Nifty December future is trading at a premium of ~9 point with spot. More of call writing than put at higher levels indicates some weakness at current levels as Nifty is not able to sustain above 6,050 levels. Also on account of call concentration and major put writing at 6,000 we expect this level to act as a stiff resistance as well as support and above that 6,100. The downside however is limited to 5,900 on account of more put concentration than call and below that 5,800 (put concentration).
Option Analysis:
· Call writing: Major writing was witnessed at out-of-money strikes and shedding at in-the-money strikes. Major writing was seen between 6,300 CE and 6,000 CE where the total outstanding open interest added was 17.8 lakh shares. Major concentration is observed at 6,000 strike price of 70 lakh shares.
· Put Writing: On the other hand, major put writing was witnessed between 6,100 PE and 6,000 PE where the total outstanding open interest added was 10.8 lakh shares. Concentration is seen at 5,800 PE of 68.8 lakh shares.
Implications: More of call writing than put at higher levels indicates some weakness at current levels as Nifty is not able to sustain above 6,050 levels. Also on account of call concentration and major put writing at 6,000 we expect this level to act as a stiff resistance as well as support and above that 6,100. The downside however is limited to 5,900 on account of more put concentration than call and below that 5,800 (put concentration).
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 4th December, 2010 close at 19.3 which is 4% higher as compared to previous close, after touching an intraday high of 19.37 and low of 17.46.
Put Call Ratio across Active Strike Price – December Series
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