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Banking indices bounced back on Monday as the sentiment was buoyed after the RBI announced open market operations to shore up liquidity.
Trading sentiment was also boosted as the government has moved the National Company Law Tribunal for change of management at the crisis-hit IL&FS. Positive manufacturing PMI data for September and healthy auto sales numbers also reassured investors.
Bank Nifty index gained 247.15 points to 25,367 on Monday, while the October futures contract of the underlying closed at 25,520.
Active call options of Oct 25 expiry
Among the call option chain, the in-the-money Bank Nifty Call 25,000 option was the actively traded contract on Monday. The option price closed at Rs 897, up by 34.45 per cent. Open interest jumped by 32.70 per cent. Traders have taken fresh long positions in the contract.
The implied volatility was seen exceedingly higher at 23.15 per cent. This confirms that the underlying Bank Nifty may encounter stiff resistance around 25,750-25,800 levels.
The Bank Nifty Call 25,500 option contract is currently an out-of-the money option that turned very active on Monday. The contract price gained 36.90 per cent to Rs 545.10. Open interest saw 10 per cent increase with fresh addition of 54,880 shares.
The implied volatility of the option price was quite higher at 20.35 per cent. This indicates that the underlying Bank Nifty is likely to meet with strong resistance around 25,900 levels for the expiry.
Active put options of Oct 25 expiry
In the put option chain, the in-the-money Bank Nifty Put 25,500 option contract traded active on Monday. The put option price ended down 25.08 per cent at Rs 516.35. However, open interest was slightly down by 2 per cent.
The implied volatility was comparatively higher at 20.50 per cent which implies that this contract price was expensive. This confirms that the underlying may get traction around 24,900-25,000 levels in the short term.
The Bank Nifty out-of the-money Put 25,000 strike price was one of the most actively traded contracts on Monday. This out-of-the-money put option price fell 22.40 per cent to Rs 370.05. Open interest improved by 14.67 per cent.
The implied volatility of the option price was sharply higher at 23.30 per cent which suggests that traders expect the underlying to decline. This suggests that the Bank Nifty underlying is likely to get support around 24,600 levels in case the index breaches below 24,900 support levels on declines.
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