Positive move of today’s trading sessions can be viewed as positive and momentum to be continue on back of a) Current month PCR expanded to 1.36 from 1.28,b) call shedding at 6,000 and fresh writing at 6,100, c) huge put writing at lower levels and d) futures quoting at premium. This was consecutive third trading sessions where put writing was more than call writing on overall basis. In last 3 trading sessions, 5,900 PE added open interest of 28 lacs shares which implies that market will take strong support for intermediate time and 6,100 to act as resistance because it added ~13 lacs shares in following period. However, We still maintain our view that December expiry to settle between 5,800 to 6,000.
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 21st December, 2010 close at 19.8 which is 4.9% lower as compared to previous close, after touching an intraday high of 20.8 and low of 18.9
Implications: For last 3-4 months, Indian VIX is trading near to its support. So, We expect volatility to increase going forward which will lead some correction in market because it has inverse correlations.
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