We expect the markets to trade in a narrow range where the upside is capped at 5,500 and downside is limited to 5,400 on the Nifty. However, for range for August series on account of concentration is 5,600 and 5,300.
Option Analysis:
· Call writing: In today’s trading session maximum shedding was witnessed at 5,400 strike of 1.66 lakh contracts and fresh writing was seen at 5,700 of 2.53 lakhs contracts. Concentration is observed at 5,600 CE of 85 lakh contracts.
· Put Writing: On the other hand, fresh writing in puts was witnessed across strikes. Major addition was seen at 5,400 PE of 6.87 lakh contracts. Concentration is observed at 5,300 PE of 97 lakh contracts.
Implications: Call shedding at lower levels and strong put writing at 5,400 levels indicates limited downside for the markets but we do not expect major upside also on account of strong call concentration at 5,500. So expect market to trade in a narrow range of 5,500 and 5,400 for next few trading sessions and wide range of 5,600 and 5,300 for August expiry.
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 6th August, 2010 close at 17 which is 2.13% lower as compared to previous close, after touching an intraday high of 17.92 and low of 16.87.
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