Nifty future discount decreased from 7 to 0.75 points, and higher put writing than call indicates markets gaining strength at current levels. So, we see market to trade above 5,200 but below 5,300 for intermediate period. The range for May series would remain the same as 5,000 and 5,300. Strategy to be adopted by traders – Sell 5,300 CE option at higher levels (5,250-5,300) and Buy PE options of 5,200 strike prices.
Option Analysis
· Call Writing: Major activity was observed at out-of-money strike prices (above 5,200). In today’s trading session, fresh addition was witnessed at 5,300 and 5,200 strike prices of 5 lakh and 4 lakh shares respectively. Major concentration of open interest has shifted from 5,300 to 5,400.
· Put Writing: In today’s trading session, major fresh writing was observed at in-the-money strike prices. Higher fresh addition of open interest was observed at 5,300 of 9.27 lakh shares. Major concentration of open interest seen at 5,000 of ~87 lakh shares.
Implications: Shifting of concentration in call option and fresh writing of put at 5,200 indicates market gaining strength at current levels and setting for an up move. However, we see upside capped for the May expiry to 5,300 and downside to 5,000.
FIIs and DIIs activity in capital market segment
· FIIs were net sellers of Rs 15 crore with Gross buyers of Rs 2,326 crore and Gross Sellers of Rs 2,377 crore.
· DIIs were net buyers of Rs 180 crore with Gross buyers of Rs 1,338 crore and Gross sellers of Rs 1,115 crore.
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 13th May, 2010 close at 24.85 which is 3.72% lower as compared to previous close, after touching an intraday high of 25 and low of 24.85.
Implications: After touching the high of 26 day before Nifty rebounded in today’s trading session. We maintain our positive bias on VIX and expect it to increase to 30 odd levels.
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