>Daily Derivatives (ICICI Direct)

Derivative Comments

• The Nifty near month witnessed short covering followed by a drop in OI by 3.82 million shares whereas the May series added another 3.59 million shares in OI. With the May futures trading at a premium of 11 points we feel further long positions have been added in this series

• The unwinding of contracts continued in call options while accumulation of contracts was seen in puts. The 3300 and 3400 calls witnessed unwinding of 18575 and 12695 contracts respectively whereas some 5356 contracts got added in the 3600 call. Significant numbers of call writers have unwound their positions at the 3300 and 3400 calls. The 3600 call volume has surged along with drop in IV from 34.39 to 29.92 suggesting that some call writers were active at higher levels in this strike price. The 3400 and 3500 puts added 12861 and 16301 contracts respectively with rise in volumes and drop in IV indicating some put writing has happened at these strike prices. The maximum put OI base of 7.09 million shares stands at 3300 which suggests that this level is unlikely to be breached in this expiry and any dip in Nifty near this level should be an opportunity to write this option

• FII Index options depicted a rise in OI by 2.68% along with a net buy of Rs 151 crores

To see full report: DERIVATIVES 270409