Nifty future trading at a premium from steep discount, higher put writing than call at higher levels indicates markets gaining strength at current levels. Thus, we see market to trade above 5,600 for intermediate term.
Option Analysis:
· Call writing: In today’s trading session, call shedding was witnessed at in-the-money strikes and writing at higher strikes. Major shedding was seen at 5,700 CE and 5,600 CE of 28 lakh and 22.75 lakh shares and writing at 5,800 CE and 5,900 CE of 16.5 lakh and 15.9 lakh shares respectively. Concentration is observed at 5,700 CE of 91.4 lakh shares.
· Put Writing: On the other hand, major writing was observed at 5,800 PE and 5,700 PE of 34 lakh and 38 lakh shares. Concentration is observed at 5,400 PE of 125 lakh shares.
Implications: For last few trading sessions, we have observed more of Put writing than call writing indicating strong support at lower levels. So expect market take strong support at 5,600 levels for intermediate term and below that 5,500.
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 13th September, 2010 close at 18.14 which is 13.94% higher as compared to previous close, after touching an intraday high of 18.23 and low of 14.88.
Implications: Indian VIX traded in a wide range in today’s trading session and thereby closed 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.
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