The Nifty posted its third big fall of September on Tuesday, ending down 165 points. But a quick respite is unlikely, as derivative data suggests that the weakness is likely to continue on Wednesday too.
Open interest (outstanding positions) in Nifty futures increased by 41.2 lakh shares and the premium in September future fell to negative 14.9 points against 2.95 points earlier. Clearly, bearish bets seem to have increased.
As far as September Nifty puts are concerned, 8,000 and 7,900 strikes shed 30 per cent and 37 per cent in open interest respectively. However, the 7,800 strike put, where maximum open interest was concentrated, saw further addition of 2.3 lakh shares to open interest. The data shows that traders expect 7,800 to be held by expiry.
On the other hand, 7,800, 7,850, 7,900 and 8,000 strikes calls saw massive addition of open interest indicating limited upside by this expiry.
Overall, Nifty puts added 8.4 lakh shares to open interest while calls added 45.9 lakh shares pushing the put-call-ratio (PCR) lower to 0.95 against 0.99 earlier. PCR indicates overall sentiment of the market. A PCR of more than 1 represents bullish sentiments.
India VIX or the fear gauge rose 11.92 per cent to 20.345 indicating higher anticipated volatility in the near future.
Among individual stocks, Motherson Sumi, Divi's Lab and Coal India saw addition of bearish bets.
Market wide rollover as on Tuesday stood at 41 per cent compared to last three months average of 44 per cent and rollover in Nifty futures was 41 per cent compared to three months average of 40 per cent. The rollover cost for Nifty futures was 45 basis points compared to 37 basis points in the previous expiry. Higher rollover in Nifty futures along with increased rollover cost indicates bullishness for the next series.