>Daily Derivatives (ICICI Direct)

Derivative Comments
• The Nifty April futures added 154950 shares in OI. Although the premium has come down to 8 points, significant short covering in the Nifty was seen in the last hour of trade on Monday wherein we feel a majority of intraday shorts have got cleared

• The options data depicts a net addition in OI of 31384 contracts in Puts compared to 10816 contracts addition in Call options. The 3300 Put and 3400 Call were the most active contracts wherein the maximum addition was seen in the 3300 Put adding 23118 contracts with IV rising from 35 to 39. The 3400 Put added 11572 contracts whereas the 3400, 3500 and 3600 Calls added 5141, 2383 and 9301 contracts, respectively. The 3100, 3200, 3500 and 3600 Call IVs
are more compared to their Put IVs. Unwinding of 5406 and 4480 contracts in 3000 and 3100 Put depicts profit booking by Put writers. Since the overall Nifty volatility has moved from 37 to 40, the IVs of options have risen significantly. We feel that 3300 should continue to act as a strong support for the Nifty on a closing basis since we have seen further Put writing at this strike price. Since the Put IVs of 3000, 2900 and 2800 are trading at 48, 53 and 56; we feel it is more viable to go for OTM Put writing of 3000 and below strike prices.

To see full report: DERIVATIVES 150409