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Weekly Derivative: The put-call ratio of open interest is continuously moving up

SMC | 20 Apr, 2017  | Follow Author | Add to my Favourites 
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Weekly View of the Market


In the week gone by Nifty was seen trading in a range of 9150-9250 mostly taking cues from global factors. Marginal profit booking was seen at higher levels as dragged by technology stocks. However on the other hand banks and FMCG counters seeing outperformed. Hereafter, the range of 9100-9300 levels will remain crucial till expiry, and the move is expected to remain positive. If Nifty breaks the 9200 mark, it could move to 9300 levels on further short covering. On correction the index have strong support at 9100-9050 levels. In fact since inception of current expiry stronger hands has been writing puts. The put-call ratio of open interest is continuously moving up indicating call liquidation and put writing. The options open interest concentration at 9200 & 9100-strike put 44 lakh and 53 lakh shares respectively. Among call options, the 9300-strike has highest open interest of 51 lakh shares, followed by 9200-strike call with total open interest of 45 lakh shares. Overall we expect uptrend to continue for the immediate target of 9200 in the short-term. The Implied Volatility (IV) of calls closed at 10.06% while that for put options, it closed at 10.43%. The Nifty VIX for the week closed at 11.63%. The put-call ratio of open interest closed down at 1.12 levels indicating more OTM put writing than calls.

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Disclaimer: The author has taken due care and caution to compile and analyse the data. The opinions expressed above are only the views of the author, and not a recommendation to buy or sell. Neither the author nor accept any liability whatsoever arising from the use of any of the above contents.

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