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The Bank Nifty index moved up sharply on Thursday. The market rallied higher following positive reports of steady progress of monsoon across the country. The Bank Nifty Futures June contract advanced 164 points to close at 26,555 levels. The contract is trading at a premium of 38 points to its underlying Bank Nifty index.
While the Nifty PVT Bank index remarkably rose by 109 points or 0.75 per cent to 15,051 levels, the Nifty PSU Bank index gained 16 points or 0.55 per cent to end at 2,970.10 levels.
Active call options of June 28 expiry
The most active in-the-money call option was 26,500-call on Thursday. The option price ended at Rs 387.95, gaining Rs 67.20 or 21 per cent. There was an increase of Open Interest positions by 24.50 per cent as traders took fresh positions expecting a further upside from this level. The Implied Volatility of the option price was comparatively lower at 11.68 per cent.
The out-of the-money 26,800-Call was another actively traded call option. The option price gained Rs 37.75 to close at Rs 237 on Thursday. The Open Interest in this contract has increased by 5.80 per cent. The IV of the option price was lower at 11.65 per cent, which signifies the underlying Bank Nifty may encounter immediate resistance around this level in case of continuation of this upward trend.
Active Put Option of June 28 expiry
In the Put options side, the 26,600 in-the money Put was active and it fell Rs 109.35 or 22.60 per cent to close at Rs 372.85. The OI, however, had increased by 144 per cent. The implied volatility of the option price was relatively higher at 16 per cent. With the maximum addition of OI in this contract, we may expect the Bank Nifty index to move above 26,600 levels in the short timeframe.
The 26,200 Out-of-the-Money Put option closed at Rs 215, down by Rs 81.20 or 27.40 per cent. But there was a sizeable addition of OI in the contract. The OI has jumped by 156.40 per cent. The IV of the option price was at 16.18 per cent indicating substantial demand in the contract. This signifies that the underlying Bank Nifty index is unlikely to decline to 26,200 levels in the short term.
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