WEEKLY DERIVATIVE INSIGHT
Dipak Kr Shaw
Strategic leader and versatile thinker with more than 24 years of insightful experience and a proven record of accomplishments in leading top performing teams focused on exceeding goals in the area of Sales, HNI Advisory
WEEKLY DERIVATIVE INSIGHT
Benchmark Indices continued the uptrend for the fourth consecutive week, with Nifty closing at 24010, up by 2.2%. The market-wide position in the derivative segment at the beginning of the July series, compared to the June series, stands at:
Particulars June Series July Series % Change
Overall OI (no. in cr.) 1167.22 1390.05 19.09%
Nifty Fut OI (no. in cr.) 1.44 1.51 4.86%
Stock Fut OI (number in cr.) 875.59 998.5 14.05%
Bank Nifty Fut OI (no. in mn) 3.41 2.69 -21.11%
Nifty Call Option OI (no. in cr.) 7.68 7.88 2.60%
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Nifty Put Option OI (no. in cr.) 8.57 11.77 37.34%
OI (Rs. in crores) 1107577 1524473 37.64%
Nifty closing at the beginning of the series 22488.65 24044.5 6.92%
? Overall rollover for the July series stands at 94% vs. 89% in the last series, which is also higher than the 3M average of 91%. Nifty rollover for the new series is higher at 76% vs. 72% in the last series, and it is also higher than the 3M average of 69%. Bank Nifty rollover for the July series is higher at 71% vs. 68% in the last series, but lower than the 3M average of 76%.
? Nifty PCR ratio increased from 1.04 to 1.17.
? Indian VIX closed up by 3.6% at 13.69. On the upside, 15.50 is the resistance level to watch out for. On the downside, 10 is the support level to watch out for.
? Stocks that saw a long buildup for the week were Ultra Cement, OFSS, Shree Cement, MRF, Trent, ICICIGI, COLPAL, and JKCement. Stocks that saw a short buildup for the week were Polycab, VEDL, Exideind, Oberoi Realty, Crompton, Zyduslife, LTF, DLF, and Indhotel.
? The 24000 strike price has the highest OI among the Nifty July month-end call option, with an OI of 30.74 lakhs. For the week, 23900, 24000, and 24100 call options saw the addition of 2.9 lakhs, 17.7 lakhs, and 3.8 lakhs, respectively, with IV increasing, indicating the buying of an option.
? The 23500 strike price has the highest OI among the Nifty July month-end put option, with an OI of 37.50 lakhs. For the week, 23900, 24000, and 24100 put options saw the addition of 4.5 lakhs, 30.1 lakhs, and 3.8 lakhs, respectively, with IV increasing, indicating the buying of an option.
? In the derivative segment for the week, FII were net buyers in the index futures to the tune of Rs. 13,441 crores, with OI decreasing by Rs. 32 crores compared to net buying of Rs. 6,827 crores, with OI increasing by Rs. 2,412 crores in the previous week, indicating a short covering. FII added 137520 long contracts and unwounded 135372 short contracts in index futures, indicating a long buildup and a short covering in the current week. FII net long exposure in index futures stood at 82.50% vs. 81.7% at the beginning of the July series. In the stock futures, FII were net buyers to the tune of Rs. 24,126 crores, with OI decreasing by Rs. 7,783 crores compared to net selling of Rs. 4,630 crores, with OI increasing by Rs. 19,203 crores in the previous week, indicating a short covering.
? As mentioned in the last-week report, Nifty has achieved the target of 23900. Looking at the option data and FII statistics, 23750 is the immediate support level to watch out for. On the upside, above 24174, 24400-24500 are the levels to eye.