Implications: Nifty futures trading at a premium to spot, shedding of calls across all strikes and put writing at 5,300 indicates markets to trade in a range and expect it to settle between 5,400 and 5,200 levels for June expiry with volatility trading at its support level.
Option Analysis
· Call Writing: Shedding was witnessed across all strike prices with majority at 5,300 and 5,200 of 13.36 lakh shares and 19.30 lakh shares respectively and fresh majority writing at 5,400 of 14.60 lakh shares. Concentration has shifted from 5,300 to 5,400 strike price.
· Put Writing: Major writing was witnessed at 5,300 strike price of ~33 lakh shares whereas major shedding of ~10.5 lakh shares was observed at 5,100 strike price. Concentration observed at 4,800 and 5,200 strike prices.
July Series: In calls, major activity was witnessed at 5,400 strike price which added 6.9 lakh shares in open interest. On the other hand in puts, major writing was witnessed at 5,300 strike price of 9.96 lakh shares. Major concentration of call observed at 5,400 and put at 5,000.
Implications: Shedding of calls across all strike prices along with shift in call concentration at 5,400 and fresh put writing at 5,300 indicates upside momentum to continue by maintaining 5,200 as a strong support. We expect Nifty to rise further till 5,400 levels with support at 5,200.
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 21st June, 2010 close at 19.41 which is 2.76% lower as compared to previous close, after touching an intraday high of 21.19 and low of 18.32.
Implications: Indian VIX plunged for today’s trading session and is trading at its support level. We expect volatility to move up and are “Bullish” on the same.
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