>Daily Derivates 240309 (ICICI Direct)

• The magnificent surge in turnover accompanied by a rise in Nifty suggests that cash-based buying has happened in the last session. Fresh long positions were added in the April series with continuing short covering in March. Markets are likely to trade with a positive bias in today’s session as well

• The PCR-OI zoomed to 1.78 from 1.59 on account of humongous addition of 48763 contracts in the 2900 Put followed by 11564 contracts addition in the 3000 Call option. Most of the Call writers at 2700, 2800 and 2900 level have covered their positions with maximum unwinding of 27835 contracts in OI witnessed in the 2800 Call. A total of 17346 contracts in OI got unwound in the 2900 Call option. With an addition of 4173 contracts in 3000 Call and rise in IV, we feel some Call buying was seen in this strike price. The 2900 Put IV has moved from 28.35 to 41.21. It could be due to ‘Put Hedge’ strategy adopted by many market participants

• FII data on Index futures depicts formation of long positions to the tune of Rs 465 crore with a rise in OI by 8.09%

To see full report: DERIVATIVES 240309