The penultimate day of expiry saw selling pressure continuing to weigh. For the third day in a row, the Nifty has seen support from VWAP level. However, in the last trading session, the Nifty did not see any covering like the last two trading sessions. Rollover activity picked up only in the second half of the trading session. Nifty rollover stands at 49.43 (vs. 3M average of 47.93) and market wide rollover at 61.64% (vs. 3M average of 63.39). It will be important to see if the Nifty continues to hold 5400. Any move below 5400 could send the Nifty into a downward tizzy. However, if the VWAP level continues to give support, then we may be in for expiry in the range of 5500-5550.
Options data has not changed significantly and 5400 Put continues to see highest OI of 9.75 million shares. On the Call side, 5400 Call has added over 0.4 million shares. However, 5600 Call still continues to hold highest OI of 8.67 million shares. The VWAP for the January series, which has continued to give support, is at 5428. If the rollover activity in large caps does not pick up, Nifty is likely to see a nervous expiry. However, if 5450 is held then we may see expiry in the zone of 5500-5500.
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