Tuesday, September 7, 2010

Markets Today - 7/09/2010 - Disclaimer Post Applies

: Nifty is trading at a discount to spot. Call shedding at lower strike  for second consecutive day and continuous put writing at 5,600 and 5,500 levels implies markets to take support at lower levels. Thus, we expect the downside to be restricted to 5,500 for intermediate term and 5,400 for the series on account of concentration whereas the upside is capped at 5,700 on account of concentration.

Option Analysis:
·         Call writing: Consecutive second trading day of shedding witnessed at in-the-money strike prices. Major shedding was seen at 5,600 CE of 4.63 lakh shares and writing at 5,700 CE and 5,800 CE of 3.51 lakh and 3.14 lakhs shares. Concentration is observed at 5,700 CE of 118.9 lakh shares.

·         Put Writing: On the other hand, consecutive third trading session of major writing witnessed at 5,600 PE and 5,500 PE of 23 lakh and 10.3 lakh shares. Concentration is observed at 5,400 PE of 123 lakh shares.

Implications: Call shedding and put writing at lower levels indicates limited downside. Thus, by observing concentration levels, we expect September series to settle between 5,400 at lower end and 5,700 at higher end.
FIIs and DIIs activity in capital market segment
·         FIIs were net seller of Rs 20 crore with Gross buyers of Rs 2,466 crore and Gross Sellers of Rs 2,487 crore.
·         DIIs were net buyers of Rs 441 crore with Gross buyers of Rs 1,780 crore and Gross sellers of Rs 1,339 crore.

India VIX (Inverse relationship between Nifty and Indian VIX)
·         Volatility for 7th September, 2010 close at 15.83 which is 4% higher as compared to previous close, after touching an intraday high of 16 and low of 14.35.
Implications: Indian VIX is trading at its support and we expect it to move upwards and are Bullish on the same which would have negative impact on Nifty.

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