Options/futures data for 24th Sep (EOD)

Summary:

1. Last 3 seessions have touched 6000+ and in every session are calls written @6100 and Nifty prices rejected at 6045. This makes me believe that 6100CE writers are confident bunch of writers. So as of now 6100 is the resistance

2. Action of 6000 from last two days is suggesting that bears are trying to claim 6000 and have been successful to some extent - with almost 18L calls written in last 2 days. Today there were not much 6000PEs written - so bulls are not confident about claiming 6000 yet.

3. 5900 is right now the rock solid support with 95L @5900PE vs 42L @5900CE. The problem with so high PCR that if 5900PEs are forced to cover with a sharp drop - the market doesn't have great support from 5800PEs as they are on a covering spree.

4. I still don't like 5800PEs being covered.

5. PCR reduced from 1.92 to 1.87 - but still not out of the woods yet. The high PCR is already weighing on Nifty as its struggling to close above 6000 - although lower levels are being defended.

Nifty Futures:

SEP: 3.3Cr OI down 5% (17L Shares cut from OI)

OCT: 80L OI up 13% (9.5L shares added to OI) -- Almost of 50% OI cut was profit booking. We are seeing this for last 3 days. More profit booking from SEP and less rollover to OCT.

Banknifty Futures:

SEP: 21L OI down 5.6% (1.25L shares cut)

OCT: 3.9L OI up 8.6% (0.3L shares added) -- Again profit booking in SEP and less rollover