For Nifty, deploy Modified Call Butterfly spread strategy: Shubham Agarwal


Considering the positive outlook depicted by the F&O activity this week, Modified Call Butterfly is advised.

Shubham Agarwal

February 08, 2021 / 08:48 AM IST



In the budget week, the Indian market headed north. The Nifty and the  Bank Nifty gained 9 percent & 16 percent during the week. The Nifty and the  Bank Nifty touched an all-time high of 15,000 and 36,000 level on the last day of the week.

The Nifty started the week at 13,785 and closed at 14,950. On the first day, gains were nearly 4.5 percent along with the OI (Open Interest) Built up of 9.5 percent. The long build-up on the first day gave strength to the Nifty that led the upward direction for rest of the week.

Overall, the index gained more than 1,200 points (nearly 9 percent) along with the long build-up of nearly 22 percent. Similarly, the Bank Nifty gained more than 5,000 points (nearly 16.5 percent), along OI build-up of nearly 12 percent.

The Nifty option band for the weekly expiry shows broader range with higher put accumulation; 15,000 strike holds immediate vital OI. Move beyond 15,000 could see further upward momentum.

Sentimentally speaking, OIPCR has increased in the week from 0.98 to 1.4, indicating aggressiveness among Put writers. The Bank Nifty OIPCR, too, has shown aggressiveness on part of Put writers against the Call writers. The Bank Nifty’s OIPCR increased from 0.86 to 1.17.

Market participants were nervous ahed of the Budget and India VIX spike to 25.5. However, VIX did not cross the 25.5 level, which is acting as the strong resistance level. After the Budget, VIX gradually declined and closed 23.34 versus the previous close of 23.32.

Looking at the sector-specific contribution in the Nifty, all the sector chipped in. Private bank contributed nearly 500 points followed by NBFC (200 points).

Among stocks, SBI gained almost 40 percent followed by Apollo Tyres & Canara Bank (nearly 22 percent each). UPL was the biggest loser declining -4.3 percent, followed by ZEEL (-2.5 percent), ICICI Prudential (-2 percent).

Considering the the positive outlook depicted by the F&O activity, Modified Call Butterfly is advised.




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Shubham Agarwal is a CEO & Head of Research at Quantsapp Pvt. Ltd. He has been into many major kinds of market research and has been a programmer himself in Tens of programming languages. Earlier to the current position, Shubham has served for Motilal Oswal as Head of Quantitative, Technical & Derivatives Research and as a Technical Analyst at JM Financial.