Derivatives update

*Derivatives update*

Derivatives update for Wednesday, 7th June 2023.

India VIX was up by 2.15% from 11.12 to 11.38 levels. Volatility negated its lower highs formation on daily frame but overall lower levels is keeping the index in a smaller range.

Nifty *Put/Call Ratio* (OI) increased from 1 to 1.01 level. 

On option front, weekly maximum Call OI is at 18600 then 18800 strike while maximum Put OI is at 18500 then 18600 strike. Call writing is seen at 18750 then 18800 strike while Put writing is seen at 18550 then 18400 strike.

*Option data suggests a broader trading range in between 18300 to 18800 zones while an immediate trading range in between 18450 to 18700 zones.*

For weekly Bank Nifty, Maximum Put OI is at 44000 then 42000 strike and maximum Call OI is placed at 44200 then 45500 strike. We have seen Call writing 45500 with significant unwinding at 44000 and Put writing is witnessed at 44100 strike. 

Bank Nifty Put Call Ratio increased from 0.87 to 0.97. Implied volatility fell from 12.8 to 12.6 levels.

Bank Nifty (CMP 44164.55)

Data setup for Bank Nifty suggests a trading range in between *43750/44000 to 44500/44750 zones.*

Looking ahead at the FII’s derivatives activity, there was long liquidation in index futures, position unwinding in index options and short built up in stock futures.

In the cash market, FIIs were net buyers to the tune of 386 crores while DII’s were net sellers worth 489 crores. FIIs Index Long Short Ratio decreased to 46.19%.

Derivatives data and price set up suggests, Nifty has to continue to hold above 18580 zones to witness an up move towards 18666 and 18750 zones while on the downside support exists at 18480 and 18442 zones.

Bank Nifty has to continue to hold above 44044 for an up move towards 44500 then 44750 zones while on the downside support exists at 44000 and 43750 zones.