Thursday, December 9, 2010

Markets Today - 08/11/2010 - Disclaimer Post Applies

Nifty December future is trading at a premium of ~20 point with spot. Higher activity in call than put and shedding in put options across strike prices indicates some selling pressure to be observed at higher levels. We expect small support at 5,900 on account of more put concentration than call and below that 5,800 (put concentration). However the upside is restricted at 6,000 on account of major call writing and concentration indicating Nifty facing difficulty in sustaining higher levels. 

Option Analysis:
·         Call writing: Major writing was witnessed at 6,000 CE of 14.62 lakh shares. 5,900 CE and 6,100 CE added 6.25 lakh and 4.18 lakh shares. Major concentration is observed at 6,000 strike price of 86 lakh shares.   

·         Put Writing: On the other hand, shedding in puts was witnessed across strike prices. Major put shedding was witnessed at 5,900 PE and 6,000 PE of 8.79 lakh and 7.64 lakh shares. Concentration is seen at 5,800 PE of 66.3 lakh shares.

Implications: Higher activity in call than put and shedding in put options across strike prices indicates some selling pressure to be observed at higher levels. We expect small support at 5,900 on account of more put concentration than call and below that 5,800 (put concentration). However the upside is restricted at 6,000 on account of major call writing and concentration indicating Nifty facing difficulty in sustaining higher levels.

FIIs and DIIs activity in capital market segment
·         FIIs were net sellers of Rs 1,484 crore with Gross buyers of Rs 2,383 crore and Gross Sellers of Rs 3,868 crore.
·         DIIs were net buyers of Rs 409 crore with Gross buyers of Rs 1,662 crore and Gross sellers of Rs 1,253 crore.
India VIX (Inverse relationship between Nifty and Indian VIX)
·         Volatility for 8th December, 2010 close at 20.4 which is 6% higher as compared to previous close, after touching an intraday high of 20.95 and low of 18.21.

No comments:

Post a Comment