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Hedge Nifty positions by deploying Bear Put Spread: Shubham Agarwal

Bear Put spread is a moderately bearish strategy. The strategy is built by Buying a Put close to the current market price of the underlying and selling same expiry Put but of a strike lower than the Put bought.

June 29, 2020 / 07:56 AM IST
Nifty50

Nifty50

Shubham Agarwal

There was a super-end to June expiry with a lot of gains and very few losses. It all started well and, suddenly the mid-week, a drop from the highest point of the week pushed Nifty negative territories for the week in just two sessions. Call it expiry week volatility but markets picked up leading Nifty to close the June expiry on June 25 with almost 9 percent gains for the June expiry if we consider the front month futures.

Bank Nifty took more or less the same path. After continuing outperformance for a couple of weeks this week net gains for the week for both Nifty and Bank Nifty were almost the same at little over a percent. Bank Nifty however did fairly well for the June expiry as the previous outperformance led the index to post over 12 percent gains for June expiry in front month futures.

On the open Interest front, Nifty had a decent Long-Long Unwinding run for first few sessions of June expiry, however a couple of bit short sessions in the second half mixed the whole ongoing long bias. As a result, we ended up with a mix of longs and shorts to be rolled forward. There was definitely higher OI to be rolled and that too at the rate of 79 percent, almost 8 percent higher resulted in increment of almost 14% in OI expiry over expiry.