On the weekly option expiration day, the expected wider trading range for the NSE Nifty 50 Index is 15,600-15,900; while 35,000 could be a pivotal level for Bank Nifty. The Nifty 50 and Bank Nifty indices both finished negative on Wednesday. Analysts expect volatility and limited market upside on the weekly options expiration day today. India VIX, the volatility index, has cooled 0.86% from 15 to 14.87 levels since the close last Thursday. India VIX closed yesterday at the lowest since February 2020. Analysts say any further drop in the fear gauge could push the Nifty 50 index higher.
At Smart options, the maximum OI Put is 15,700 followed by a strike price of 15,600. While the maximum OI Call is 15,900 followed by a strike price of 15,800. was seen at 15,800 and 15,900 keystrokes, while put option writing was seen at 15,600 and then 15,100 level keystrokes. The outcome of the calls was at 16,400 and 16,250 strikes and the settlement of the options at 15,000 and 15,900. Smart banking options, the highest open interest on the call side at weekly expiration is 35,000, followed by a strike of 35,500; while the highest OI on the put side is at 35,000-34,500 strike.
Rajesh Palviya, Vice-President, Research (Technical and Derivatives Manager), Axis Securities
Nifty according to provisional data has seen a long run with a -0.64% price drop and OI stock falling 3.92lac from Tuesday, while in Bank nifty has seen a short build with a price drop of (0.67%) & OI addition of 0.95 Lac shares. The PC Ratio (Nifty) sentiment indicator is currently trading at 1.14 near the midline indicating a positive bias. In Nifty, the highest OI on the CALL side at the expected weekly expiration on June 17 is at 15,800 and 15,900 strikes where the writing of 34.13Lac shares was observed in 15,800 strikes and 26Lac in 15,900 strikes , while on the PUT side, the highest IM is at 15,700 & 15,600 strikes and the 10.35Lac action entry was noted at 15,600 strikes. Thus, the provisional range for weekly expiration should be between 15,900 and 15,600. In Bank Nifty, the highest OI on the CALL side at weekly expiration is 35,000 -35,500 and 36,000 strikes; while on the PUT side, the highest OI is at 35,000-34,500 and 34,000 strikes, with 35,000 acting as a pivot level for this weekly expiration as there has been the addition of 12.15 Lac du CALL side and the addition of 5.62 Lac on the PUT side suggesting that any hold moving either side of this level will decide the trend of the shrewd bank.
Thursday’s strategy will be a market neutral strategy called Long Straddle; in which traders have to buy a lot of Nifty 15,750 Call at 65 and 15,750 Put at 54 options to benefit from a sharp move to either side and the trader wins as long as the market moves regardless of direction. The total output of premiums will be Rs 8,900 (65 + 54 = 119 points) and the break-even point will be 15,869 on the rise and the lower break-even point will be 15,631. The strong oscillation which crosses the break-even point on either side will increase volatility, which in turn will increase the price of the call or put option, eventually generating profits in the strategy, while if there is no movement and Nifty trades range, the maximum loss will be limited to the premium paid, i.e. Rs 8,900.
Sameet Chavan, Chief Technical Analyst, Angel Broking
When it comes to options activity, the 15800-15950 call options had a decent build-up before expiration and therefore the upside appears to be limited on the expiration day. Considering how the broader market behaved on Wednesday, traders are advised to ease off aggressive long positions during intraday rebounds. In fact, we can take a punt by buying the At The Money Put option for Nifty and Banknifty in case we see them trading around 15820 and 35250, respectively.
Milan Vaishnav, CMT, MSTA, Consulting Technical Analyst and Founder, Gemstone Equity Research & Advisory Services
Throughout the day, NIFTY witnessed strong call writing at the 15,800, 15,850, and 15,900 levels; of this total, 15,800 strikes saw the maximum addition of OI appeals of 3.4 million shares. Unless that level is removed, NIFTY will face extremely strong resistance on the weekly options expiration day tomorrow. These three strikes also saw an important unfolding of the PUT OI.
Ajit Mishra, Vice President – Research, Religare Broking
Things to consider when trading Nifty and BankNifty on the weekly expiration day are
(a) use open interest (OI) data from Nifty and Banknifty to assess participant positioning (long accumulation / short accumulation / long rollout / short coverage)
(b) Option chain analysis: Look for the exercise options that have the greatest opening interest in both buying and selling. Never trade beyond those option strikes with the highest open interest accumulation (OI).
(c) Square of In-The-Money (ITM) long options prior to expiration. If the long in-the-money options are allowed to expire, the STT would be levied in accordance with the law on the total contract value plus the sell premium which is 0.125%.
(d) Always trade with a strict stop loss due to theta (time decay) on the expiration day.
(e) Appropriate position sizing and money management are also essential.
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