The Nifty failed to build on its strong opening and closed in the red for two consecutive sessions on profit-booking at higher levels.
The September futures fell below the support level to close at 5,998 from the intraday high of 6,075 while October futures maintained their lower level support and closed at 6,020.
Market players expect selling pressure to continue on the derivatives expiry day as the Nifty has closed below the crucial support level of 6,000.
The trading in Nifty options and open interest build-up in the 6,000-strike call and put options hint at derivatives expiring at 5,980.
The market picture chart, which provides insight into where the fair value is and who is controlling the market, is hinting at a level of 5,964 and volume-based support at 5,956. The Nifty futures saw 75 per cent time-price opportunity (TPO) periods at index levels between 6,026 and 6,075, signaling resistance levels.
Top traders sold futures in the initial balance range (the first two TPO time periods) of 6,026-6,075, principally established by the liquidity providers. This means resistance for the Nifty above 6,026 tomorrow. The market may see continuation of selling pressure tomorrow as the Nifty closed below 6,004, the lower end of the value area, with 20 per cent sell-side volume coming from top traders.
The September futures, on the penultimate day of the expiry, holds open interest of 15.81 million shares, modestly lower compared to the 16.54 million shares during the same time in the August series. The open interest build-up in October series is at a significantly higher premium but lower at 22.66 million shares compared to 23.30 million shares the same time in the September series. This means participants have booked profit in the September series and built long positions in the October series.