F & O Tracker: Shift to lower Puts signals hedging
Current IVs suggest market is not anticipating a bigger fallout from the Greece event. However, with Greece story most likely to continue in the current week
Updated:
By Hemant Nahata, IIFL
World markets took a jolt as uncertainty over Greece loomed large across the globe. However, Indian markets showed some resilience with an impressive bounceback from the lows of the day (about 130points) led by banks, FMCG and capital goods stocks. India VIX stood at 17.3 per cent(up about 10 per cent) still at its 3-month mid-range.
Current IVs suggest market is not anticipating a bigger fallout from the Greece event. However, with Greece story most likely to continue in the current week, bouts of intraday volatility couldn't be ruled out.
The recent rally in Nifty has been sharp initially driven by domestic funds and HNIs and followed by FIIs during the fag-end of the June expiry. Rollover (longshort) of FIIs in index futures stood at 74.333.1 per centas against a 6-month average of 74.354.2 per cent, indicating lower quantum of short rolls.
However, FIIs stock future rollover was less aggressive with longshort rolls standing at 70.881.4 per cent; this makes us believe that reverse arbitrage trades have not been rolled over to next month.
On option side, July series started with 8300 put and 8500 call having the maximum OI build-up. The stance on put front has shifted lower from 8300 to 7900 over the past two trading sessions.
However, on call front, 8500 continues to hold the maximum OI, indicating a stance where traders are buying options to hedge their portfolio. Reliance, LT, ICICI Bank and HDFC continue to see long additions. On mid-cap front, SRF, IGL, Indiabulls Housing and LIC Housing have shown resilience even as the broader market witnessed a turmoil.
World markets took a jolt as uncertainty over Greece loomed large across the globe. However, Indian markets showed some resilience with an impressive bounceback from the lows of the day (about 130points) led by banks, FMCG and capital goods stocks. India VIX stood at 17.3 per cent(up about 10 per cent) still at its 3-month mid-range.
Current IVs suggest market is not anticipating a bigger fallout from the Greece event. However, with Greece story most likely to continue in the current week, bouts of intraday volatility couldn't be ruled out.
The recent rally in Nifty has been sharp initially driven by domestic funds and HNIs and followed by FIIs during the fag-end of the June expiry. Rollover (longshort) of FIIs in index futures stood at 74.333.1 per centas against a 6-month average of 74.354.2 per cent, indicating lower quantum of short rolls.
However, FIIs stock future rollover was less aggressive with longshort rolls standing at 70.881.4 per cent; this makes us believe that reverse arbitrage trades have not been rolled over to next month.
On option side, July series started with 8300 put and 8500 call having the maximum OI build-up. The stance on put front has shifted lower from 8300 to 7900 over the past two trading sessions.
ADVERTISEMENT
However, on call front, 8500 continues to hold the maximum OI, indicating a stance where traders are buying options to hedge their portfolio. Reliance, LT, ICICI Bank and HDFC continue to see long additions. On mid-cap front, SRF, IGL, Indiabulls Housing and LIC Housing have shown resilience even as the broader market witnessed a turmoil.
Too busy to trade in stocks? Invest in Mutual Funds with ET Money!
Bookmark or read stories offline -
Download ET Markets APP
Download ET Markets APP
ADVERTISEMENT
