Nifty Futures Derivative Insights: Tracking Trends, Volatility, and Open Interest

In the last five trading sessions, Nifty futures have shown a promising gain of 274.05 points, marking a 1.4 percent increase. However, there’s a unique twist to the story as trading volumes have been dwindling over this period. Despite this decline, open interest has witnessed a rise of 2.14 percent. Let’s dive deeper into the derivative analysis to understand the current market dynamics.

The monthly Put-Call Ratio (PCR) stands at 1.31, and the next weekly PCR is notably higher at 1.05, surpassing the typical levels. Implied volatility currently registers at 9.95, with India VIX declining to 10.67. The ongoing lower band volatility has resulted in less attractive option premiums in recent weeks.

As we look forward to the coming week, it’s essential to keep an eye on the total open interest for calls, which is at 9,77,895, and puts, which are at 10,22,886. Among the calls, the 19,800 strike stands out with the highest open interest at 91,411, closely followed by the 20,000 strike with 80,791. Strikes at 19,900 and 20,300 also exhibit noteworthy open interest, registering figures of 63,865 and 64,360, respectively.

On the put side, the 19,800 strike, which is at-the-money, maintains the highest open interest at 97,544, followed by the deep out-of-the-money 19,000 strike with 88,415 open interest. Strikes at 19,700 and 19,500 also feature substantial open interest.

An intriguing observation is that both sides of the market have witnessed higher open interest for out-of-the-money strikes, even though premiums on both sides have significantly eroded. This trend persists even in the monthly contracts.

Looking ahead, the Max Pain point for the upcoming week is located at 19,800, making it a significant level to monitor for market participants. The unique interplay between open interest, declining volatility, and strike prices suggests an interesting market landscape in the days to come. Traders and investors should stay vigilant and adapt to the evolving trends in Nifty futures.

Disclaimer:This blog has been written exclusively for educational purposes. The securities mentioned are only examples and not recommendations. It is based on several secondary sources on the internet, and is subject to changes. Please consult an expert before making related decisions.