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Bank Nifty index surged higher on Tuesday as the sentiment was boosted by strengthening of rupee amid a fall in global crude oil prices.
Bank Nifty Futures July contract climbed 323 points to 27,063.60. The contract is trading at a premium of 55 points to its underlying Bank Nifty index which closed at 27,008.10.
Sectoral indices related to the Bank Nifty also rose sharply. The Nifty PSU Bank index ended higher by 104 points or 3.86 per cent at 2,799.40 levels, while the Nifty PVT Bank index closed up 177 points or 1.17 per cent at 15,330.70.
Active call options of July 26 expiry
Among the call options for the July 26 expiry, the most active in-the-money call option was 26,800 call. The option price ended at Rs 360.05, gaining Rs 168.35 or 87.80 per cent. However, Open Interest in the contract shed over 35 per cent as traders seem to have booked profits on the rally.
The Implied Volatility of the option price was relatively lower at 11.45 per cent, which denotes that there was only moderate demand at this price level. It indicates the underlying Bank Nifty is likely to encounter resistance around 27,100-27,150 levels in this expiry.
The out-of the-money 27,100 call traded very active. The option price gained Rs 111.80 or 131.75 per cent to close at Rs 196.65 on Tuesday. Open Interest in the contract increased by 32.26 per cent.
The IV of the option price was comparatively higher at 12.35 per cent, which signifies that there was significant interest in the contract. Hence, the underlying Bank Nifty may encounter resistance around 27,200 levels before the expiry.
Active Put Options of July 26 expiry
In the Put options side for the July 26 expiry, the 27,100 in-the money put was active. Option contract price lost Rs 195.30 or 45.67 per cent to close at Rs 232.30.
However, OI increased by 31.54 per cent with the decline in option price. The implied volatility of the option price was relatively higher at 12.97 per cent. Hence, the Bank Nifty index could get support around 26,800 in case it declines from the current levels.
The 26,900 out-of-the-money put option closed lower at Rs 142 or 52.89 per cent in Tuesday’s trading session. With the decline in option price, there was a sizeable addition of OI in the contract. OI went up by 79 per cent.
The IV of the option price was at 12.95 per cent indicating substantial demand in the strike price. This option chain signifies that the underlying Bank Nifty index is likely to get support around 26,900 levels in this expiry.
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