Nifty futures closed at 5265.4 at a 4 point discount to Nifty spot which closed at 5269.35
Implications: Markets giving a mixed trend some on positive and negative. Positive: Consecutive second trading sessions for strong writing at put and PCR increase across strike prices. Negative: Volatility is trading near to its historic low and futures turning into discount. Nifty futures closing at a 4 point discount.
Option Analysis
· Call Writing: Consecutive second trading sessions towards shedding of open interest across the strike prices. Major shedding was observed at 5200CE of 15.3 lacs shares. Major concentration of open interest is still observed at 5,400CE
· Put Writing: In today’s trading session, activity across strike prices was weak except 5,300. Fresh addition of open interest was witnessed at 5300PE of 13.8 lac shares. Major concentration of open interest is still observed at 5200PE of 90 lacs shares
Implications: Consecutive second trading session of strong writing in put than call options and increase in PCR across all strike prices indicates market may continue its upward momentum till 5,300.
FIIs and DIIs activity in capital market segment
· FIIs were net buyers of Rs 518 crore with Gross buyers of Rs 3,288 crore and Gross Sellers of Rs 2,770 crore.
· DIIs were net buyers of Rs 181 crore with Gross buyers of Rs 1,608 crore and Gross sellers of Rs 1,426 crore.
India VIX
· Volatility for 22nd April, 2010 close at 20.5 which is 6.75% higher as compared to previous close, after touching an intraday high of 20.8 and low of 18.75.
Implications: Volatility from past few days has been hovering at current levels. We maintain a positive bias on the same and expect it to touch 30 odd levels and there being an inverse relationship between VIX and Nifty we recommend to go short on Nifty and long on VIX.
Thanks,
Dewang K. Mehta
DENIP Consultants - www.denip.in
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