Friday, August 27, 2010

Markets Today - 27/08/2010 - Disclaimer Post Applies

Nifty is trading at huge premium to September series along with 5 points dividend. Higher call concentration than puts at and above 5,500 strike prices along with major put concentration than calls at and below 5,400 levels indicates markets to be range bound. Thus, we see the markets to trade in the range of 5,500 and 5,400 on the downside and 5,300 in worst case scenario.

Option Analysis:
·         Call writing: In September series, writing was seen at higher strikes. Maximum writing was witnessed at 5,400 CE of 12 lakh shares and in 5,700 CE of 9.44 lakh shares in today’s trading session.  Concentration is observed at 5,600 CE of 69.64 lakh shares.

·         Put Writing: Whereas in puts, maximum writing was witnessed between 5,100 and 4,900 and also at 5,400 strikes. Maximum writing was seen at 5,400 PE of 15.12 lakh shares. Concentration is observed at 5,400 PE of 89.59 lakh shares.
Implications: Call writing at higher levels indicates less upside to be seen from current levels. Whereas, fresh put writing at lower levels with majority at 5,400 levels indicates strong support at lower levels. So we expect the market to trade in a narrow range of 5,500 and 5,400 for few trading sessions and 5,300 in worst case scenario.
FIIs and DIIs activity in capital market segment
·         FIIs were net sellers of Rs 108 crore with Gross buyers of Rs 1,811 crore and Gross Sellers of Rs 1,919 crore.
·         DIIs were net buyers of Rs 239 crore with Gross buyers of Rs 1,206 crore and Gross sellers of Rs 966 crore.

India VIX (Inverse relationship between Nifty and Indian VIX)
·         Volatility for 27th August, 2010 close at 19.63 which is 14.86% higher as compared to previous close, after touching an intraday high of 19.63 and low of 15.28.
Implications: Indian VIX surged by 14.8% in today’s trading session and gave a closing at the high of the day. We expect it to move upwards and are Bullish on the same which would have negative impact on Nifty.

No comments:

Post a Comment