INDIA OPTIONS WRAP: VIX Drops to Six-Week Low While Nifty Jumps

India’s VIX -2.8% to 16.66 on May 29, lowest since April 20, vs 3-mo. avg of 16.37.

  • Nifty put/call open interest ratio 1.02, lowest since May 29, vs 3-mo. avg 0.98
  • Bank Nifty ATM implied volatility 24.6% vs 3-mo. avg 22.5%
  • Foreigners buy net $599.2m of index futures
  • Foreigners buy $425.2m of index options
  • Foreigners sell $196m of stk futures
  • Foreigners buy $15.4m of stk options
  • Foreigners buy $26.7m of stks on May 28; YTD net purchases $6.8b
  • CNX Nifty futures OI 652,234 contracts; SGX Nifty 369,936 contracts
  • Total Nifty futures OI -11.3% to 1.02m contracts
  • Total Bank Nifty futures OI -35.5% to 67,135 contracts
  • Highest OI on Nifty: 8,000 puts, 8,800 calls
  • Biggest increase in Nifty OI: 7,400 puts, 8,300 calls

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