Positive Observation: Nifty futures trading at premium to spot, major put writing and concentration continuously at 5,400 thus to act as major support for September series. Negative Observation: Volatility plunged to its support level during the week, more of call writing than put writing at and above 5,500. Thus, the range for September Expiry is 5,600 and 5,400 on account of concentration.
Option Analysis:
· Call writing: During the week, maximum writing was seen between 5,700 and 5,500 where the total outstanding OI added is 78.73 lakh shares with maximum at 5,600 CE. ~43% of the total build up in OI is seen at 5,700 CE and 5,600 CE. Concentration is observed at 5,600 CE of 98.98 lakh shares.
· Put Writing: On the other hand, maximum writing in put was witnessed between 5,500 PE and 5,100 PE where the total outstanding OI added is 85.51 lakh shares with major writing seen at 5,400 PE. ~30% of the total build up in OI is seen at 5,400 PE and 5,300 PE. Concentration is observed at 5,400 PE of 11.47 lakh shares.
Implications: Put writing and concentration at 5,400 and major call writing and concentration continuously witnessed at 5,600 strike price indicates this would act as a range for September expiry.
FIIs and DIIs activity in capital market segment
· FIIs were net buyers of Rs 283 crore with Gross buyers of Rs 2,016 crore and Gross Sellers of Rs 1,733 crore.
· DIIs were net sellers of Rs 123 crore with Gross buyers of Rs 759 crore and Gross sellers of Rs 883 crore.
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 3rd September, 2010 close at 15.86 which is 1.8% lower as compared to previous close, after touching an intraday high of 16.44 and low of 15.23.
Implications: Indian VIX started the week on a strong note by making a high of 19.63. However, it could not sustain and plunged through the week making a low of 15.13 and thereby closed at 15.86 on Friday’s trading session. We expect it to move upwards and are Bullish on the same.
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