Wednesday, August 25, 2010

Markets Today - 25/08/2010 - Disclaimer Post Applies

Nifty August series is trading at a premium to spot. Tomorrow being expiry we expect Nifty to expire between 5,500 on upside on account of more of call concentration than puts and 5,400 on downside on account of more put concentration than call and below that 5,350 to act as a strong support in worst case scenario. The wide range for September series on account of concentration is 5,600 and 5,400.

Option Analysis:
·         Call writing: In August series, major call concentration is witnessed at 5,600 CE of 97 lakh shares and fresh writing was seen at 5,500 CE of 10 lakh shares. In September series, maximum writing and concentration is seen at 5,600 PE of 59 lakh shares.

·         Put Writing: On the other hand, in August series major concentration in puts is observed at 5,300 and 5,400 of 125 lakh shares and 120 lakh shares respectively along with fresh writing witnessed at 5,300 PE and major shedding at 5,500 PE. However, in September series concentration is being witnessed at 5,400 PE of 64 lakh shares.
Implications: On back of concentration we expect August series to expire between 5,600 on the upside and 5,300 on downside. The wide range for September series on account of concentration is 5,600 and 5,400.
FIIs and DIIs activity in capital market segment
·         FIIs were net sellers of Rs 364 crore with Gross buyers of Rs 2,379 crore and Gross Sellers of Rs 2,744 crore.
·         DIIs were net sellers of Rs 266 crore with Gross buyers of Rs 1,159 crore and Gross sellers of Rs 1,159 crore.

India VIX (Inverse relationship between Nifty and Indian VIX)
·         Volatility for 25th August, 2010 close at 18.92 which is 11.36% higher as compared to previous close, after touching an intraday high of 19.35 and low of 15.40.
Implications: Indian VIX surged ~11% in today’s trading session and touched an intraday high of ~19%. We expect it to move upwards and are Bullish on the same which would have negative impact on Nifty.

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