F&O data holds restricted upside moves

As the key indices hovering at record highs, the options data after trading hours on last Friday points to declining resistance level by 300 points to 5,700 strike, while support level remains at the previous level of 15,500 strike as it has the highest base of Put Open Interest (OI). Coming to the index futures, the net short positions from FIIs fell to one of the lowest levels ever and derivatives analysts forecast moderate short accumulation at higher levels, while expecting restricted upsides for the Nifty in short-term.

The 15,700 strike has highest Call OI followed by 16,000/ 15,800/ 16,500/ 16,300/ 16,100 strikes, while reasonable addition of Call OI was seen at 15,800/ 15,700/ 15,750/ 16,000/ 16,400 strikes. The highest Put OI is seen at 15,500 strike followed by 15,000/ 15,200/ 15,600/15,700 strikes. Further, 14,900/ 15,400/ 15,50015,000 strikes recorded moderate Put OI.

Dhirender Singh Bisht, senior research analyst (derivatives) at SMC Global Securities Ltd, said: "From derivatives front, Call writers were seen adding Open Interest at 15,700 & 15,800 strikes, while Put writers hold highest Open Interest concentration at 15,500 strike."

"Nifty indices almost ended flat in Friday's session after hitting all time high on local bourses as traders booked some profit in Banking, IT, pharma and metal counters. Although some support was seen coming through leaders like Tata motors, L&T and Bajaj Finance," remarked Bisht.

According to the data from ICICI Direct.com, the highest Call option concentration, on the options front, is at ATM 15,700 Call strike with almost 42 lakh shares, which is the highest OI base among Call and Put strikes. Among Put strikes, the highest Put base is placed at the 15,500 strike.

For the week ended June 5, 2021, BSE Sensex closed at 52,100.05 points, a further net recovery of 677.17 points or 1.31 per cent, from 51,422.88 points. NSE Nifty too rebounded by 234.6 points or 1.51 per cent to 15,670.25 points from 15,435.65 points.

Bisht forecasts: "On the technical front, the higher highs and higher bottom formation on charts suggest a continuation of the uptrend in coming sessions as well. Although at current juncture, it is expected stock-specific action rather than any sharp upside will be seen in the index. However, we are expecting the banking index to be on a volatile path from here on as a tug of war among bulls and bears can keep the markets on a shaky path."

The NSE Nifty continued to trade higher and gained another 1.5 per cent last week without any major participation from index heavyweights. Broader markets continued to perform well and both mid-cap, small-cap indices registered gains of more than 2.5 per cent each. Going ahead, analysts predict some consolidation in the index with support near 15300 in the coming week.

The volatility index declined to 16.43, its lowest level since February 2020 and is trading near 16 levels. Such low levels also suggest some caution in the market and a rise in volatility can't be ruled out, which may result in the Nifty moving towards 15,500 in the short-term range.

"The Implied Volatility of Calls closed at 13.45 per cent, while that for Put options closed at 14.85 per cent. The Nifty VIX for the week closed at 15.75 per cent. PCR of OI for the week closed at 1.67," adds Bisht.

In the F&O space, FII activity was significantly low as they were net sellers in the index futures segment worth Rs386 crore, stock futures to the tune of Rs1,750 crore and index options worth Rs1,115 crore during the week.

Bank Nifty

NSE's banking index Bank Nifty recouped by 150.20 points or 0.42 per cent to 35,291.65 points from 35,141.45 points. "For Bank Nifty, the 35,000 will act as strong support with bias likely to remain in favour of bulls with buy on dips strategy," said Bisht.

Call writing activity remained higher in ATM and OTM strike Calls. Major Call OI base for the week is well distributed from 35,500 to 36,500 strikes whereas again this week combined OI is higher in ATM strike Straddle of 35500, which is likely to keep index move in range.

Major indices started the June series with higher OI base at ATM strikes. Even though supportive buying was seen there is no closure in ATM strike Calls. For the week, banking stocks remained almost flat with stock specific activity. Last week we saw an addition in 35500 strike straddle. On the back of that the index ended almost flat.

F&O Trading

Product Contracts Turnover (Rs/cr) Premium (Rs/cr)

Index Futures 2,43,269 23,834.20 --

Stock Futures 8,28,266 69,976.72 --

Index Options 2,39,34,467 23,81,322.25 14,361.71

Stock Options 23,19,057 2,02,699.69 4,958.30

F&O Total 2,73,25,059 26,77,832.86 19,320.01