Options data holds range-bound trading with positive bias

Based on the options data, the resistance level remained at 16,000 strike for a consecutive second week, while support level declined by 300 points to 15,000 strike. The 16,000 strike, which also recorded maximum addition of Call OI, has highest Call OI followed by 16,200/ 15,800/ 16,300/ 16,100 strikes, while 15,900/15,800/16,200/ 16,500 strikes witnessed reasonable build-up of Call OI.

Coming to Put side, the 15,000 strike, which has the highest build-up of Put OI, witnessed the highest base of Put OI followed by 15,300/ 15,700/ 15,800/15,500 strikes. Other strikes 15,700/ 15,800/ 15,500/15,400 strikes recorded moderate build-up of Put OI. Dhirender Singh Bisht, senior research analyst (derivatives) at SMC Global Securities Ltd, said: "From derivatives front, a tug of war was seen among bulls and bears at 15,800 strike as both Call and Put writers were seen adding hefty Open Interest on both the sides."

Analysts predict that index heavyweights will play a crucial role in continuance of the upward move. Banking stocks remained in range-bound mode for the past two weeks, while technology stocks took the lead during the last week. Several market heavyweights are trading near their highest Call bases, further consolidation is expected. Derivatives analysts advise investors to keep a stop loss near 15,600 level to play the ongoing momentum.

According to ICICI Direct.com, the highest option concentration is at 15,800 Call and 15,700 Put strikes with more than 30 lakh shares each and a combined premium of Rs150. The current OI is significantly lower compared to the last few weeks as volatility has declined significantly and risk aversion is visible among option writers. Hence, positive bias can continue with stop loss near 15,550 strike. Bisht adds: "Nifty indices scaled to its all-time highs in the week gone by and ended with a positive impression for the fourth consecutive week. Nifty rallied towards 15,800 level as the rally was supported by IT, metal and pharma counters along with some buying momentum seen in mid-caps as well.

For the week ended June 11, 2021, BSE Sensex closed at 52,474.76 points, a further recovery of 374.71 points or 0.72 per cent, from 52,100.05 points. NSE Nifty too rebounded by 129.10 points or 0.82 per cent to 15,799.35 points from 15,670.25 points.

Bisht forecasts: "From technical point of view, the 35,500 is an immediate hurdle for Bank Nifty above, which we could witness follow up buying in the banking counter which could move Nifty towards 16,000 levels as well in upcoming sessions. For the coming week, we expect bias likely to remain in favour of bulls with Nifty getting major support at 15600-15500 zone." The volatility index VIX eased further to below 15 level, lowest level since February 2020. With the upcoming FOMC meet, a round of upsides in the volatility index can't be ruled out. Such low levels also suggest some caution in the market, which may result in extended consolidation in the index.

"The Implied Volatility of Calls closed at 13.36 per cent, while that for Put options closed at 14.31 per cent. The Nifty VIX for the week closed at 15 per cent. PCR of OI for the week closed at 1.68," remarked Bisht.

FII activity was significantly lower in the F&O space. FIIs were net sellers in the index futures segment worth Rs574 crore, sold Rs502-cr stock futures and index options to the tune of Rs2,592 crore.

Bank Nifty

NSE's banking index Bank Nifty declined by 244.25 points or 0.69 per cent to 35,047.40 points from 35,291.65 points. "Banking stocks remained laggard along with Consumption stocks. Bank Nifty could not manage to match up the rally as the index closed the week with minor losses," said Bisht.

From an options perspective, the banking index continued to witness significant writing at 35,500 and 36,000 Call strikes for the weekly as well as monthly settlement suggesting limited upsides in the short-term. Analysts hold a view that a close above 35,500 on a closing basis may provide fresh momentum in banking stocks. Data from ICICI Direct.com indicates that on the lower side, Put base is placed at 35,000 and 34,500 strikes suggesting immediate support for the Bank Nifty. Among private leaders, the highest Call base for HDFC Bank is 1500 strike, for Kotak Mahindra Bank it is 1,800 Call strike and for Axis Bank at the 750 strike. Thus, these levels will remain crucial in the short-term. Only a move above these levels may trigger continued momentum, which may take the banking index higher. The Bank Nifty/Nifty price ratio has immediate support near 2.19 levels. Analysts expect this ratio to decline below these levels. Hence, underperformance of the banking index may not be seen below these levels.