Nifty future trading at a premium to spot, shift in call concentration at 6,100 and higher put writing and concentration at 6,000 along with increase in PCR indicates this level to act as intermediate support and below that 5,900. We believe the upside is capped at 6,100 and the downside to be limited to 5,850 for September expiry.
Option Analysis:
· Call writing: Maximum call shedding was witnessed at 5,800 CE of 10.39 lakh shares and major writing at 6,100 CE of 12.29 lakh shares. Concentration has shifted from 5,800 CE to 6,100 call where the total outstanding open interest is 48.35 lakh shares.
· Put Writing: On the other hand, shedding was observed at and below 5,800 strike price whereas major writing was witnessed at 6,000 PE and 5,900 PE of 20.55 lakh and 12.65 lakh shares. Concentration is observed at 5,400 PE of 111 lakh shares.
Implications: Shift in call concentration at higher level along with major Put writing and concentration at 6,000 along with increase in PCR at 6,000 strike indicates Nifty has intermediate support at this level and below that 5,900. However, Nifty faces major resistance at higher levels on account of low put writing and expect that 6,000 to act as crucial level. The range for expiry would be 6,100 on the upside and 5,850 on the downside.
India VIX
· Volatility for 21st September, 2010 close at 22.63 which is 3.1% higher as compared to previous close, after touching an intraday high of 24.3 and low of 20.94.
Implications: Indian VIX as expected is moving upwards and made a new high in today’s trading session after mid July. We expect it to move upwards and are Bullish on the same.
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