>Daily Derivatives (ICICI Direct)

Derivative Comments
• The Nifty April futures added 1.07 million shares in OI
with the current OI at 42 million shares. The FII data on
Index futures depicts further accumulation of long
positions to the tune of Rs 614 crore. We feel
noteworthy long positions have been formed in the
Nifty since the past couple of sessions
• The action in the option segment was more or less
similar to Wednesday. Humongous accumulation of
contracts was seen in the 3300 Put, which added
25371 contracts. The 3200 Put added 11911 contracts
while 3400 added 12800 contracts in OI. The IVs of all
these Put options have dropped suggesting Put writing
at these strikes. Unwinding of 12400 contracts in OI in
3000 Put indicates profit booking by some Put writers.
On the other hand, short covering by Call writers was
seen in Call options ranging from 2900 to 3300.
Addition of OI was seen in Call options ranging from
3400 to 3900 wherein the maximum accumulation was
observed in 3400 Call, which added 10817 contracts in
OI followed by 8974 and 6496 contracts addition in
3500 and 3600 Calls, respectively. The rise in IVs of
OTM Calls suggests some Call buying has happened in
3700 and 3800 options. The positive momentum is
likely to continue in the Nifty wherein 3300 could
continue to act as a strong support on a closing basis

To see full report: DERIVATIVES 130409