In today trading sessions, open interest decline with reduction of premium today indicates long unwinding. However, we believe positive momentum to be there in the market on back of a) Current month PCR expanded to 1.36 from 1.19,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 fourth trading sessions where put writing was more than call writing on overall basis. In last 4 trading sessions, 5,900 and 6,000 PE added open interest of 32 lacs and 17 lacs shares which implies that market will take strong support for intermediate time and December series and 6,100 to act as resistance because it added ~21 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 22nd December, 2010 close at 19.6 which is 1.1% lower as compared to previous close, after touching an intraday high of 20.1 and low of 18.7
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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