Surging Implied Volatility Denotes Greater Price Shifts

Indicating wide-range price fluctuations, the Implied Volatility (IV) on both the sides of options chain surged over 30 per cent. The 25,400CE has highest Call OI followed by 25,000/24,500/ 25,300/ 25,300/ 23,600/ 22,900/ 22,500 strikes, while 24,500/ 25,400/ 25,000/ 24,400/ 25,300 strikes recorded reasonable addition of Call OI. Call ITM strikes from 22,600 witnessed moderate OI fall.

Coming to the Put side, maximum Put OI is seen at 20,400PE followed by 20,700/ 20,800/ 21,000/ 21,500/22,000/ 22,300/ 22,500/ 22,700/ 23,000 strikes. Further, 22,800/ 23,000/ 22,750/ 22,700/ 22,000/21,500, 21,300 strikes reported moderate build-up of Put OI. Moderate Put OI fall is visible at Put OTM strikes 22,400/ 22,350/ 22,300 strikes and deep OTM strikes 20,550/ 20,500/ 20,450 strikes.

“In the derivatives market, prominent Call Open Interest for Nifty seen at the 23,000 strike, while the notable Put OI was at the 22,500 strike. For Bank Nifty, the prominent Call OI was seen at the 52,000 strike, whereas notable Put OI at the 51,000 and 50,000 strikes.”

Nifty futures OI remained low in April F&O series and marginal short addition took place in last couple of sessions. Net short positions by FIIs declined to below 86,000 contracts. Renewed concerns over US tariffs and its impact on trade war dented investor sentiment globally. At this juncture, the options data is pointing to losing steam in the market. Hence, any immediate recovery probability seems remote.

Significant Call writing was visible at ATM and OTM strikes with highest Call base placed at 25,000 Call strike itself making it crucial hurdle in the shortened week. In terms of Put bases, the highest Put base is visible at 20,400 strike.

“Last week, the market remained volatile due to the ongoing tariff tensions between the US and China. A 90-day tariff pause impacted global markets significantly resulting in a bounce from lower levels. On weekly basis, Indian benchmark indices also ended in the red, with the Nifty losing over a quarter percent and the Bank Nifty closing with a loss of around one per cent. Realty, metal, and IT sectors faces most of the pressure and emerged as the biggest losers, while consumer durables, FMCG, and PSE sectors managed to close in positive territory on a weekly basis,” added Bisht.

For the truncated week (no trading on Thu for Shri Mahaveer jayanti) ended April 11, 2025, BSE Sensex closed at 75,157.26 points, a marginal fall of 207.37 points or 0.27 per cent, from the previous week’s (April 4) closing of 75,364.63 points. NSE Nifty too edged lower by 75.90 points or 0.33 per cent to 22,828.55 points from 22,904.45 points a week ago.

Bisht forecasts: “Technically, Nifty is trading below its 200-day Exponential Moving Average (EMA), while Bank Nifty has rebounded and is now trading above its 200 EMA, indicating relative outperformance in Bank Nifty. In the upcoming sessions, Nifty is expected to face resistance near 23,200, with support around 22,400.”

India VIX fell 6.17 per cent to 20.11 level. However, volatility index’s rise was not risen much in comparison to the global peers. US VIX closed at its highest levels since Covid suggesting extreme panic situation. Hence, India VIX is also likely to rise higher and option writing should be avoided in such situation.

“Implied Volatility for Nifty’s Call options settled at 20.21 per cent, while Put options conclude at 21.32 per cent. The India VIX, a key market volatility indicator, closed the week at 21.43 per cent. The Put-Call Ratio of Open Interest (PCR OI) for the week was 1.06,” remarked Bisht.

Marginal fresh short additions in the F&O space were recorded during the last week. The net

short positions in index futures rose to 86,000 contracts from 31,000 contracts seen at the inception of the April series. Also, considering relatively low OI in Index futures, analysts forecast that ongoing volatility may continue this week.

Bank Nifty

Bank Nifty NSE’s banking index closed the week at 51,002.35 points, a modest decline of 500.35 or 0.97 per cent from the previous week’s closing of 51,502.70 points.

Put writers were more active in Bank Nifty when compared to Call writers. The current situation signals that market participants are expecting limited downside this week. However, on the upside, the 52,000 remains a strong resistance level, especially in the current volatile environment. It’s estimated that suggested buying option above the 52,000 mark.