Bank Nifty index had recovered in the afternoon trade on Wednesday as the domestic sentiment improved after the rupee rebounded from its historic low of 72.91 (intra-day) against the dollar.
Economic Affairs Secretary Subhash Chandra Garg said that the government and the RBI will do everything to ensure that the rupee does not depreciate to “unreasonable levels''. His statement helped the Indian currency to bounce back.
Bank Nifty September contract recouped early losses to close at 27,000, up 49.40 points. The contract is trading at a premium of 181 points to its underlying Bank Nifty index which had closed at 26,819.20.
Active call options of Sept 19 expiry
Among the call options for the September 19 expiry, the most active in-the-money call option was 26,800-call on Wednesday. The option price ended at Rs 272, down by Rs 3.35 per cent. However, open interest in the contract witnessed an addition of 1.11 lakh shares (an increase of over 1,570 per cent).
The implied volatility of the option price was quite moderate at 15.90 per cent. It indicates the underlying Bank Nifty is likely to encounter resistance around 27,100-27,150 levels in the short term.
The out-of the-money 27000-Call traded very active. The option price was down 10 per cent at Rs 158 on Wednesday. OI in the contract saw an addition of 4.52 lakh shares (an increase of 342 per cent.
The IV of the option price was comparatively lower at 14.60 per cent. This confirms that the underlying Bank Nifty may encounter resistance around 27,200 levels in the short term.
Active Put Options of Sept 19 expiry
In the put options side for the September 19 expiry, the 26,900 in-the money put was active on Wednesday. The option contract price lost Rs 54 or 24 per cent to close at Rs 170.35.
However, OI had increased by 86 per cent with the decline in the option price. The implied volatility of the option price was relatively lower at 10.47 per cent. Hence, the Bank Nifty index could get support around 26,600-26,650 levels in the short term.
The 26,700 out-of-the-money put option closed lower at Rs 101, down by 33.90 per cent on Wednesday. With the decline in the option price, there was a sizeable addition of OI in the contract.
OI has gone up by 129 per cent. The IV of the option price was at 11.70 per cent indicating that the option price was not expensive. This option chain signifies that the underlying Bank Nifty index is likely to get support around 26,500-26,550 levels in this expiry.