Nifty future is trading at a premium of ~30 points to October future. We expect 6,000 to act as a strong support on downside (maximum put concentration). However on account of more of call concentration, 6,200 level would act as a strong resistance and above that 6,300 for October expiry. Thus the range for October expiry is 6,300 on the upside and 6,000 on the downside.
Option Analysis:
· Call writing: In October series, major call concentration is witnessed at 6,300 CE of 81 lakh shares along with fresh writing of 3.28 lakh shares. In November series, maximum writing and concentration is seen at 6,200 CE where the total outstanding open interest is 23.88 lakh shares.
· Put Writing: On the other hand, in October series, put concentration is witnessed at 6,000 PE of 80 lakh shares and major writing at 6,200 PE of 6.78 lakh shares. In November series, maximum concentration is seen at 5,800 PE and 6,000 PE of 23.75 lakh and 22.85 lakh shares respectively.
Implications: In October series, more of call concentration than put at 6,200 indicates this level to act as a resistance and above that 6,300 for expiry on account of maximum call concentration. However the downside is limited to 6,000 on basis of major put concentration since the start of October expiry.
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 25th October, 2010 close at 21.4 which is 1.16% lower as compared to previous close, after touching an intraday high of 22 and low of 20.64.
Implications: Indian VIX plunged for consecutive third trading. We expect it to move upwards and we are Bullish on the same which would have negative impact on Nifty.
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