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The Week That Was:

*  Nifty futures closed at 24,847.7 on Friday, rising 1.1% with a 5.1% increase in open interest signaling a clear long build-up and strengthening bullish sentiment.

*  Bank Nifty futures settled at 54,364.6, gaining 0.6% with a 0.9% rise in open interest indicating a long build-up and suggesting potential for upside momentum.

*  India VIX fell 8.3% to 10.78, down from 11.75, signaling easing market anxiety, with traders factoring in lower short-term volatility.

*  The FII Long-Short ratio moved up from 0.9 to 0.8 as fresh short positions added and longs decreased, signaling a softer bearish stance.

*  Total outstanding open interest in Nifty and Bank Nifty futures were 1.85 cr units (prev: 1.76 cr) and 0.31 cr units (prev: 0.30 cr), respectively.

Nifty Open Interest Put-Call Ratio

*  Nifty Put-Call Ratio (PCR) declined by 0.15 over the week, reflecting a notable surge in Call option open interest relative to Puts indicating a shift toward cautiously bearish sentiment as traders brace for a capped upside.

Volatility Analysis

*  The implied volatility (IV) curve for the upcoming weekly expiry has moved higher for both out-of-the-money (OTM) calls and puts, reflecting increased demand for option premiums across the strike range.

*  This rise in IV for OTM options, along with the term structure and relative shifts, indicates that market participants expect elevated realized volatility in the coming week.

Nifty Open Interest Concentration (Weekly)

*  The strike-concentration for the upcoming expiry on September 09 shows that the Nifty has strong supports at 24,500 and 24,600, while resistance can be seen near 24,900 and 25,000.

*  Speaking of open interest changes, the 25000-strike Call and 24000 strike Put saw the maximum addition, alongside the 25500 strike Call and 24500 strike Put.

*  Based on the data, we project the Nifty to trade between 24,500 and 25,000 in the week ahead.

Bank Nifty Open Interest Concentration (Monthly)

*  The strike concentration for the September expiration shows that the Bank Nifty has strong supports at 54,000, 55,000, and 53,000, while resistance rests at 55,500, 54,000, and 55,000.

*  Speaking of open interest changes, the 55000-strike Call and 54000 strike Put saw the maximum addition, alongside the 54500 strike Call and 53500 strike Put.

*  Based on the data, we project the Bank Nifty to trade between 53,000 and 55,000 in the coming week, with 54,000 & 55,000 acting as a pivotal level.

Nifty Change in Open Interest (Weekly)

*  Using the monthly expiration cycle, notable addition in calls was seen at the following strikes - 25,500 (8.6 Lc), 25,200 (5.7 Lc), and 24,900 (4.7 Lc), respectively. There was unwinding observed at 24,500 & 24,600 strike.

*  Coming to puts, the 24,700 (4.6 Lc), 24,900 (3.7 Lc), and 24,400 strikes (2.4 Lc) saw considerable addition in open interest. Unwinding was witnessed at the 24,500 & 24,000 strike.

Bank Nifty Change in Open Interest (Monthly)

*  For the Bank Nifty - based again on the monthly expiration cycle - notable addition in calls was seen at the following strikes - 55,000 (2.8 Lc), 54,500 (1.4 Lc), and 54,000 (1.3 Lc), respectively. There was no significant unwinding observed at any strikes.

*  Coming to puts, the 54,000 (2.2 Lc), 53,500 (2.1 Lc), and 54,100 strikes (1.0 Lc) saw considerable addition in open interest. There was notable unwinding observed at 55,500 strike.

Weekly Participant-wise Open Interest (contracts)

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