Thursday, April 2, 2009

>Daily Derivatives (ICICI Direct)

Derivative Comments

• The Nifty April futures added 379300 shares in OI. The cost of carry moved from negative 2.30% to positive 0.47% suggesting covering of shorts in intraday and fresh long build up, which was seen in the latter part of the session. Also, FIIs have covered shorts in index futures to the tune of Rs 338 crore. All these indicate that the positive momentum is likely to continue for a
couple of sessions

• The options data depicts a net addition of 67630 contracts in Put OI compared to 2113 contracts addition among Call options. The 3000 Call was the highest volume gainer with unwinding of 8932 contracts in OI. The 3100, 3200, 3300 and 3400 Calls added 2491, 7027, 7315 and 4785 contracts, respectively. All these options witnessed a drop in IV suggesting some Call writing in OTM Calls. On the flip side, the most active Put was 3000 followed by 2900. Nearly 17,000 contracts addition was seen in both these Puts. Other than this, the 2600 Put added 10,620 contracts followed by 9917 contracts addition in 2800. The IVs of all Put options have also declined. We feel many market participants could have adopted ‘Sell Straddle’ strategy at 3000. The 3000 level holds support for the Nifty and may continue to do so in sessions to come.

To see full report: DERIVATIVES 020409