Options indicate support at 24,800 levels for Bank Nifty

Markets had continued its downward spiral on Wednesday as the sentiment was hit with the rupee breaching the 73-mark for the first time to hit an all-time low of 73.42 against the US dollar.

Rising crude oil prices and unabated foreign fund outflows also dampened investor sentiment.

Bank Nifty index ended sharply lower by 297.10 points at 25,069.90. Bank Nifty October futures contract closed lower by 363.50 points at 25,145.35.

Active call options of Oct 11 expiry

Among the call option chain, the in-the-money Bank Nifty Call 25,000 option was the actively traded contract on Wednesday. The option price closed at Rs 390.65, down 42.50 per cent. However, open interest in the contract jumped by 88.85 per cent.

Traders have bought some long-call positions in the contract as the option price fell sharply in line with the decline in the underlying index. The implied volatility was steeply higher at 21.97 per cent. This confirms that the underlying Bank Nifty may face stiff resistance around 25600 levels in the next few trading sessions.

The Bank Nifty Call 25,500 option contract is currently an out-of-the money option that turned very active for this expiry on Wednesday. The call option price was down by 55.55 per cent at Rs 158.05.

Interestingly, the contract’s open interest rose 76.85 per cent. The IV of the option price was comparatively higher at 20.80 per cent. Hence, the underlying Bank Nifty index may encounter strong resistance around 25,750-25,800 levels for this expiry in case of reversal in the direction.

Active put options of Oct 11 expiry

On the put option chain, the in-the-money Bank Nifty Put 25,200 option contract turned active on Wednesday. The put option price gained 36.70 per cent to Rs 406.70.

Open interest surged 625 per cent for this contract with an addition of 11,000 shares. The implied volatility was exceedingly higher at 24.80 per cent which implies that this contract price was in demand. This confirms that the underlying Bank Nifty is likely to get support around 24900 levels in this expiry.

The Bank Nifty out-of the-money Put 25,000 contract was the main focus of traders’ attention on Wednesday. This out-of-the-money put option price gained 36.45 per cent to Rs 318.10. OI jumped 189.45 per cent.

The IV of the option price was relatively higher at 25.55 per cent which implies that this option price was in keen demand. This confirms that the Bank Nifty underlying may get support around 24,700-24,800 levels in this expiry.