>Daily Derivatives (ICICI Direct)

Derivative Comments

• The Nifty near month shed another 3.06 million shares in OI whereas the next series added 2.16 million shares in OI. Further long unwinding of positions was seen in the Nifty April series

• The net addition in Call options was 8419 contracts whereas 53262 contracts unwinding were seen in Put options. The 3300 Call added 13073 contracts with a drop in IV from 40.54 to 38.52 with rise in volumes indicating some Call writing at this strike price. The Call writing in this option was feasible because the IV was significantly higher. Some 2114 contract got unwound in the 3400 Call suggesting some profit booking by Call writers. Humongous unwinding amounting to 19690 contracts was seen in 3400 Put followed by decent unwinding in all Puts ranging from 3000 to 3500. The unwinding in the 3400 Put suggests the weakening of support at this level. Although some Put writers have unwound their position at 3300, the base of 3300 Put is currently at 6.36 million shares indicating that this level may continue to act as a support for Nifty on a closing basis in today’s session

• FII Index futures depicted a net sale of Rs 556 crore with a drop in OI by 1.18% suggesting closure of long positions.

To see full report: DERIVATIVES 230409