Options data points to moderate consolidation

Derivatives analysts highlight the importance of sustainability of 15,200 level in the short-term as it has the major Put base for the weekly settlement. On the other hand, a move above 15,500 strike, may trigger upward momentum. However, for the next coming week, analysts forecast a consolidation range of 15200-15500 for Nifty, The 16,000 strike, which also recorded maximum Call OI addition, has the highest Call OI followed by 15,500/ 15,600/ 15,800/ 15,400 strikes. 15,500/ 15,800/16,100 strikes witnessed moderate build-up of Call OI. Coming to Put side, 15,300 strike have highest Put OI followed by 15,400/ 15,200/ 15,000/ 14,700 strikes. Further 15,400/ 14,700/ 14,500/ 15,000/15,400 strikes recorded reasonable addition of Put OI.

Dhirender Singh Bisht, senior research analyst (derivatives) at SMC Global Securities Ltd, said: "From derivatives front, Put writers were seen adding Open Interest at 15200 & 15300 strikes, while Call writers remained active at 15,500 strike."

On the rollover front, both the Nifty and Bank Nifty began the new June derivatives series with relatively high Open Interest (OI). According to data from ICICI Direct.com, the net long positions from FIIs were the highest seen since March 2021, while the short Open Interest from FIIs is all-time low. A round of long liquidation can't be ruled out, which may prompt some short build-up in the system, forecast derivatives analysts.

"Indian markets witnessed fresh record highs in the week gone by, as NSE Nifty index surged above 15,450 marks on the back of sharp surge in banking and IT stocks along with strong moves seen in market leader Reliance Industries," remarked Bisht.

For the week ended May 28, 2021, BSE Sensex closed at 51,422.88 points, a net recovery of 882.40 points or 1.74 per cent, from 50,540.48 points. NSE Nifty too rebounded by 260.35 points or 1.71 per cent to 15,435.65 points from 15,175.30 points.

Bisht forecasts: "From technical front as well, we have been observing higher bottom formations on the charts which are likely to remain intact in upcoming sessions as well. However, at current juncture Bank Nifty also looks strong and has a potential to test 35900-36000 levels in coming days. Traders should adopt a buy on dips strategy and keep stock-specific action onto radar. On the downside, 34500 levels would act as strong support for Bank Nifty while 15200 would be strong support for Nifty index."

In the F&O space, due to roll activity, FII action was primarily seen in the stock futures segment. FIIs bought Rs6,514-cr index futures, Rs9,128-cr index options and sold stock futures to the tune of Rs5,741 crore.

"The Implied Volatility (IV) of Calls closed at 16.30 per cent, while that for Put options closed at 17.71 per cent. The Nifty VIX for the week closed at 19.91 per cent and is expected to remain volatile. PCR of OI for the week closed at 1.26," observes Bisht.

The Nifty Futures began the June series with an Open Interest at 1.05 crore shares versus 1.02 crore shares. Nifty rollover to June F&O series was at 77.28 per cent as against 66.28 per cent in previous month. Bank Nifty June month rollover was at 80.76 per cent versus 64.60 per cent in May series. The overall market-wide rollover was at 91.49 per cent versus 83.80 per cent.

According to sharekhan.com, the May derivatives series recorded positive momentum into the market. After touching a low of around 14,400 level in the spot market, the Nifty slowly and steadily inched higher and closed the May series at 15,337 points. Series-on-series, the NSE Nifty rose three per cent and Bank Nifty outperformed a bit as it clocked a four per cent gain.

Bank Nifty

NSE's banking index Bank Nifty fell 534.55 points or 1.52 per cent to 35,141.45 points from 34,606.90 points. Banking stocks turned the tide once again and ended the week with over seven per cent returns.

As per ICICI Direct.com, the rollover to June F&O series was marginally higher for the Bank Nifty. Rollover spread towards the end increased marginally, indicating long rollovers for the June series. Major Call OI base is placed at 35500 strike followed by 36000 strike whereas sizable positions are open in 35000 strike Straddle indicating possible consolidation. Analysts opine that fresh upsides would only be seen above 36000 whereas on downside, major support is pegged at 34000 during the week.

F&O Trading