Neutral Data suggests dull expiry

Market Setup
As it was market holiday on Wednesday, we need to digest two days of trading in the US markets. Gift Nifty was showing a flat to slight gap down gap down by 5 points at 6.30 AM today morning.

Dow closed lower by 204 points, Nasdaq closed down 270 points  the S&P 500 closed down 40 points in yesterday’s trade. Today morning, Asian Markets are trading flat with Nikkei 225 down 4 points, Kospi down 14 points and Hang Seng futures down 63 points at open. Today morning, Dow futures were trading down 71 points and Nasdaq futures down by 51 points factoring in underwhelming results from Nvidia. Taking cues from Gift Nifty, Nifty will open at about yesterday’s close of 22547. FIIs sold ₹35.29 billion of stocks in the cash market and stay sellers, indicating bearish sentiment.

During Tuesday’s trade the markets as predicted were flat and traded in a range of 100 points during the entire day. India Vix further slipped to 13.72 and is in a comfortable zone. Today is the monthly expiry of all the Nifty50 and Nifty Bank.. The data suggests a neutral with weak bias expiry.. All the immediate moving averages are far away and all support and resistance levels will have to be inferred from the conviction of option writers. Put writers have taken a firm grip at 22500 levels and call writers at 22700 levels. This suggests the range for Nifty50 to remain in this range for this monthly expiry. A watch has to be kept on 22500 levels. There is no conviction for put writers below 22500 and the zone of 22400 level is open, which is the swing low of the third week of May 2024. Today the day can belong to the option writers. It still remains a sell on rise markets.

Nifty Bank as predicted was range bound through the day in Tuesday. However, the close of the Nifty Bank was not a good one as it has closed on the lower point of the day. FIIs are bullish in Nifty Bank but data suggest that the conviction of the put writers and the call writers is the same and aggressive writing has taken place in calls and puts, which suggest a range bound movement of Nifty Bank. The range of Nifty Bank will be in between 48500 to 49000.

Options Chain
Nifty50 (Expiry February 27)
Not much action was seen in the option chain Tuesday. Call writers rolled down calls from every level to 22700. Similarly put writers rolled up calls from every level to 22600. Strong resistance was provided at 22600 with 10.9 million puts, while 10.3 million puts at 23500 providing strong support. With 9.392 million calls and 10.9 million puts, the difference between the two is not much. A breach of 22500 on the downside does not seem to be likely in this expiry. The upside is very much restricted at 22700. The range of Nifty50 seems to be between 22500 and 22700 for this monthly expiry. The Implied Volatility for puts is 8.66 and 12.26 for calls.

Nifty Bank (Expiry February 27)
Aggressive additions of calls from 48800 till 50000 and aggressive put writing at every level from 48800 till 48000 downwards was seen on Tuesday. The option chain was evenly balanced between call and put writers, with 1.869 million calls at 49000 as the immediate resistance and 1.844 million puts at 48500 as support. The range for Nifty Bank would be between 48500 till 49000 for this month's expiry. The IV on the puts is 8.09and 14.51 on calls.

Support and resistance
 - Nifty50: Major support at 22500; major resistance at 22700.
 - Nifty Bank: Major support at 48500; major resistance at 49000.
 - Sensex: Tuesday was the monthly expiry. New option chain has not formed.  

Put-call ratio and at-the-money
 - Nifty50: Overall 0.70; ATM 0.77 (bearish)
 - Nifty Bank: Overall 0.8; ATM 0.92 (bearish)
 - Sensex: Tuesday was the monthly expiry. New Option Chain has not formed.

Tuesday
Nifty50 opened gap down 36 points at 22516; Bank Nifty opened gap up 39 points at 48691.

As mentioned on Tuesday, Nifty50 in the opening trades did rise by 100 points to its intraday high of 22625, before selling pressure drove Nifty50 downwards towards 22550 level. A feeble attempt was made mid-day to regain some lost ground, but 22600 level became a rejection level for Nifty50. For the rest of the day Nifty50 was in 50 point range between 22550 and 22600, and finally closed at 22544. It was a bad closing for Nifty50 as it closed at the lower range of the day with 22513 being its intraday lows. 20 stocks out of Nifty 50 stocks closed the day in green.

Nifty Bank, after opening up, slipped down to 48600 levels. An attempt was made to move towards higher levels, but as indicated by Monday’s data, it was a range-bound day with bullish bias. Nifty Bank played within the range of 100 points between 48700 and 48600 to finally close at 48608. This was not a good closing for Nifty Bank as it closed towards the lower end of the day's trading range. Out of 12 Nifty Bank stocks, four closed the day in green.

It was a mixed day for the other sectoral indices. Notable gainers were Fin Nifty (+0.18%), Nifty Auto (0.51%) and Nifty FMCG (+0.32%). Notable losers were Nifty Next 50 (-0.74%), Nifty Consumer Durables (-0.54%), Nifty Mid Select (-0.64%), Nifty Midcap100 (-0.64%), Nifty IT (-0.80%), Nifty Metal (-1.54%), Nifty Realty (-1.31%), Nifty CPSE (-0.75%), Nifty PSE (-0.98%), Nifty Oil & Gas (-1.13%) and Nifty Pharma (-0.69%).