The Bank Nifty index ended higher on Wednesday shrugging off the rate hike by the RBI. The markets have discounted the rate hike, it seems. The Bank Nifty Futures June contract was up by 125 points on Wednesday and closed at 26383 levels. The contract is trading at a premium of 16 points to its underlying Bank Nifty index.

The sectoral indices related to Bank Nifty also rose marginally yesterday. The Nifty PSU Bank index gained 72 points or 2.53 per cent to end at 2,953.50 levels while the Nifty PVT Bank index was up 53 points or 0.36 per cent to 14,942 levels.

Call option for June 28 expiry

Among the call options for the June 28 expiry, the most active in-the-money call option was 26,000-call on Wednesday. The option price ended at Rs 587.55, gaining Rs 41.90 or 7.68 per cent. The Open Interest was down by 3 per cent in the contract as traders were not willing to take any fresh positions. The Implied Volatility of the option price was relatively lower at 9.39 per cent, which denotes that there was subdued interest in the contract following the rate hike announcement yesterday. It indicates the underlying Bank Nifty may get support at around 26000 levels.

The out-of the-money 26,500-Call was traded very active in last session. The option price gained Rs 13 to close at Rs 307 on Wednesday. The Open Interest, however, was shed by 7.45 per cent. The IV of the option price was comparatively lower at 11.35 per cent, which signifies that there was subdued interest in the contract. Hence, the underlying Bank Nifty may not rally above this level before the expiry.

Put Option for June 28 expiry

In the Put options side, the 26,500 in-the money Put was active on Wednesday. The Option contract price lost Rs 91.30 or 17.25 per cent to close at Rs 437.70 and the OI, too, had declined by 9.65 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 17.45 per cent.  This indicates that the Bank Nifty index may fall from the current levels in the short time frame.

The 26,000 Out of the Money Put option closed lower at Rs 230, down by Rs 65.85 or 22.25 per cent. With the decline in the option price, there was a sizable addition of OI in the contract. The OI has gone up by 12.75 per cent. The IV of the option price, too, was 17.35 per cent indicating substantial demand in the strike price. This option chain signifies that the underlying Bank Nifty index is likely to fall below the 26,000 levels in the short term.

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