Derivatives Data Analysis and Expiry Day Trading Strategy - Mar 03

Expiry Day Strategy for 03.03.2022

Our markets have traded with higher volatility in last one week due to rising geo-political tensions between Russia and Ukraine. The India VIX continues to trade higher around 30 level and the important short term supports have been breached. However, interestingly the stronger hands (FII’s) have bullish positions in the index futures and they have bought stock futures too. Let’s delve in the key data points which could help us to predict expiry day moves and key levels.

Roll-over

The rollover in indices were lower than average which indicates that the market participants are low in confidence due to the volatility and have carried lesser positions in March series. So formation of fresh positions in the next few sessions will be important to analyze as that could set the tone for the March series.

INDIA VIX

The recent global geo-political developments have led to rise in volatility and INDIA VIX is trading around 30 level. Hence, the IV’s of options are high which in turn results in expensive options premiums. Until the VIX goes below 24 again, the volatility could remain high and hence, traders should take utmost care of position sizing and money management.

FII Data Analysis

FII’s continues to be net sellers in the cash segment and have been selling aggressively since last couple of months.

However, interestingly after February expiry FII’s have added some long positions in the index futures segment and have even bought stock futures. Their Index Futures ‘Long Short Ratio’ currently stands around 58%.

Options Data Analysis

The options data for near term strikes is scattered as the volatility is high and 17000 call and 16000 put have high open interest concentration.

Expiry Day Strategy

On the expiry day, the global markets development is likely to drive the momentum. Till Nifty is trading below 16800, we do not expect any significant positivity and only a crossover above 16800-16850 could then lead to a positive momentum. Traders are advised to avoid aggressive trading and look to take contra trades around the below given levels.

• Nifty Expiry day levels -  Support at 16500 & 16390                                                                                                               Resistance at 16700 & 16810
   
• BankNifty expiry day levels – Support at 35000 & 34600
                                                 Resistance at 35650 & 35930