Resistance seen at 4,400-4,500

Options traders were wary of paying a premium to out-of-money (OTM) calls though premiums were lower by 12 per cent on an annualised basis over the same time last year. No wonder few calls were sold. Open Interest (OI) in the four OTM calls (4,400-4,700 strikes) of the June series were at 3.31 million shares compared to 6.94 million shares in the OTM calls (3,500-3,800) of the May series on the expiry of the April series.

The build-up in calls OI suggest that the Nifty has strong resistance around 4,400-4,500 levels. On the basis of OI in puts, support is seen at 4,200, 4,100 and 4,000 levels. OI in these options of the June series are significantly high. This means the Nifty is likely to be volatile above 4,500 and may trade in the range of 4,000-4,500 in the run up to the budget session.

Volumes on the futures & options (F&O) segment on the expiry day suggest that traders were wary of a fresh build-up. The Nifty futures volumes were lower by one million contracts (one contract is of 50 shares) compared to 1.26 and 1.38 million contracts on the expiry day of the April and March series. Volumes in the Nifty options were lower by almost 30,000-60,000 contracts.

The Nifty June futures carries an OI of 26.9 million shares, which is lower by 9 million shares compared to rollovers in the May series. This indicates no short rollover has been done and that should lead to a steady opening in the case of firm global cues. Bears will try to sabotage the 666-point rally in the Nifty since May 15, and will build up fresh short positions above 4,500.