Wednesday, July 7, 2010

Market Today - 6/7/2010 - Disclaimer Post applies

Major call writing at higher strikes with shedding witnessed at 5,300 levels indicates Nifty could move further towards 5,400 facing stiff resistance at every level on account of major call writing at higher levels. So, we believe markets to trade in a narrow range where the upside is capped at 5,400 and the downside is limited to 5,200.

Option Analysis
·         Call Writing: In today’s trading session, writing was witnessed at higher strikes with majority at 5,500 and 5,400 strike price of 3.48 lakh shares and 4.83 lakh shares respectively whereas shedding at lower strikes with majority at 5,300 strike of 3 lakh shares. Concentration of open interest is observed at 5,500 of 81.75 lakh shares.
·         Put Writing: On other hand, major writing was observed at out-of-the-money strikes with maximum at 4,900 and 4,800 strike prices of 4.49 lakh shares and 6.23 lakh shares. July series concentration observed at 5,200 of 84.13 lakh shares.
Implications: Higher activity in out-of-money call strike prices, with shedding witnessed at 5,300 indicates Nifty could move further till 5,400 with strong support at 5,200 on account of put concentration. However we expect to Nifty to trade in narrow range of 5,400 to 5,200 with limited upside bias on account of less put writing at higher level.
FIIs and DIIs activity in capital market segment
·         FIIs were net buyers of Rs 342 crore with Gross buyers of Rs 1,919 crore and Gross Sellers of Rs 1,577 crore.
·         DIIs were net sellers of Rs 84 crore with Gross buyers of Rs 934 crore and Gross sellers of Rs 1,018 crore.
India VIX (Inverse relationship between Nifty and Indian VIX)
·         Volatility for 6th July, 2010 close at 20.90 which is 4.96% lower as compared to previous close, after touching an intraday high of 22.37 and low of 20.76.
Implications: Indian VIX after surging till 22 levels, closed at the low. We are “Bullish” on the same and expect it to move upwards which would have a negative impact on Nifty.

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