Derivative Write-up by Ms. Sneha Seth (Derivatives Analyst, Angel Broking):
"Recently, we witnessed some profit booking from the higher levels but 11300 acted as a strong base for the market. Today, we had a positive start for the day which was followed by some consolidation in the initial hours. However, sharp recovery was seen in the midst to surpass the immediate hurdle of 11400; in fact, buying accelerated in the penultimate hour to rally almost towards 11500 mark. The rate sensitive index once again took the lead and was up by 2%.
As far as F&O activities are concerned, some fresh longs were formed in both Nifty as well as BankNifty. In Nifty options segment, call writer of 11400-11600 looked intimidated and hence, they covered their positions. On the flip side, 11400 and 11500 put options added significant positions and considering the implied volatility it appears to be on short side. Now, the maximum open interest concentration stands at 11500 call and 11000 put options.
In our previous articles, we have been mentioning that the outstanding contracts in index futures are long heavy and we expected some profit-booking. Now, 11300-11350 acted as a strong support zone and we are also witnessing fresh buying in the system. In addition, massive unwinding took place in OTM call of 11600, which is indeed a good indication. Considering the above data points, we expect continuation of today's up move beyond 11600 mark. Hence, traders are advised buying 11450 call option on dips for the March expiry."