Monday, March 30, 2009

>Weekly Derivatives (ICICI Direct)

■ The Nifty Spot has surged by 10.72% to close at 3108 from the previous week’s close of 2807

■ The total futures OI in the market stands at Rs 28682 crores whereas all options OI stands at Rs 27755 crores

Technical Outlook
• The Nifty closed 10.74% positive posting one of the biggest weekly gains. Nifty gained in all the five trading session in last week trade

• The Nifty has formed strong bull candle after breaking out above 2800 levels

• On the upside the Nifty is now testing 3150-3170 area where profit booking is expected

• On the downside good support appears around 2,950-2900 levels

• We expect the Nifty to trade in the range of 3200 – 2900 levels for the coming week

• The resistance remains at 3150 and 3200, whereas supports exist around 3000, 2920 levels

Derivative Outlook:
• The PCR-OI has moved from 1.59 to 1.51 mark after making a high of 1.96 on the expiry day. The sharp fall in PCR-OI on Friday is because of unwinding of huge put positions of March series. In the current series, addition of put OI is more than compared to call OI. In The April series, maximum addition of OI was registered in 2900 put which added 76108 contracts followed by 72499 contracts addition in 3000 put. The 2700 and 2800 puts added 44807 and 49802 contracts respectively. On the flip side, the maximum concentration of OI was seen in call options ranging from 3000 to 3200 wherein the 3200 call added 39148 contracts followed by 33597 contracts in 3100 call and 25485 contracts in 3000 call. With rise in IVs of these call options; we conclude that decent call buying was observed in these calls in last week. The rise in put IVs also suggest significant put buying, however this could be ‘Put Hedge ‘ strategy adopted my many market participants in order to hedge their long future positions. The maximum put OI base in April stands at 2700 with 4.82 million shares whereas the largest call OI base is currently at 3000 with 2.71 million shares in OI. We feel that the 2700 level may stand as a strong support for Nifty in this series. Moreover, OTM call options have not witnessed any major call writing in last week and hence we advise participants not to go for higher OTM call writing at current levels

• The Nifty futures combined OI stands at 38.09 million shares wherein April OI stands at 37.24 million shares. Over the week, we have seen addition of 24.81 million shares in April futures OI accompanied with a 10.74% surge in Nifty price. In the expiry week, we observed significant long positions adding in April series. The rollover in the Nifty was at 69.61% wherein majority of them were long rollovers whereas Market-wide rollover stood at 77.04%. This also concludes that rollover in stocks is comparatively higher to Nifty. The April futures OI is near to the 4 crore mark, which is considered as a psychological level from where we could see some unwinding in OI. Once the Nifty crosses the 40 millions shares in OI in near month, participants are advised to book profit in their long positions. However, from the current levels we may see further upside in Nifty, possibly 3200 in near term

To see full report: DERIVATIVES 300309