Deploy Modified Put Butterfly strategy in Nifty
The upcoming week can be approached with a low-risk strategy like Modified Put Butterfly in Nifty.
Research by Quantsapp Advisory, SEBI-registered research analyst (Reg. No. INH000006332)
Modified Put Butterfly Strategy
Shubham Agarwal
Nifty October futures closed the week around 19,714, losing -0.55 percent, and gyrated between 19,884 —19,610. On an OI (Open Interest) basis, the index decreased with OI increasing, suggesting short built-up.
On the other hand, Bank Nifty October Futures closed negative for the week around 44,865 and ranged between 45,262 and 44,491. Overall, Bank Nifty ended the week negative, losing about 0.27 percent.
Further diving into the Nifty’s upcoming weekly expiry, the immediate resistance stands at 19,800 levels for the index, where nearly 87.34 lakh shares is the open interest of CE options. This will be followed by vital resistance at 20,200 levels where about 61.38 lakh shares of CE options is the open interest.
On the lower side immediate support level is at 19,600 where nearly 76.87 lakh shares is the PE options open interest followed by 19,500 where nearly 66.64 lakh shares is the PE options open interest.
Looking at the Bank Nifty upcoming weekly expiry data, on the upside, the index’s immediate and vital resistance is at 45,000 where nearly 26.29 lakh shares is the CE open interest. Meanwhile, on the lower side, immediate and vital support is at 44500 PE, about 27.04 lakh shares, which is the PE open interest.
India VIX, or the fear gauge index, increased to 11.41 over a week-to-week basis from 10.66. Further, any uptick in India VIX could accentuate the downward move in Nifty and vice versa.
Looking at the sentimental indicator, Nifty OI PCR for the week has increased to 1.03 from 0.93. Bank Nifty OIPCR over the week increased to 0.90 from 0.705 compared to last Friday.
Overall data indicates PE writers were less aggressive than CE writers in Nifty.
Moving further to the weekly contribution of sectors to Nifty; IT and FMCG contributed negatively by -119.22 and -34.72 points, respectively. Private Bank contributed negatively to Nifty by -11.53 points. Oil & Gas and PSU Bank contributed to Nifty by about -13.73 and -1.49 points, respectively. Capital Goods contributed positively to Nifty by +25.12 points, Pharma contributed positively by +8.71 points, NBFC contributed positively by +12.38 points and Power contributed positively by +14.80 points.
Nifty monthly rollover stands at 68.80 percent in the September to October series expiry while Bank Nifty rollover stands at 82.29 percent in the September to October series expiry.
Ramco Cements has the highest stock-wise rollover of 95.93 percent, followed by Mpahsis and Laurus Lab with rollover standing at 94.57 percent and 94.51 percent respectively. Meanwhile, ONGC has the lowest rollover of 47.45 percent followed by Indiabulls Housing Finance and Cipla with rollover standing at 53.88 percent and 54.01 percent respectively.
Looking towards the top gainer & loser stocks of the week in the F&O segment, MCX topped by gaining over 15.20 percent, followed by Dixon Technologies at 10.20 percent and RBL Bank at 8.60 percent. On the other hand, Delta Corp lost 18.70 percent, Navin Fluorine dipped over -15.10 percent and Berger Paints tumbled 8.20 percent over the week.
The upcoming week can be approached with a low-risk strategy like Modified Put Butterfly in Nifty.
This trade idea was published on 3 Oct 2023 by Shubham Agarwal for Quantsapp Advisory, a SEBI-registered research analyst (Reg. No. INH000006332) and an independent proprietorship, not Quantsapp Private Limited. It reflects the market on that date and is not a current recommendation.
First published on 3 Oct 2023: prices, lot sizes and expiries are those of that time. They are illustrations for education only, not investment advice. Derivatives trading carries risk; read all scheme and risk documents before trading.