Bank Nifty traders betting on a swing of over 700 pts | Economic Times

Mumbai: Option traders have baked in an over 2% movement eitherside in the Bank Nifty over the next few sessions, going by the provisional value of a 35,000 strike straddle — call and put option — expiring on July 8. With weekly expiry slated for Thursday, traders have purchased a July 8 expiry call and put option at the 35,000 strike for a provisional Rs 775 a share (25 shares make one Bank Nifty contract) . The value implies that Bank Nifty has to break out of a 34,225-35,775 range by the end of July 8 for them to make money. The strategy also indicates that while the traders are neutral on the direction, they expect an increase in choppiness or volatility and larger moves eitherside. 84000331The Bank Nifty has lagged the Nifty, which has surpassed its February 16 high of 15,431.75. The Bank Nifty trades below its February 16 record high of 37,708.75, having closed at 34,772.2 on June 30. "Low implied volatility has made option prices cheap and this is being exploited by traders who are playing both sides of the market,” said Rohit Srivastava, founder, IndiaCharts. The idea behind buying both call and put is that a large move either side will result in the trader raking in more than he has paid for both the options. “Jump in volatility or large move up or down will result in good gains for the trader," said Vishal Wagh, research head at Bonanza Portfolio. Among the major players, FIIs are net long cumulatively both on index calls and puts, while HNIs and corporates, known as Clients, are neutral on calls and net short on puts.