Monday, September 20, 2010

Markets Today - 20/09/2010 - Disclaimer Post Applies

Nifty future trading at a premium to spot, higher put writing at 5,900 along with increase in PCR indicates this level to act as intermediate support. Whereas we believe 6,000 to act as crucial level on account of more call concentration than put and more of put writing at this level.

Option Analysis:
·         Call writing: Maximum call shedding was witnessed at 5,700 CE of 17.14 lakh shares and major writing at 6,100 CE of 18.4 lakh shares. Concentration has shifted from 5,700 CE to 5,800 call where the total outstanding open interest is 52.48 lakh shares.

·         Put Writing: On the other hand, major shedding was observed at 5,600 PE and 5,500 PE of 13.53 lakh and 10.48 lakh shares whereas writing was witnessed at between 6,000 and 5,800 strike with maximum at 5,900 PE. Concentration is observed at 5,400 PE of 111 lakh shares.

Implications: Major Put writing at 5,900 along with increase in PCR indicates Nifty has intermediate support at this level. However, Nifty faces major resistance at higher levels on account of low put writing and expect that 6,000 to act as crucial level on the upside.

FIIs and DIIs activity in capital market segment
·         FIIs were net buyers of Rs 1,792 crore with Gross buyers of Rs 4,532 crore and Gross Sellers of Rs 2,739 crore.
·         DIIs were net sellers of Rs 457 crore with Gross buyers of Rs 1,157 crore and Gross sellers of Rs 1,615 crore.

India VIX (Inverse relationship between Nifty and Indian VIX)
·         Volatility for 17th September, 2010 close at 19.49 which is 12.62% higher as compared to previous close, after touching an intraday high of 21.97 and low of 17.85.
Implications: Indian VIX made a high of 21.97 in today’s trading session after mid July and thereby closed near the high. We expect it to move upwards and are Bullish on the same which would have negative impact on Nifty.

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