FIIs building shorts in Index Futures

The build-up of shorts in Index Futures is indicating a strong resistance for the week ahead. Resistance level declined by 300 points to 17,700CE and the support level remained unchanged at 17,000PE for three weeks in a row.

The 17,700CE strike has highest Call OI followed by 18,000/ 17,800/18,500/ 17,600/17,900/ 18,300/ 18,400 strikes, while 18,000/18,200/ 18,300, 18,400/ 17,600 strikes witnessed reasonable addition of Call OI.

Coming to the Put side, maximum Put OI is seen at 17,000 followed by 17,500/17,600/ 17,200/16,900 /16,800/17,700 strikes. Moderate Put OI build-up is seen at 17,200 followed by 17,100/17,600/ 16,800/16,700 /17,000 strikes.

Dhirender Singh Bisht, senior research analyst (derivatives) at SMC Global Securities Ltd, said: "From derivatives front, Call writers were seen active at 17600 & 17700 strikes, while Put writers added marginal Open Interest at 17500 strike. As per the current data, Nifty is likely to remain under pressure as far trading below 17700 levels. The next upside momentum is likely to carry only above 17700 level, which could take Nifty towards 17950 level."

Kush Ghodasara, CMT, an independent market expert, says: "Last week has been much active on derivatives side from FIIs, which created shorts on Index Futures, while they went long on buying Puts. Weekly expiry and Friday witnessed writing on Calls with highest Open Interest build up at 17,700CE making it strong resistance next week. On the Put side, longs were most built up at 17500-17400, while writing was seen for next week at 16,800 level, which could act as support."

For the week ended August 26, 2022, BSE Sensex closed at 58,833.87 points, a net fall of 812.28 points or 1.36 per cent, from the previous week's closing of 59,646.15 points. Registering a marginal decline of 199.55 points or 1.12 per cent, NSE Nifty ended the week at 17,558.90 points from 17,758.45 points a week ago.

Bisht forecasts: "Indian markets started September series on a muted note as Nifty ended the week above 17,500 mark, while Bank Nifty ended below 39,000 level. On any downside, 17450-17400 zone would act as a strong support zone for Nifty. As far Bank Nifty is concerned 38500 & 38000 levels are likely to support any downside while 39500-39800 zone would cap any sharp upside in prices."

"Implied Volatility of Calls closed at 17.02 per cent, while that for Put options closed at 18.59 per cent. The Nifty VIX for the week closed at 19.57 per cent. PCR of OI for the week closed at 1.61 lower than the previous week," remarked Bisht.

The August derivatives series witnessed the Nifty recover and ending at 17,521 level. Series-on-series, the Nifty gained 3.5 per cent and the Bank Nifty rose 4.2 per cent to 38954. Nifty Futures began the September series with an Open Interest of 1.14 crore shares versus 1.31 crore shares in open interest.

The September series started with Rs183,515crore versus Rs199,283 crore in stock futures, Rs20,052 crore versus Rs22,373 crore in Nifty Futures and Rs424,859 crore

versus Rs851,165 crore in index Options and Rs64,974 crore versus Rs134,364 crore in stock Options.

The Nifty recorded a higher rollover of 82.34 per cent from previous months' 75.69 per cent and as against a 3-month average of 76.45 per cent. Nifty's rollover cost was 65.95 points and with OI addition with price closing in down, it indicates some longs in the Nifty have not got carried forward.

Bank Nifty's September rollover was at 83.35 per cent from previous 82.28 per cent and three-month averae of 85.06 per cent Market-wide rollover was at 91.73 per cent versus 91.44 per cent.

Bank Nifty

NSE's banking index closed the week at 38,987.15 points, a miniscule gain of 1.20 points or 0.003 per cent, from the previous week's closing of 38,985.95 points.