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Banking index had ended marginally higher in a choppy trading session on Wednesday as investors turned cautious ahead of derivatives expiry and Fed policy outcome.
Bank Nifty September futures contract edged up narrowly and closed at 25,351 on Wednesday. The underlying value of the contract closed at 25,376.
Active call options of Sept 27 expiry
Among the call option chain, the in-the-money Bank Nifty Call 25,200 option was the actively traded contract on Wednesday. The option price closed at Rs 80, down by 48.10 per cent. However, open interest in the contract increased by 52.80 per cent.
The implied volatility was seen exceedingly higher at 31.50 per cent. This indicates that the underlying Bank Nifty may move higher as large call positions were taken in the contract ahead of the expiry today.
Bank Nifty Call 25,500 option contract for September 27 expiry is currently an out-of-the-money option that turned very active on Wednesday. The contract price was down by 30.77 per cent at Rs 90.
OI increased by 58.80 per cent as traders have taken fresh positions expecting a bounce back in the underlying after sharp declines in the last few trading sessions. The implied volatility of the option price was comparatively higher at 33.50 per cent. This indicates that the underlying Bank Nifty is likely to move higher to 25,600 levels.
Active put options of Sept 27 expiry
On the put option chain, the in-the-money Bank Nifty Put 25,400 contract was the most actively traded contract on Wednesday. The put option price was down 32.35 per cent at Rs 142.
Interestingly, OI jumped by 169 per cent. The implied volatility was sharply higher at 25.20 per cent which implies that there was a good demand at these price levels. This confirms that the underlying may get traction around 25,200 levels.
Bank Nifty out-of the-money Put 25,100 contract was one of the most actively traded contracts on Wednesday. This out-of-the-money put option price fell 57.10 per cent to Rs 51.55.
Open interest gained 91.50 per cent. The implied volatility of the option price was comparatively higher at 29 per cent. This suggests that the Bank Nifty underlying is likely to get support around 25,000-25,100 levels.
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