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Derivative indicator for the month of September - IndiaNotes.com
Derivative indicator for the month of September
Asit C. Mehta | Published: 01 Sep, 2017  | Source : IndiaNotes.com

Nifty Futures finally saw some selling pressure in Aug, but got strong support at  around 9700 and closed at 9917 on the expiry day.

The selling in Aug clearly indicates that index is facing some pressure above 10k levels. This time, the rollovers in Nifty Futures stands at 58%, which is lower than the average rollover of 72% of the last three series and last 2-year’s low as per the available data.


Nifty will start the September series with an OI of 1.64 Cr shares compared with OI of 1.72 Cr shares at the beginning of the Aug series. Low rollovers in the index along with low OI indicates aggressive unwinding of positions in the Aug series. In the September series, we expect the first half to be volatile since new positions will build up in the index on the back of low OI. Moreover, 10000 and 10100 will act a crucial resistance on the upside whereas 9800 and 9500 will act as a support on downside.


DERIVATIVES INDICATORS

India VIX closed higher at 11.95 vs. 11.21 of the previous month. Another leading derivative indicator, the Nifty PCR, opened on a higher note this month at 1.33 against last month’s 1.26.


BANKNIFTY

The index saw neutral rolls of 68% compared with the 3M average of 68%. BankNifty will start the September series with an OI of 1.67 Mn shares compared with OI of 2.55 Mn shares at the beginning of the August series. As per options data, support for the index is around 24000 and 23800 whereas resistance stands at 24500 and 25000 for the short term.


OPTION ANALYSIS

From the OI Concentration (September Series), maximum addition of open interest on the call options front exists at strike prices of 10000 and 10100 (with nearly 28.60 lacs and 20.16 lacs shares outstanding). This indicates that these levels will act as the resistance zone on the upside for the short term. On the put options front, maximum addition of open interest is at strike prices of 9700 and 9800 (with nearly 38.03 lacs and 30.93 lacs shares outstanding) indicating stronger support zone on the downside.

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