>Daily Derivatives (ICICI Direct)

Derivative Comments

• The Nifty near month witnessed unwinding in OI to the tune of 5.88 million shares whereas the May series added 5.69 million shares in OI. With the May futures premium almost vanishing and April sliding into a discount of 7.40 points, we infer noteworthy short positions have been formed in Nifty May series. Also the rollovers have picked up from 48% to 61% yesterday. All these suggests closure of long positions in April and build up of fresh shorts in May series

• The put writers who had entered on Monday at 3400 and 3500 levels were forced to exit on Tuesday. 29654 and 24703 contracts got unwound in 3400 and 3500 puts respectively. This indicates that 3400 is no longer a support for the market; rather it may now act as a resistance since 15234 contracts got added in this call option along with stupendous rise in volume and drop in IV. Call writing was also seen in 3500 call which added 10024 contracts in OI. Moreover, the 3300 call added 21258 contracts indicating some call writers were also active at this strike price. However, the 3300 put which added 5201 contracts in OI also showed signs of put writing. This further suggests that the expiry may be somewhere close to the 3300 mark

• FII Index futures depicted closure of long positions to the tune of Rs 796 crores along with a drop in OI by 2.60%.

To see full report: DERIVATIVES 290409