>DAILY DERIVATIVES (ICICI Direct)

DERIVATIVE COMMENTS

• With another round of short covering continuing in the Nifty March series, the April futures added 5.71 million shares in OI with the discount almost vanishing. This suggests more long rollovers in Nifty. The rollover in the Nifty till date is 57.74% whereas marketwide rollover is 49.99%

• The options data depicts short covering in 2800, 2900 Call options wherein 2800 Call has seen an unwinding of 15129 contracts whereas the 2900 Call has seen a closure of 19959 contracts. The 2800 Call IV is at 44.57 while that of 2900 has surged from 39 to 44. The 9539 contracts addition in the 3100 Call was accompanied by a rise in IV from 36 to 43. This suggests some Call
buying has happened at this strike price. Unwinding of 15173 contracts in 2800 Put suggests profit booking by Put writers whereas addition of 13831 contracts in 3000 Put along with rise in IV from 36 to 44 indicates some Put buying in the latter half of the session. Moreover, the increasing trend of Put IVs in April series suggests more of Put buying has happened in OTM Puts. We feel the market is likely to take decent support at 2900 on a closing basis in today’s session

• FII index futures added stupendous OI by 13.23% with a net buy of Rs 371 crore

To see full report: DERIVATIVES 250309