>Daily Derivatives (ICICI Direct)

Derivative Comments

• Nifty March futures witnessed short covering of 1.46 million shares whereas the April series added 6.22 million shares in OI. With Nifty April series settling at a premium of 6 points to spot, we feel fresh long positions have formed in next series. This further suggests that positive momentum may continue in Nifty for coming sessions and participants are advised not to form short positions although near resistance levels of 3000-3050, for the time being. The rollover in the Nifty till date is 65.03% whereas Marketwide rollover is 62.95%.

• Significant short covering continues in 2800 call option wherein the IV has jumped to 78 from 44 earlier. The 3000 call added 11802 contracts with a further upward shift in IV which suggests good call buying has happened at this strike price. On the flip side, 15521 contracts got added in 3000 put wherein also the IV has risen from 44 to 47. We feel the put buying in 3000 could be due to ‘Put Hedge’ strategy adopted by many market participants. In April series, the 2900 put has added 11336 contracts. Since past 4 sessions the IV of this put is hovering in the range of 33-36

• FII index futures added another stupendous OI by 18.32% with a net buy of Rs 332 crores.

To see full report: DERIVATIVES 260309