Rollover Write-up by Ms. Sneha Seth (Derivatives Analyst, Angel Broking):
"After sharp rally in the last week, we began today's session with an upside gap and extended the move beyond 11500 mark. However, some profit booking at the higher levels resulted intraday fall towards 10400. Fortunately, some modest recovery in the penultimate hour led closing above 11450. The volatility index surged 6.56% and concluded at 2 weeks high.
As far as Nifty options activities are concerned, fresh writing took place in 11500-11700 call options. On the other side, we saw open interest addition in 11400 and 11500 put options. Now, the maximum open interest concentration for March series is placed at 11500 call and 11000 put options.
Since the beginning of March series, we have been witnessing huge amount of long formation and now it seems we are long heavy. At present, around 11500 is the immediate hurdle; whereas, 11250-11300 shall act as a support. As the outstanding contracts in futures segment is heavy now, we would advise traders to lighten up their positions in index and prefer trading in individual counters for better risk reward ratio."