Monday, May 17, 2010

Markets Today - 17/5/2010 - Analysed - Disclaimer Post Applies !

Volatility approaching its resistance, reduction in Nifty discount with increase in open interest and heavy put writing below 5,000 levels indicates market bottoming out at current levels. However, we see market to trade in a range of 5,000 and 5,300 for May series. Strategy to be adopted by traders remains the same to Sell in rally and Buy at dips.  

Option Analysis
·         Call Writing: More than ~10 lakh shares were added at 5100CE and 5000CE strike prices. ~40% of total call current month open interest outstanding observed at 5200CE and 5300CE with higher at 5300CE.
·         Put Writing: On the other hand, shedding was seen at in-the-money strike prices with fresh writing at lower levels. Major unwinding of ~10 lakh was witnessed at 5200PE and 5100Pe strike prices. ~48% of total put concentration observed below 5000PE to 4700PE strike prices with major at 5000PE.
Implications: Heavy call writing at higher levels with put shedding indicates less upside to be seen from current levels. However, fresh put writing with majority outstanding open interest below 5,000 levels indicates strong support at lower levels. So, we expect market to trade in narrow range of 5,000 and 5,200 for next few trading sessions.    
FIIs and DIIs activity in capital market segment
·         FIIs were net sellers of Rs 1,224 crore with Gross buyers of Rs 1,653 crore and Gross Sellers of Rs 2,877 crore.
·         DIIs were net buyers of Rs 382 crore with Gross buyers of Rs 1,407 crore and Gross sellers of Rs 1,025 crore.
India VIX (Inverse relationship between Nifty and Indian VIX)
·         Volatility for 15th May, 2010 close at 27.15 which is 2.41% higher as compared to previous close, after touching an intraday high of 29.35 and low of 27.
Implications: Volatility, as mentioned before is moving upward. We expect volatility to move up to 30 odd levels which would have negative impact on Nifty.  

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