>Daily Derivatives (ICICI Direct)

Derivative Comments

• The Nifty May series witnessed an addition of 93050 shares in OI with a fall in Nifty by 1.83%. The basis shifting from a premium of 2.30 points to negative 2.55 points suggests further closure of some long positions along with addition of few shorts in the Nifty in yesterday’s session. However, the drop in turnover depicts less participation in the market

• From the options data we see a maximum addition of 11225 contracts in the 4200 Call followed by an addition of 9287 contracts in the 3600 Call. The IV of the 4200 Call has risen from 44.63 to 50.09 whereas that of 3600 has increased from 49.96 to 53.48. Some Call writing has happened at the 4200 strike price. Although the Call writers were fairly active in the 3600 Call, we have seen decent buying in this Call option in the last half hour of trade. On the other hand, 8695 contracts got added in the 3500 Put followed by 4581 contracts addition in the 3200 Put. Even though the 3200 Put IV has risen from 57.21 to 61.86, the base of 3.58 million shares in OI suggests decent support for the market in this expiry. Moreover, the 3400 Put has 4.60 million shares in OI, which is the highest option base. This indicates strong support for the Nifty in the
coming sessions

• The FII Index futures witnessed a short build up of 1.44% in OI with a net sale of Rs 184 crore

To see full report: DERIVATIVES 120509