>Daily Derivatives (ICICI Direct)

Derivative Comments

• Nifty April series added 5.79 million shares in OI with settling at a minor discount of 0.50 points to spot. Significant long positions have been added in April since past couple of sessions. The rollover in the Nifty was at 69.61% whereas Marketwide rollover stood at 77.04%. This also concludes that rollover in stocks is comparatively higher to Nifty.

• The PCR-OI has jumped to 1.96 on account of stupendous rise in OI of put options. The 3000 put added the maximum OI with 35326 contracts followed by 2800 put adding 13321 contracts. The IV of 3000 put has risen from 33.41 to 36.18 while that of 2800 has increased from 37.65 to 40.33. Also the 2900 put have added 11778 contracts accompanied with a rise in IV from 35.70 to 38.08. On the flip side, the 3200 call added 12717 contracts in OI followed by 9052 in 3100 call. Due to significant long positions formed in Index futures, we feel market participants could be hedging their positions by buying OTM puts. We advise participants to form similar kind of strategy and not go for naked put, even though markets trading near resistance levels.

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