>Daily Derivatives (ICICI Direct)

Derivative Comments

• The rollovers in the Nifty surged above expectation at 74.03%. On the expiry day, significant short covering to the tune of 4.95 million shares was seen in April series while May series added 8.48 million shares with the current May OI at 36.09 million shares in OI. The rise in Nifty price by 3.32% was basically on account of short covering. Moreover, some long rollover was also seen in May wherein the premium jumped to 9.15 points

• The May series options data shows maximum Call OI currently standing at 3400 with 2.97 million shares while the largest Put OI base also is at 3400 with 3.09 million shares. On the expiry day we saw addition of 26000 contracts in the 3400 Put followed by addition of 12369 and 12495 contracts in 3300 and 3200 Puts, respectively. The IVs of these options are 3200-46.64,3300-45.26 and 3400-43.24. Put writers were having a strong hand at 3400 in the last session. The 3500, 3600 and 3800 Calls each added nearly 9500 contracts in OI while the 3400 and 3700 added nearly 6000 contracts. High volumes and drop in IVs of 3700 and 3800 Call depicts some Call writing in these strikes, which could also be due to the long weekend. Markets are likely to take support at 3400 on a closing basis today

• FII Index futures and options shows noteworthy unwinding in OI on account of expiry of April series.

To see full report: DERIVATIVES 040509