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The Bank Nifty index had ended slightly lower on Tuesday following weakness in banking stocks. The Bank Nifty Futures July contract closed down by 26.20 points at 26,274. The contract is trading at a premium of 70 points to its underlying Bank Nifty index.
Sectoral indices related to Bank Nifty also declined marginally yesterday. The Nifty PSU Bank index was down 21.65 points at 2,771.80 levels, while the Nifty PVT Bank index closed flat at 14,909.45.
Call option of July 26 expiry
Among the call options of the July 26 expiry, the most active in-the-money call option was 26,200 call on Tuesday. The option price had ended flat at Rs 409.35 and the Open Interest shed by 28.75 per cent as traders turned cautious.
The Implied Volatility of the option price was at 12.15 per cent, which denotes that there was subdued interest in the contract. It indicates the underlying Bank Nifty may decline from the current closing levels.
The out-of the-money 26,500-call traded very active in last session. The option price gained Rs 7.75 to close at Rs 273.70. The open interest was marginally up by 3.70 per cent.
The IV of the option price was limited at 12.70 per cent, which signifies that the option price was not expensive. It confirms that the underlying Bank Nifty, if rallies higher, may encounter resistance around 26,500-26,600 levels this month.
Put Option of July 26 expiry
In the put options side, the 26,400 in-the-money put was active on Tuesday. The option contract price lost Rs 24.45 or 5.20% to close at Rs 444.35 and the OI, too, had declined by 15.45 per cent. The Put Option writers in this contract seem to have shed some of their open positions.
The implied volatility of the option price was relatively higher at 16.35 per cent. This indicates that the Bank Nifty index may fall to reach 26,000 levels in a short time-frame.
The 26,000 out-of-the-money put option had on Tuesday closed lower at Rs 272.90, down 8 per cent. Despite the slight decline in the option price, there was a meagre addition of OI in the contract. The OI was up just by 1.75 per cent.
The IV of the option price was comparatively higher at 17.35 per cent indicating that the option price was costlier. This option chain signifies that the underlying Bank Nifty index is likely to fall to 26,000 levels.
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