Tuesday, September 28, 2010

Markets Today - 28/09/2010 - Disclaimer Post Applies

Nifty future is trading at a premium to September future. The upside is capped at 6,100 and on the downside 6,000 to act as a support on account of more put concentration than call and 5,900 in worst case scenario..

Option Analysis:
·         Call writing: In September series, major call concentration is witnessed at 6,100 CE of 74 lakh shares and along with fresh writing of 3.55 lakh shares. In October series, maximum writing and concentration is seen at 6,000 PE where the total outstanding open interest is 30.8 lakh shares.

·         Put Writing: On the other hand, in September series, call concentration is witnessed at 5,400 PE and 6,000 PE of 97.65 lakh and 82.9 lakh shares and fresh addition seen at 6,100 PE of 12.85 lakh shares. In October series, maximum concentration is seen at 5,800 PE where the total outstanding open interest is 30 lakh shares.

Implications: In September series, shedding is seen across strike prices in calls with major concentration at 6,100 CE whereas  put concentration is being witnessed at 6,000 PE. Thus we expect Nifty to expire between 6,100 and 6,000 on account of concentration and below that 5,900 in worst case scenario.

FIIs and DIIs activity in capital market segment
·         FIIs were net buyers of Rs 573 crore with Gross buyers of Rs 3,339 crore and Gross Sellers of Rs 2,766 crore.
·         DIIs were net sellers of Rs 905 crore with Gross buyers of Rs 1,087 crore and Gross sellers of Rs 1,993 crore.

India VIX
·         Volatility for 28th September, 2010 close at 21.2 which is 5% lower as compared to previous close, after touching an intraday high of 22.42 and low of 20.85.
Implications: Indian VIX plunged in today’s trading session. We expect it to move upwards and we are Bullish on the same.

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