Nifty trading at premium to spot, maximum call concentration than puts at higher levels and major put concentration than calls at lower levels indicates Nifty to trade in a narrow range of 5,500 and 5,400 for near term. However, the range for August series is 5,600 and 5,300 on account of concentration.
Option Analysis:
· Call writing: During the week, shedding was seen at lower strikes. Maximum writing was witnessed between 5,700 CE and 5,500 CE where the open interest added is 40.7 lakh shares with maximum at 5,600 CE of 18 lakh shares. Concentration is observed at 5,600 CE of 86 lakh shares.
· Put Writing: On the other hand, fresh writing in puts was witnessed across strikes. Maximum writing was witnessed between 5,500 PE and 5,100 PE where the open interest added is ~109 lakh shares with maximum at 5,400 PE of 34 lakh shares. Concentration is observed at 5,300 PE of 99 lakh shares.
Implications: Maximum put writing witnessed during the week indicates Nifty taking strong support at lower levels with 5,400 acting for the intermediate term. On the other hand, upside is capped at 5,500 for near term on account of more call concentration than puts. However the wide range of Nifty for August series is 5,600 and 5,300 on account of concentration.
FIIs and DIIs activity in capital market segment
· FIIs were net buyers of Rs 665 crore with Gross buyers of Rs 2,669 crore and Gross Sellers of Rs 2,004 crore.
· DIIs were net sellers of Rs 340 crore with Gross buyers of Rs 954 crore and Gross sellers of Rs 1,295 crore.
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 6th August, 2010 close at 17.37 which is 1.92% higher as compared to previous close, after touching an intraday high of 17.71 and low of 16.63.
Implications: Indian VIX traded in a range in today’s trading session and closed almost near the high. We expect it to move upwards and are Bullish on the same which would have negative effect on Nifty.
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