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 fifth consecutive week, with the Nifty closing with a gain of 2.4% at 20267.
Overall rollover for the December series stands at 91% vs. 92% in the last series, in tandem with the 3M average of 91%. Nifty rollover for the new series is lower at 73% vs. 83% in the last series, and it is also lower than the 3M average of 79%. Bank Nifty rollover for the new series is higher at 80% vs. 79% in the last series, but lower than the 3M average of 81%.
Nifty OI PCR ratio increased from 0.99 to 1.30.
The Indian VIX closed for the week up by 9.3% at 12.38. On the upside, 14.50 is the resistance level to watch out for. On the downside, 10 is the immediate support level to watch out for.
Stocks that saw a long buildup for the week were Deltacorp, ZEEL, Canfinhome, Persistent, Dalbharat, GAIL, Colpal, India Cement, and ITC. Stocks that saw a short buildup for the week were Tata Comm, Escorts, Power Grid, and Ashok Leyland.
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The 21000 strike price has the most open interest among the Nifty December month-end call options, with an OI of 36.13 lakhs. For the week, Nifty 20200, 20300, and 20400 call options saw the addition of 8.9 lakhs, 3.4 lakhs, and 2.5 lakhs, respectively, in OI, with IV increasing, indicating the buying of the option.
The 20000 strike price has the most open interest among the Nifty December month-end put options, with an OI of 40.05 lakhs. For the week, Nifty 20200, 20300, and 20400 put options saw the addition of 18 lakhs, 7.4 lakhs, and 3.5 lakhs, respectively, in OI, with IV increasing, indicating the buying of the option.
In the derivative segment for the week, FII were net buyers in the index futures to the tune of Rs. 2,237 crores, with OI decreasing by Rs. 2,061 crores compared to net buying of 508 crores, with OI increasing by Rs. 238 crores in the previous week, indicating a short covering. FII added 24429 long contracts and unwound 58439 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 38.4% vs. 35.8% at the beginning of the December series.
In the stock futures, FII were net buyers to the tune of Rs. 10,869 crores, with OI decreasing by Rs. 828 crores compared to net buying of Rs. 2,346 crores, with OI increasing by Rs. 7,438 crores in the previous week, indicating a short covering.
· Looking at the option data and FII statistics, 20500 is the level to eye. On the downside, 20000 is the immediate support level to watch out for, and below that, 19800 is the level to eye.