Bank Nifty support at 40000, Nifty to trade flat on today’s expiry; use Call Ladder for 22 Sep F&O expiry

Bank Nifty support at 40000, Nifty to trade flat on today’s expiry; use Call Ladder for 22 Sep F&O expiry

By Rajesh Palviya

In Nifty current series there has been a Long Addition witnessed with increase in price of 2.46% and increase in OI by 18% as of Wednesday wherein there was addition of 18.70 lakh shares in OI, increasing from 106.13 lakh to 124.83 lakh shares. Nifty current month rollover stands at 12% as of Wednesday, while Nifty Put Call Ratio, a sentiment indicator used by traders to gauge the market sentiment and mood, is currently at 1.20 compared to 1.35 of last week, indicating a flat-to-positive movement for expiry. India Vix, a market volatility indicator often called the fear gauge, is currently trading 18.28% compared to 18.31% of last week. Implied Volatility of Nifty ATM options for the current series is at 18.23% in contrast to 17.17% of last week, indicating a bit high movement on either side in the expiry session compared to last week. 

Nifty Put options OI distribution shows that 17,900 has highest OI concentration followed by 17,800 & 17,700 which may act as support for current expiry and on the Call front 18,200 followed by 18,100 & 18,300 witnessed significant OI concentration and may act as resistance for current expiry. Options data suggest an immediate trading range between 17,800 and 18,200 levels & 18000 acting as pivotal level.

Bank Nifty Outlook

In the current series there has been a Long Build UP witnessed in Bank Nifty Fut with an increase in price of 6% and increase in OI by 14% as of Wednesday, wherein there was addition of 2.81 lakh shares in OI, increasing from 20.23 lakh to 23.05 lakh shares. Bank Nifty Current series rollover stands at 18% as of Wednesday, while Bank Nifty Put Call Ratio is currently at 1.46 compared to 1.16 of last week indicating flat-to-cautious movement for expiry. 

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Bank Nifty Put options OI distribution shows that 40,000 has highest OI concentration followed by 40,500 & 40,800 which may act as support for current expiry and on the Call front 42,500 followed by 41,500 & 42,000 witnessed significant OI concentration and may act as résistance. Options data indicated an immediate trading range between 42,000 and 40,800 levels.

On weekly basis significant Call writing in Bank Nifty was seen at 42,500, 41,500 & 41,800 strike while on put side it was seen at 40,500, 41,000 & 40,800.

Nifty Open Interest Concentration 

Nifty Option OI Change 

Bank Nifty Open interest concentration

Bank Nifty Option OI change

NSE Nifty 50 trading strategy for 22 Sep F&O expiry

The strategy which we are suggesting for weekly expiry dated 22nd September is a Moderately Bullish strategy called as CALL LADDER, which involves buying of one lot of Nifty 18,000 Call @ 195 & selling of one lot of 18,250 Call @ 87 & one lot of 18,500 Call @ 30. The cost of the strategy involves outflow of Rs 3,900 which is the maximum loss if Nifty trades, and remains below 18,100 levels on expiry. On expiry the maximum profit of Rs 8,600 will be attained above 18,250 levels, while strategy will start making loss if Nifty crosses 18,650, hence it’s advisable to exit the strategy in total to avoid Unlimited losses above 18,650. Break Even points of the strategy are 18,078 on down side & 18,672 on the upside.

(Rajesh Palviya, Vice President – Research ( Head Technical & Derivatives), Axis Securities. Views expressed are the author’s own.)