Derivative Write-up by Ms. Sneha Seth (Derivatives Analyst, Angel Broking):
"Post Friday's sharp profit booking from the record highs, we began today's session with a downside gap. As the day progressed, selling pressure amplified to breach the support zone of 11650-11680 and then Nifty corrected below 11600 mark on the closing basis. Among the sectors except IT all other indices ended in red led by energy, banks, metals and auto. The volatility index surged 6% due to sharp sell-off and is now trading near the hurdle of 24%, further rise in volatility may bring this percentage around 28%-30%.
In F&O space, we witnessed addition of fresh shorts in Nifty; whereas, some profit booking took place in the banking index. In the week gone by, we saw decent long formation in both the index and these positions are still intact. As far as today's Nifty options activities are concerned, massive writing was seen in 11700 and 11800 call options. This has also resulted, maximum open interest concentration shifting lower to 11700 from 12000. On the flip side, 11550 and 11600 puts added some fresh positions along with unwinding in 11400, 11700 and 11800 strikes. Highest outstanding contracts in case of put option is firmly placed at 11500, which may act as a strong base now. At current juncture, traders should wait for the follow-up move before initiating any directional bets."