Implications: Decrease in volatility, higher put writing than calls at 5,000 levels indicates market taking support at this level. So, we expect the market continue the current momentum and trade above 5,000 but below 5,200 for intermediate term. The range for the June series would be 4,800 to 5,200 on account of concentration of open interest.
Option Analysis
· Call Writing: Fresh writing was witnessed between 5,400 and 5,200 strike prices with majorly at 5,200 strike price of 5.72 lakh shares. In today’s trading session, 5,100 and 4,900 strike prices have witnessed major shedding where the combined open interest decrease is 8.57 lakh shares. Concentration is at 5,200 of 67.35 lakh shares.
· Put Writing: On the other hand, major writing was witnessed at 5,100 and 5,000 strike prices of 18.49 lakh shares and 17.66 lakh shares respectively and marginal shedding was witnessed at 4,700 strike price. Concentration has shifted from 4,900 to 4,800 strike price where the open interest stands at 67.94 lakh shares.
Implications: Major put writing and concentration at 5,000 levels indicates that it would act as a support for short term and 4,800 for the June series, whereas the upside is capped at 5,200 on account of concentration of open interest. We expect the market to trade in the range of 5,200 to 5,000
FIIs and DIIs activity in capital market segment
· FIIs were net buyers of Rs 406 crore with Gross buyers of Rs 2,109 crore and Gross Sellers of Rs 1,703 crore.
· DIIs were net buyers of Rs 79 crore with Gross buyers of Rs 1,103 crore and Gross sellers of Rs 1,024 crore.
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 3rd June, 2010 close at 25.29 which is 8.90% lower as compared to previous close, after touching an intraday high of 26.02 and low of 25.29.
Implications: Volatility, as mentioned before is moving downward. We expect volatility to come down further and thus suggest going short on the same.
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