>Daily Derivatives (ICICI Direct)

Derivative Comments

• The Nifty May series added 1.61 million shares in OI with rise in price by 5.31% suggesting formation of further long positions. The current May OI stands at 37.71 million shares

• In the May series the total addition of OI in Call was 58716 while the addition in Put was 77651 contracts. The maximum addition of OI was witnessed in the 3600 Put adding 27134 contracts followed by 17027 contracts addition in 3500 Put. On the other hand, nearly 12000 contracts got added in 3700 and 3800 Calls while 11160 and 17213 contracts got added in 3900 and 4000 Calls, respectively. The IVs of all these options has risen by 4-5 basis points since the overall
market IV has increased. The 3600 Put has seen some Put writing. Hence, we feel this level could act as a support for the Nifty in today’s session. One can look for buying opportunities if the market dips near 3600 intraday

• FII Index options witnessed a net buy of Rs 755 crore along with a rise in OI by 2.54%. The Index futures OI increased by 4.26% accompanied by a net buy of Rs 310 crore. We feel FIIs could have adopted the ‘Put Hedge’ strategy in yesterday’s market.

Technical Outlook

• The Nifty closed positive after a huge gap up opening posting 5.18% gain. Metals, IT and banking sector indices gained more than 8% each

• The Nifty formed a strong bull candle breaking above the 52 week moving average and short-term resistance at 3500 levels. We now expect the level of 3,500 to hold as good support in the short-term. Technically, the index appears over bought on the intra-day charts. Hence, we advise caution at higher levels. On the higher side, the Nifty is likely to target 3730-3750 in the short-term

• The Nifty spot has supports at 3630, 3595 and resistances at 3680, 3730

• FIIs were net buyers to the tune of Rs 1417 crore whereas DIIs were net sellers to the tune of Rs 92 crore in the cash segment.


To see full report: DERIVATIVES 050509