Published on 16/11/2019 11:46:06 AM | Source: ICICI Direct

Derivatives Strategy – Short Strangle By ICICI Direct

Posted in Broking Firm Views - Short Term Report| #Trading Report #ICICI Direct

Sell Bank Nifty 21 November 31600 Call & 30300 Put

* The Bank Nifty continued its outperformance from 28000 and moved towards its sizeable Call base of 31000 on the back of participation seen in most private bank leaders and PSU major SBI

* The November series started with lower OI base but as the series progressed, long OI build-up was seen where the index formed a bottom on every 12% rise in OI. Last highest OI addition was seen near 30500, which is likely to be a support for the short-term

* IVs have contracted from 17.5% and have moved towards 15% on the back of writing seen in OTM strikes. We feel the index is likely to consolidate for a few days and writing OTM Call & Put will be a good option for a few days

* The price ratio of Bank Nifty/Nifty has moved from 2.5 to 2.6 in the last eight trading sessions. We feel the ratio is likely to be stable near these levels and fresh break-out can be seen once there is closure in OTM strike Calls


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