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Wednesday, July 5, 2023

Derivatives update

*Derivatives update*

Good morning !!
Derivatives update for Wednesday, 5th July 2023.

India VIX was up by 1.39% from 11.54 to 11.70 levels. Volatility slightly moved up as index geared its move for new high territory and Call writers are paining with surge in Call IV.

Nifty *Put/Call Ratio* (OI) decreased from 1.48 to 1.47 level. 

On weekly front, Maximum Call OI is at 19400 then 19500 strike while Maximum Put OI is at 19300 then 19000 strike. Minor Call writing is seen at 19400 then 19550 strike while Put writing is seen at 19400 then 19350 strike.

*Option data suggests a broader trading range in between 19100 to 19600 zones while an immediate trading range in between 19250 to 19500 zones.*

For weekly Bank Nifty, Maximum Put OI is at 43000 then 45000 strike and maximum Call OI is placed at 46500 then 47000 strike. We have seen minor Call writing at 47000 with unwinding at 45200 and Put writing is witnessed at 45300 strike.

Bank Nifty Put Call Ratio decreased from 1.40 to 1.38. Implied volatility rose from 13.7 to 14.2 levels.

Bank Nifty (CMP 45,301.45)
Data setup for Bank Nifty suggests a trading range in between *44750/45000 to 45500/45650 zones.*

Looking ahead at the FII’s derivatives activity, there was long built up 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 2134 crores while DII’s were net sellers worth 785 crores. FIIs Index Long Short Ratio increased to 71.89%.

Derivatives data and price set up suggests, Nifty has to continue to hold above 19300 zones to extend the move towards 19450 and 19500 zones while on the downside support shifts higher at 19250 and 19100 zones.

Bank Nifty has to continue to hold above 45000 zones for an up move towards 45500 then its recent life high of 45650 zones while on the downside support shift higher at 45000 then 44750 levels.

Thank you. Have a great trading day ahead..!!

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