F&O Watch: Volatility likely to continue

Nifty discount reduced from yesterday's 30-35 points to 20-25 points today.  Annualized Cost of Carry (COC) of Nifty June futures is negative 16.90% against negative 18.28% the previous day.

Over 20 lakh shares were added in Nifty June futures with decrease in discount from 30-35 points to 20-25 points during the day but got entirely squared off by the end of session. 

Open Interest (OI) has further decreased significantly in majority of stock futures indicating continuous unwinding of positions by players.

The implied volatility of Nifty also shot up today indicating existence of high uncertainty. Thus, the markets are expected to continue depicting high volatility and remain weak, since the CoC of many heavyweight stocks has also turned negative yesterday.

PCR of Nifty further dipped to 0.61 against 0.64 the previous day as the call options have added over 6 lakh shares (+6.8%) whereas the put options also have seen marginal addition of one lakh shares (+1.8%).