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Nifty index futures closed 1.78% lower at 10925.15 on Tuesday. Open interest declined by 1.98 lakh contracts indicating unwinding of longs while cost of carry plunged to a discount of 0.7 from a premium of 13.3. Resumption of Call writing in Nifty options dragged the PCR OI lower towards 0.96 from 1.24. Open interest rose in Nifty Call options by 24.5%. India VIX surged 12.2% and closed at 17.78 from 15.84.
FIIs remain pessimistic
FIIs exhibited their pessimistic view in derivative segments on Tuesday. Despite the passive activity in index futures, 75% short positions held would indicate their long term negative bias. In index options they turned on the negative side yesterday and added synthetic shorts by 22883 contracts. This activity induced a dip in their net synthetic long positions back below 50% which closed at 48%. They followed last day's short addition trail in stock futures where the open interest in shorts rose by 25210 contracts.
Short term support seen at 10600; Volatility may prevail in the interim
Call writing at 11000 and 11200 strikes along with Put long addition at 10600 would hint that the market is expected to head lower on a short term scenario. Highest Put and Call concentration is seen at 11000 strike with the next highest at 10700 and 11500 strikes. Concentration seen at 10700 Put and 11500 Call strikes would be hinting even higher volatility in the near term.
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