On the weekly option expiration day, the Nifty 50 Index is expected to trade in the 15,600-15,900 range. While 34,800 will serve as the pivot level for Bank Nifty on Thursday. The Nifty 50 and Bank Nifty indices both finished in the red on Wednesday. India’s VIX, the volatility index, gained 0.32 percent to 13.05 on Wednesday. Analysts advise using Nifty and Bank Nifty’s open data of interest on the expiration day, to assess participant positioning (long accumulation / short accumulation / long unwind / short coverage). “Always trade with a strict stop loss due to theta (time decay) on the expiration day,” Ajit Mishra, vice president of research, Religare Broking, told Financial Express Online.
On Nifty options, the maximum OI Put is 15,500 followed by an exercise price of 15,600. While the maximum OI Call is 15,900 followed by an exercise price of 15,800. call was seen at 15,750 and 15,850 strikes, while put writing was seen at 15,650 and then 15,600 level strikes. Call settlement was at 16,300 and 16,500 strikes and option settlement was observed at 15,400 and 15,000. For Bank Nifty options, the highest open interest on the call side at expiration weekly is 35,000, followed by a strike of 36,500; while the highest OI on the put side is at 35,000-34,000 strike.
Rajesh Palviya, Vice-President, Research (Technical and Derivatives Manager), Axis Securities
According to provisional data, Nifty saw an accumulation of shorts with a price drop of -0.24% and an increase in OI of 5.02lac (4.24%) from Tuesday, while in Bank Nifty, there was also a short build with a price drop of -0.71% & OI adding 2.75lac shares (13%). India’s VIX Market Volatility Indicator is currently trading at 13% well below monthly averages, indicating that the current trend is stable with an upward tilt. In Nifty, the highest OI on the CALL side in the weekly expiration scheduled for July 1, 2021 is at 15,800 (57.55 L) and 15,900 (65 L) strikes where the writing of shares 9.72 Lac was seen in 15,850 strikes and 5.70 Lac in 15,900 strikes, while on the PUT side, the highest OI is at 15,500 (32.87 L) and 15,600 (30.71 L) and 8.93 Lac’s share writing was observed at 15,650 keystrokes. Thus, the tentative range for the 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 (24.09 L) – 35,500 (17.76 L) and 36,000 (15.34 L); while on the PUT side the highest OI is at 35,000 (15.14 L) – 34,500 (9.77 L) and 34,000 (10.12 L), with 34,800 acting as the pivot level for this expiration weekly, as there has been the addition of 5.69Lac shares on CALL side and addition of 2.34Lac on the PUT side suggesting that any holding move on either side of this level will decide the trend of Bank Nifty.
Sameet Chavan, Chief Technical Analyst, Angel Broking
Nifty started the week on a positive note and broke the 15,900 mark when it opened on Monday. However, the index failed to maintain optimism and gradually corrected to finish at 15,720 before the weekly expiration. Over the past two sessions, we haven’t seen any significant build-up of positions in Nifty, but marginal short positions have been seen in the banking index. The IFIs have unwound some of their index futures this week so far. Our market is consolidating and as a result options sellers are quite active despite low implied volatility (IV). A good amount of call writing is seen in strikes 15800 and 15900 which should limit the rise for the expiration day. On the other hand, although the maximum open interest for put options is at 15,500 strike prices, decent positions are seen at 15,700 and 15,600 puts, indicating a range of support. The buy-to-sell ratio for Nifty is less than 1, which is a sign of an oversold market. This provides a configuration similar to the last expiration. Although the data indicates the likelihood of a limited weekly expiration, we can see short coverage due to oversold PCR. Here, of course, the weak link in the banking space becomes the deciding factor. If Nifty enters the support range on the expiration day, then traders should look to buy the silver call option around the 15700-15650 support area.
Milan Vaishnav, CMT, MSTA, Consulting Technical Analyst and Founder, Gemstone Equity Research & Advisory Services
Markets reduced all of their intraday gains and ended negative a day before the weekly options expiration day on Wednesday. The session saw high call writing on 15,750 and 15,900 strikes. Maximum addition of Call OI during the day. However, on a close out basis, the 15,900 strike continues to hold the maximum number of OI calls at this time. This means that NIFTY is unlikely to exceed this point, even if it attempts a pullback rally. On the lower side, while 15650 put saw the highest addition of PUT OI, the maximum PUT OI stands at 15500. This means that the NIFTY is unlikely to slip below this point. NIFTY will likely experience a trending day with highs remaining capped at the 15800-15850 area unless a tactical change in the OI occurs.
Ashish Chaturmohta, Research Director, Sanctum Wealth Management
Nifty is currently trading in the side range of 15900-15600 in a wider uptrend and VIX multi-month lows. Thus leading to negative side price action which could see a reversal of the 15650-15600 area where we see an accumulation of open interest on the Put. Above 15600 long positions can be created with a stop loss of 15530 for a target of 15850.
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