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Bank Nifty index plummeted on Monday on reports of liquidity concerns following the default in repayment of loans by diversified IL&FS group.
Losses in global markets on reports that China had called off planned trade talks with the US in the wake of a new round of duties weighed heavily on the market sentiment.
On Monday, Bank Nifty September futures contract had closed down by 682.45 points at 24,977.55. The underlying value of the contract closed at 24,970.30.
Active call options of Sept 27 expiry
Among the call option chain, the in-the-money Bank Nifty Call 24,800 option was the actively traded contract on Monday. The option price declined 65.25 per cent to Rs 325.40. However, open interest saw an addition of 31,920 shares, an increase of 4,433 per cent, over its previous OI.
Traders have taken fresh positions in the contract ahead of the expiry. The implied volatility of the option price was exceedingly higher at 27.35 per cent. It signifies that the Bank Nifty is likely to face resistance around 25,200-25,300 levels in the expiry, in case of any volatility.
The Bank Nifty Call 253,00 option contract is currently an out-of-the-money option. The option price closed down 65.50 per cent at Rs 175.45 on Monday. There was an addition of 2.03 lakh shares in the OI, an increase by 1,698 per cent.
The IV was seen steeply higher at 28.75 per cent which indicates there was heavy demand for the contract. Hence, in case of any reversal in the move, the Bank Nifty may encounter resistance around 25,500 levels on the upside in the short term.
Active put options of Sept 27 expiry
On the put option chain, the in-the-money Bank Nifty Put 25,000 option contract was the actively traded one on Monday. The put option price gained 101 per cent to Rs 199.70. OI too climbed by 104.50 per cent, showing a fresh addition of 3.59 lakh shares.
The implied volatility was exceedingly higher at 27.50 per cent. This underscores that the Bank Nifty is likely to find support around 24,800-24,850 levels.
The out-of-the-money Bank Nifty Put 24,800 contract saw a large addition in OI. This put option price increased by 136 per cent to Rs 167. OI jumped by 295 per cent, witnessing an addition of 1.28 lakh shares.
The implied volatility of the option price too was sharply higher at 25.90 per cent. This indicates that the Bank Nifty is likely to get support around 24,650-24,700 levels in case of further downside.
(Data sourced from NSE web site)
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