Tuesday, March 31, 2009

>Daily Derivatives (ICICI Direct)

Derivative Comments

• Nifty April futures shed 2.02 million shares in OI accompanied by a narrowing of discount to 10 pointsindicating closure of long positions in the Nifty. A similar trend was also seen in FII Index futures wherein there was a net sale of Rs 995 crore along with a drop in OI by 3.77%

• The options data suggests maximum addition of OI in the 3200 Call option, which added 14261 contracts with rise in IV from 33.35 to 34.48. The highest volume was registered by the 3100 Call followed by 3000 Put. The OI addition in 3000, 3100 and 3300 Calls was 8411, 4713 and 8488 contracts. All these Call options saw an upward shift in IV. On the other hand, unwinding of contracts was seen in Puts ranging from 3000 to 3200 wherein some short covering was seen in 3100 and 3200 while profit booking by Put buyers was seen in 3000 Put. Maximum addition in Put option was seen in 2600 adding 10673 followed by 2700 adding 7352 contracts. The drops in IVs with rise in volumes indicate Put writing in these Put options. Moreover, an addition of 4865 contracts in the 2900 Put was accompanied by a fall in IV from 39.34 to 38.97. This along with good volumes further suggests that this level could act as a decent support for the Nifty on a closing basis for a couple of sessions.

To see full report: DERIVATIVES 310309