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Where are Nifty, Bank Nifty headed in expiry week...

ICICI Securities 28 Mar 2022

Commentary

The Nifty exhibited a range bound move last week and closed with marginal losses while broader markets remained positive where midcap and small cap index closed the week in the green. After witnessing significant large moves in the first half of the March series, the ongoing consolidation is a welcome development. FIIs’ selling pressure has also eased considerably post FOMC announcement and they turned net buyers last week. However, the volatility index continued to remain at elevated levels with no major sign of subsiding being seen.

Major option concentration:

Major Call OI: 17400 (46.5 lakh), 17500 (63.9 lakh) and 17200 (64.4 lakh)

Major Put OI: 17000 (62.7 lakh) and 16800 (35.7 lakh).

What’s expected in expiry week:

As the index corrected from 17450 levels, the Call writing quantum has increased in the recent past with 17200 now holding the highest Call base. However, 1 sigma level for the Nifty is placed near 17000 whereas the highest Put base is also at 17000, which seems to be a good support. The Bank Nifty has relatively underperformed and moved towards its sizeable Put base of 35000. VWAP for the March series is also near 35000. We feel the Bank Nifty would provide cushion to the index in the expiry week with some covering expected here. Few heavyweights like Reliance Industries, ITC, Bharti Airtel and the Bajaj twins are already witnessing closure in OTM strike Calls. In contrast, from a sectoral prospective, banking, metals, realty and select cement stocks look positive from a risk-rewards prospective. Quarter ending fund rebalancing should trigger some volatility. However, looking at the sigma levels, VWAP and Put bases we feel downsides are limited. Fresh triggers are expected once the Nifty manages to close above 17200 whereas the Bank Nifty is likely to surpass its highest Call base of 36000 in the expiry week.

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