After the Union Budget-2021, the market shows a V shape recovery led by banking stocks and touched all-time high. Now, the Index is trading above its rollover level. The highest Call concentration is at 15,000 and Put at 14,500 strike in current week expiry. Call and Put writers are now active in OTM (Out Of The Money) strikes, whereas Put writers are more aggressive than Call writers. In monthly contracts, highest Call writers are at 15,000 strike, whereas in Puts, it’s at 14,000 strike. The Implied Volatility (IV) gap between At The Money (ATM) Call and At The Money (ATM) Put is around 4-5 per cent, which is a slightly higher than the normal scenario for the derivatives market. The gap between the Call Implied volatility and Put Implied Volatility same as compared to the last week. The Call IV is little expensive compared to Put IV, which will attract the Call option writers. India VIX touched its 5-month resistance of 26 and fell back. India VIX is trading in a range of 26-18 for a long time and unless and until it doesn’t breach this level, we can expect the market to trade in a bull phase with minor jerks. The Nifty option max pain for current week and next week is at 14,500 whereas the Bank Nifty option max pain for the same expires is at 33,500 strike. The indices are trading above its max pain level, which shows now bulls are having a grip over bears. Weekly straddle is trading around 201 (which is somehow the highest in the last three month) that implies the option writers are comfortable at +/-201 points movement in coming sessions. The Index is likely to trade in the range of 15,000 on upside in upcoming sessions as it is also a psychological level whereas the support is placed around 14,300 points. Every dip in the market can be considered as a buying opportunity and stock-specific movement can be expected.
The writer is a senior research analyst (derivatives) at SMC Global Securities Ltd