F&O Tracker: 8200 Put, 8800 Call See Maximum OI

By Hemant Nahata, IIFL

The new series has got off to an August start. Bank nifty IVs trading at 20.48 per cent (at-the-money) matching 1-year average at 20.78 per cent, indicating market is expecting RBI to hold status quo (much in-line with street estimate) with not much change in stance too. Post event, market is likely to find fresh trigger in earnings, monsoon and logjam in parliament for further immediate direction. However, major focus of global markets will be on Fed's most anticipated September meet.

Probability of Fed rate hike has translated into strength for dollar as against basket of emerging market currency. Overall, the INR has shown resilience, thanks to, persistent capital inflows and sharp descent in crude oil prices. Over the last 3 months, INR is trading in a narrow band (63.30-64.30) despite of weakness observed across developing nation currency. With domestic unit holding ground, markets are likely to see continuation of positive trend.

Higher market wide rolls (84 per cent as against 81 per cent in June expiry) along with increase in cost of carry for most of the stocks, indicates an increase in quantum of long rolls. In addition, FIIs longshort rolls in index future stood at 7037 per cent as against a 6-month average of 7254 per cent indicating lower short rolls. On option front, Nifty 8200put8800call has maximum OI indicating a shift of base to the higher side. ICICI Bank underperformance may not continue on change of stance after the earning as suggested by long OI addition.