India’s benchmark gauge of option costs jumped the most in seven weeks as stocks declined amid concern Greece will leave the euro region. Demand for protection against swings in Infosys Ltd. surged to a two-month high.
The India VIX Index rallied 9.8 percent to 17.30 at the close in Mumbai Monday, the steepest gain since May 12. The CNX Nifty index fell 0.8 percent to 8,318.40, its biggest drop in two weeks. At-the-money option costs in Infosys, the nation’s second-largest software developer, rose to 34.5, the highest since April 23, data available at 4:21 p.m. local time show.
Demand for options to protect against market fluctuations increased as Greece’s decision to shut its banks until at least July 6 and impose capital controls roiled global markets on Monday. The Shanghai Composite Index sank 3.3 percent Monday, entering a bear market even as the government boosted stimulus.
“We expect volatility to remain elevated in the near term,” Sanjiv Bhasin, executive vice president at India Infoline Ltd., said in a phone interview from New Delhi. “We don’t expect the Nifty to fall below its support of 8,150. We advise clients to use this as an opportunity to buy, as the Greece problem will get solved.”
Nifty 7,900 puts and 8,500 calls were the most popular by the number of outstanding contracts. Open interest in Nifty options increased rose to 3.66 million contracts from 3.33 million at Friday’s close.
Infosys call options with a strike price of 1,000 rupees, and 900-rupee puts, had the highest open interest. Its shares dropped 1.5 percent to 990.15 rupees, a two-week low.