Nifty futures trading at premium to spot. Major put writing at 5,200 thus to act as major support for intermediate term and maximum call writing at higher levels. So, we believe markets to trade in a narrow range where the upside is capped at 5,300 for intermediate term and 5,400 for July series. The strategy a trader can adopt is to sell 5,400 CE and 5,000 PE and hold till expiry
Option Analysis
· Call Writing: In this week, more activity was seen at higher strike prices with majority combined build up in open interest observed at 5,500 and 5,400 strike prices of 22 lakh shares and 20 lakh shares respectively. Concentration of open interest is observed at 5,500 of 74.80 lakh shares.
· Put Writing: On other hand, major writing was observed at lower levels with maximum between 5,200 and 5,000 where the combined open interest build up is 61.97 lakh shares. July series concentration observed at 5,200 of 82.55 lakh shares.
Implications: Higher activity in out-of-money call strike prices and put strike prices indicates less possibility for any major upside or downside movement. However, on account of concentration the upside is capped at 5,300 levels and above that 5,400 whereas the downside is limited to 5,200 levels and below that 5,100.
FIIs and DIIs activity in capital market segment
· FIIs were net sellers of Rs 305 crore with Gross buyers of Rs 1,809 crore and Gross Sellers of Rs 2,114 crore.
· DIIs were net sellers of Rs 26 crore with Gross buyers of Rs 1,019 crore and Gross sellers of Rs 992 crore.
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 2nd July, 2010 close at 21.90 which is 2.15% higher as compared to previous close, after touching an intraday high of 21.91 and low of 20.78.
Implications: Indian VIX as expected is moving upwards from its support. We are “Bullish” on the same which would have a negative impact on Nifty.
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