>Daily Derivatives (ICICI Direct)

Derivative Comments

• The Nifty near month witnessed short covering followed by a drop in OI by 2.10 million shares whereas the May series added 3.59 million shares in OI. With the May futures trading at a premium of 8.80 points we feel long positions have been formed in this series in yesterday’s session

• The PCR-OI has jumped on account of 47260 contracts addition in Puts against unwinding of 13618 contracts in Call options. All the Puts ranging from 3200 to 3500 added significant OI wherein the maximum addition was seen in the 3400 Put with 26365 contracts followed by 14557 contracts addition in the 3300 Put and nearly 9500 contracts addition in the 3200 and 3500 Puts. With an overall drop in IVs, Put writing was seen in almost all these strike price options. On the other hand, maximum unwinding amounting to 6137 contracts was observed in the 3600 Call option. We feel some Call writers have unwound their positions at this level. Since the Put IVs of 3200 and below strike prices is still high, participants can write Puts of 3200 and below strike prices. The level of 3300 could continue to act as a strong support for the Nifty on a closing basis in today’s session as well

• FII Index futures depicted a rise in OI by 4.50% along with a net buy of Rs 239 crore

To see full report: DERIVATIVES 240409