Options data suggests caution ahead of expiry

For a second consecutive week, the resistance level remained at 16,000CE, while support level declined by 300 points to 15,000PE. If NSE Nifty slips below 15,600 strike, it may result in extended profit booking towards 15,200 in the settlement week, forecast derivatives analysts.

The highest Call OI is at 16,000 strike, which also recorded the maximum addition of Call OI, followed by 15,800/ 15,900/ 16,500/ 17,000/ 17,500 strikes. Further, 16,200/ 15,700/16,050/15,600 strikes witnessed reasonable build-up of Call OI. Coming to Put side, the highest Put base is seen at 15,000 strike followed by 15,500/15,600/ 15,00/15,200/14,500/14,000 strikes. Major Put OI build-up is seent at 15,000/15,500/ 15,600/ 114,800/ 14,900 strikes.

Dhirender Singh Bisht, senior research analyst (derivatives) at SMC Global Securities Ltd, said: "From derivatives front, Call writers were seen adding hefty Open Interest at 15,800 and 15,700 strikes, while Put writers added Open Interest at 15,500 strike. Banking counters once again remain laggard in the week gone by, while FMCG and IT counters try to give some support to markets."

On the options front as per ICICI Bank.com, the highest option concentration is at 15,800 Call and 15,500 Put strikes. The Call OI base is close to 48 lakh shares, which should act as an immediate hurdle for the Nifty during the week. Similarly Put base at 15500 and 15600 strike is almost equal. ICICI Direct.com predicts that a fresh move below 15,600 strike may result in extended profit booking towards 15,200 in the settlement week.

Technology and FMCG stocks continued to get volumes during the first three weeks of the June F&O series. The banking stocks remained below their Call bases, technology stocks have moved away significantly. Analysts forecast a broad-based movement, while 15,600 level should be closely watched for the upward bias to continue during settlement.

"Indian markets witnessed quite a volatile session in the week gone by as Nifty slipped towards 15,500 level after testing all-time high above 15,900 level as traders were keen to book profits at higher levels after outcome of Federal Reserve meeting," For the week ended June 11, 2021, BSE Sensex closed at 52,344.45 points, a net loss of 130.31 points or 0.24 per cent, from 52,474.76 points. NSE Nifty too declined by 116 points or 0.73 per cent to 15,683.35 points from 15,799.35 points.

Bisht forecasts "From technical front, the markets are likely to remain choppy in upcoming sessions as well as secondary oscillators suggest lack in directional trend. Traders should remain focused on stock-specific moves. On the downside, the 15500-15400 zone would act as a strong support area for Nifty." Despite the intraday volatility seen in global markets, the volatility index VIX was subdued and ended the week below 15 levels once again. Analysts predict some uptick in volatility during the settlement week. However, till it holds below 16 levels, short positions should be avoided.

"The Implied Volatility of Calls closed at 14.26 per cent, while that for Put options closed at 15.32 per cent. The Nifty VIX for the week closed at 15.29 per cent. PCR of OI for the week closed at 1.07."

In the F&O space, FIIs were net sellers in the index futures segment worth Rs3,734 crore. However FIIs bought stock futures to the tune of Rs880 crore and index options worth Rs4,736 crore during the week.

Bank Nifty

NSE's banking index Bank Nifty further declined by 489.40 points or 1.39 per cent to 34,558 points from 35,047.40 points. "As far as levels are concerned Bank Nifty is likely to face a strong hurdle in the zone of 35000-35500 strikes," remarked Bisht.

Bank Nifty recorded major Call writing in OTM strikes. However, There was no major price appreciation of OTM Calls, which ended almost 30 per cent lower even when the Bank Nifty ended almost flat. Further, intraday volatility remained high and the Bank Nifty managed to recover most of its losses. Call writing activity is intact in the Bank Nifty and major hurdle is at 35500 level, according to ICICI Direct.com.

The Bank Nifty-Nifty price ratio declined to its support of 2.20 level. The underperformance in the Bank Nifty should continue and it may take it to 33,000 points in the expiry week.