Nifty Premium Turns Into Discount

The Nifty’s rollover rate has risen to 78.77%, surpassing last month’s rollover and the 3-month average of 74.48%. This suggests strong momentum for the October F&O series

The latest options data on NSE after Friday’s session pointing to the same support level remains at 25,000PE for a third consecutive week, while the resistance level at 27,000CE for the two weeks in a row.

The 27,000CE has highest Call OI followed by 27,500/ 26,500/ 26,200/ 26,250/ 26,600/ 26,800/ 26,000/27,700 strikes, while 27,700/ 27,950/ 27,900/27,000/27,500/ 26,500/26,200 strikes recorded significant build-up of Cal OI. Modest OI fall is visible at Call ITM strikes from 26,100 inwards.

Coming to the Put side, maximum Put Oi is seen at 25,000PE followed by 23,050/ 23,100/ 23,300/ 24,000/ 24,500/25,500/ 25,800/26,000/ 26,200 strikes. Further, 26,250/26,200/ 26,000/ 25,800/ 25,500/ 25,000/23,050 strikes witnessed reasonable addition of Put OI. Moderate decline in Put OI is seen at select OTM Put strikes.

Dhirender Singh Bisht, associate vice-president (technical research-equity) at SMC Global Securities Ltd, said: “NSE Nifty closed near its record high, finishing the week with a gain of 1.5 per cent. Looking at Nifty’s derivatives data, the highest Call Open Interest was observed at the 26,200 and 26,500 strikes, while Put writers were at the 26,000 strike.” BSE Sensex closed the week ended September 27, 2024, at 85,571.85 points, a further recovery of 1,027.54 points or 1.21 per cent, from the previous week’s (September 20) closing of 84,544.31 points. For the week, NSE Nifty also rose by 388 points or 1.50 per cent to 26,178.95 from 25,790.95 points a week ago.

Bisht forecasts: “For the upcoming sessions, sentiment remains positive as long as the Nifty stays above the psychological level of 26,000. The strong rollover in Nifty suggests good momentum in the near term, provided there are no fresh market triggers. Traders are advised to avoid taking new short positions above this level and to monitor how the market reacts to any new positions established throughout the month.”

India VIX marginally fell 0.33 per cent to 11.96 level on last Friday. “Implied Volatility for Nifty’s Call options settled at 10.93 per cent, while Put options concluded at 11.43 per cent. The India VIX, a key indicator of market volatility, concluded the week at 12 per cent. The Put-Call Ratio of Open Interest stood at 1.24 for the week,” remarked Bisht.

The premium of nearly 75 points in Nifty turned into a discount of almost 20 points on Friday primarily due to FTSE rebalancing. Moreover, one of the highest cash base buying of 14,000 crore was experienced on Friday, which led to the sharp up move and decline in IVs. Despite that, due to monthly settlement and index reshuffling, volatility is likely to remain high.

“The Nifty’s rollover rate has risen to 78.77 per cent, surpassing last month’s rate and the three-month average of 74.48 per cent. This suggests strong momentum for the October series. In contrast, the Bank Nifty’s October rollover rate stands at 66.88 per cent, slightly below both last month’s and the three-month average of 71.45 per cent. This indicates a lack of confidence in a Bank Nifty rally from the September series,” said Bisht. FII net longs in Index futures rose to 3.6 lakh contracts despite Nifty futures premium turned into discount. The retail participants are cautious now as they are now short with nearly 2.5 lakh contracts. Retail participants are extremely short in the Call positions and some cool-off in the market can’t be ruled out, according to ICICIdirect.com.

Bank Nifty

NSE’s banking index closed the week at 53,834.30 points, higher by 41.10 points or 0.07 per cent from the previous week’s closing of 53,793.20 points. “After reaching a record high, Bank Nifty corrected in Friday’s session and ended the week on a flat note. For the Bank Nifty, the highest Call OI was at the 54,000 strike, while for Put OI concentrated at the 53,500 strike,” observed Bisht.