Derivatives Analysis Report:  Volatility Fades, Puts Build Support as Nifty Eyes Channel Breakout

MUMBAI, 6 OCTOBER: Nifty ended the session at 22,776.10, up 0.98%, forming a bullish candle that closed at the day’s high. The index remains within the falling parallel channel in place since August, with today’s move pushing it up toward the channel’s upper trendline. However, Nifty stays below its 9 EMA at 22,840, keeping the broader structure capped for now.

The RSI has edged up to 36 and is rebounding from lower levels. India VIX dropped 8% to settle at 13.58, a sharp cooling in volatility that supported the recovery.

In the Derivatives segment, the heaviest Call OI remains at the 22,800 strike, while the heaviest Put OI is at 22,700. Throughout the day, Call OI was unwound across most strikes below 22,700, declining by 3.11 crore contracts in total, while Put OI increased by 6.02 crore contracts, with the bulk of the addition concentrated at 22,700. This points to short covering on the Call side contributing to the move, while Put writers built a fresh cushion just below the market. The PCR stands at 1.16.

The immediate support is placed at 22,650, followed by 22,550. On the upside, 22,900 remains the key resistance, followed by 23,000. A close above the channel’s upper trendline would strengthen the bullish setup.

Nifty Bank ended the session at 55,128.40, up 0.76%, forming a bullish candle and holding within the tight range it has built over the past few sessions. The index remains above its VWAP at 55,016 while staying just below its 9 EMA at 55,025, keeping the setup finely balanced.

The RSI has edged up to 42, still in the lower half of its range despite the bounce.

The 55,000 strike carries the heaviest OI on both sides, with Put OI well ahead of Call OI there, keeping it the key level to watch. I. the Derivatives segment, throughout the day, Calls were unwound overall, down 74,340 contracts, while Puts added 3.97 lakh, with the bulk of that addition concentrated at the 55,000 strike. This points to short covering on the Call side and fresh Put support building just below current levels. The PCR stands at 0.91.

The support is placed at 54,800, followed by 54,700. On the upside, 55,500 remains the key resistance, followed by 55,600.

The RBI will announce its latest monetary policy decision on Wednesday, October 7, and volatility could pick up around the event.

Om Mehra, Technical Research Analyst, SAMCO Securities

(Disclaimer: The information provided here is investment advice only. Investing in the markets is subject to risks and please consult your advisor before investing)

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