Derivative Daily Technical Report 21 April
Market Internals
Derivative Activity:
CHANGE IN OI
CALL OPTION HIGHLIGHTS:
- FII’s were net buyer by amount of 433cr after few days of selling yet here on the day of rally of 100 points the gross buying numbers was still low; whereas only gross sell numbers came down.
- DII’s were net seller with amount of 122cr in cash market.
- Fresh long positions were taken in index future by FII’s where they were net buyer by 716cr; mostly in May month future.
- FII’s moreover bought some 6850 call option to chase momentum along with 6700-6800 put option to hedge their position.
- On option front 6700-6800 is the range for the nifty if nifty manages to cross previous high of 6819 then a rally is expected which may lead expiry on higher note of 6860-6900.
- VIX/PCR ratio has cooled off some bit to 29 which is an only cause of worry.
- Rupee is consolidating in 60-60.5 range while dollar index is placed at 79.9 mark.
Derivative Activity:
- Nifty closed at 6779 mark while Nifty April future closed at 6800 mark with premium of 21 points.
- Nifty (May) Contract closed at 6846 level with premium of 67 points.
- The cost of carry for April month contract placed at 37.69% where nifty April future sheds -2.83% in open interest while total OI is positioned at 20455850.
- At the money option implied volatility placed at 10.56% vs. 11.76%.
CHANGE IN OI
CALL OPTION HIGHLIGHTS:
- On call option front highest open interest has shifted to 6800 mark which will act as an immediate resistance in upside.
- Short covering was seen almost all levels while some longs were built up at 6850 mark which accumulated 2lacs amount in open interest.
- On put option front highest open interest is positioned at 6700 mark which will act as immediate support for nifty.
- Aggressive writing was taken place at 6700-6800 mark which accumulated 41lacs total amount in open interest.
- IndiaVix is down by 1% which closed at 30.85 level.
- PCR OI placed at 1.07 vs. 0.96 mark while PCR volume stands at 1.03 mark.
- VIX/PCR ratio stands at 28.83 level which shows fear among the traders yet this is due to high India Vix ahead of election results....... Read More
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