Tuesday, June 22, 2010

Markets Today - 22/6/2010 - Disclaimer Post applies

Market Snapshot for June Series – Gained of ~313 points in June series  
In June Series, Nifty has gained ~313 points or 6.3% to 5,317 points and FIIs were net were buyers in 16 trading sessions out of 17 of Rs 17,282 crore.
In today trading sessions, more call writing than put at 5,300 and 5,400 strike prices. Currently, lower end concentration is observed at 4,800 and 5,400 at higher end. We expect next 2 trading sessions to be volatile on account of positive rollover cost and June series to settle between 5,100 and 5,250.  

Rollover– Positive Rollover cost of ~13bps.
As compared to last 2 month and 6 month average, current month rollover is lower by ~400bps to ~40% on account of positive lower cost of ~0.12%. In today trading sessions, we have observed increase in fresh built of ~47 lakh which was seen in rollover increase of 13% as compared to Monday trading sessions.

Outlook for July Series
In July series, concentration of call is observed at 5,400 of ~34 lakh shares and put at 5,000 of ~33.8 lakh shares. By observing concentration, option premium, KRC derivative proprietary model and volatility, we expect next series Nifty may trade between 5,550 and 4,850.
FIIs and DIIs activity in capital market segment
·         FIIs were net buyers of Rs 975 crore with Gross buyers of Rs 2,546 crore and Gross Sellers of Rs 1,157 crore.
·         DIIs were net sellers of Rs 196 crore with Gross buyers of Rs 1,197 crore and Gross sellers of Rs 1,394 crore.
India VIX (Inverse relationship between Nifty and Indian VIX)
·         Volatility for 22nd June, 2010 close at 20.64 which is 6.34% higher as compared to previous close, after touching an intraday high of 21.44 and low of 19.88.
Implications: Indian VIX is trading at its support and thus we expect it to move up and are “Bullish” on the same.

No comments:

Post a Comment