stock market edged up last week and moved towards 23 level. Current levels of volatility suggest a cautious sign, going ahead, and continued divergence from VWAP may bring further pressure in the market during settlement.

"The Implied Volatility of Calls closed at 22.61 per cent, while Put options closed at 23.79 per cent. The Nifty VIX for the week closed at 23.03 per cent. Put-Call Ratio of OI for the week closed at 1.14 and this indicates more Put writing than Calls," remarked Bisht.

FIIs in the F&O space were net buyers as they bought Rs489 crore in index futures, Rs2,028-crore stock futures and index options worth Rs8,055 crore.

Bank Nifty

The NSE's banking index Bank Nifty closed at 31,722.30 points, a net loss of 255.15 points or 0.79 per cent from 31,977.45 points. The highest Call base for April series is at 32,000 strike, whereas the second highest base is at 32,500 strike, which remains the strong

hurdle zone. Major support for the index is at 30,500 points. This level is violated if the index fails to move above 32,500 strike.

Sectorally, the market recorded some short covering in the heavily beaten down stocks from the BFSI space. The banking space is to take a lead from here onwards in case of any recovery. Moreover, it may continue to witness some more consolidation in technology stocks in the coming sessions.

Underperformance in the banking space could continue due to which the current price ratio of Bank Nifty-Nifty may reach 2.16 level from 2.21.

F&O Trading

Product

Contracts

Turnover (Rs/cr)

Premium (Rs/cr)

Index Futures

4,27,838

38,940.63

--

Stock Futures

9,02,078

82,411.19

--

Index Options

2,30,57,187

21,17,191.80

18,281.68

Stock Options

21,23,614

2,02,458.56

2,666.95

F&O Total

2,65,10,717

24,41,002.18

20,948.63


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