>Daily Derivatives (ICICI Direct)

• Some long positions, which got accumulated in the past couple of sessions got unwound in yesterday’s session. The Nifty March series witnessed an unwinding of 896400 shares in OI accompanied by a drop in price and widening of the discount. Further, the April series added 1.37 million shares in OI.

• The PCR-OI surged to 1.55 levels on the back of humongous addition of OI in the 2700 Put. An addition of 31909 contracts in the 2700 Put and 10167 contracts in the 2800 Put along with marginal rise in IV of these strikes indicates some buying in these strikes. On the flip side, decent addition of contracts was seen in 2800, 2900 and 3000 Call options, which added 4760, 5793 and 4746 contracts, respectively. An upward shift in IV of these Calls also indicates Call buying in these strikes at lower levels. This could possibly be covering by Call writers. We feel the markets could see good support at 2700 on a closing basis. However, at a higher level near 2800 the markets may exhibit weakness.

• FIIs were net buyers to the tune of Rs 415 crore whereas DIIs were net sellers to the tune of Rs 153 crore.

To see full report: DERIVATIVES 18-03-09