Stock markets fell sharply on Monday on weak global cues as investors turned jittery on news that Trump was set to announce a new round of tariffs on Chinese goods in the latest escalation of their trade conflict. Further weakening of rupee to 72.69 also impacted the domestic sentiment.
On Monday, Bank Nifty futures September contract had lost 359.65 points to end at 26,879. The contract is trading at a premium of 59 points to its underlying Bank Nifty index which had closed at 26,820.30.
Active call options of Sept 27 expiry
Among the call options for September 27 expiry, the most active in-the-money call option was 26,800-call on Monday. The option price ended at Rs 306.95, declining Rs 248.35 or 44.70 per cent.
However, open interest in the contract gained 349.60 per cent as traders have taken fresh positions on price declines. The implied volatility of the option price was reasonably higher at 14.56 per cent, which denotes that there was some moderate demand at this price level. It indicates the underlying Bank Nifty is likely to encounter resistance around 27,100-27,150 levels in this expiry in case of reversal of sorts.
The out-of the-money 27,000-call traded very active. The option price closed at Rs 203, having lost Rs 209.55 or 50.79 per cent. However, OI increased by 28.85 per cent. The IV of the option price was moderate at 14.20 per cent. Hence, the underlying Bank Nifty may encounter resistance around 27,250 levels in this expiry in case of upside move.
Active Put Options of Sept 27 expiry
In the put options side for the September 27 expiry, the 26,900 in-the money put was active on Monday. The option contract price gained 83.11 per cent or Rs 123.50 and closed at Rs 272.10.
Interestingly, OI also increased by 60.85 per cent despite the increase in option price. The implied volatility of the option price was comparatively higher at 15.19 per cent. Hence, the Bank Nifty index could get support around 26,600 levels.
The 26,600 out-of-the-money put option closed at Rs 159.85, up by 84.70 per cent. There was a sizeable addition of OI in the contract. OI jumped by 45.35 per cent.
The IV of the option price was quite higher at 16 per cent as the contract is farther away for the current underlying price levels. This option chain signifies that the underlying Bank Nifty index is likely to get support around 26,450-26,500 levels in this expiry.