Nifty futures are trading at a huge discount because of dividend. With Nifty down by ~2% and increase in current month open interest by ~8%, we believe fresh short positions have been built up in the future segment. However, we expect Nifty to take a strong support at 4800 -4900 levels whereas 5000 - 5100 to act as strong resistance.
Option Analysis
· Call Writing: Fresh addition of open interest at higher levels and concentration indicates 5,100 to act as a major resistance for June Series. In today trading session, major activity was observed at 5,000 and 5,100 strike prices which added 8.78 lakh shares and 4.54 lakh shares respectively.
· Put Writing: On the other hand, lower levels strike prices witnessed higher activity as compared to higher levels. Major writing was witnessed at 4,300 and 4,400 strike prices of 10.9 lakh shares and 9.77 lakh shares respectively and marginal shedding at 5,100 and 5,200 strike prices. Concentration is observed at 4,800 strike price of ~58 lakh shares.
Implications: Higher activity in out-of-money call strike prices and put strike prices indicates less possibility for any major upside movement. However, on account of concentration the upside is capped at 5,100 levels and the downside is limited to 4,800 levels.
FIIs and DIIs activity in capital market segment
· FIIs were net sellers of Rs 526 crore with Gross buyers of Rs 1,801 crore and Gross Sellers of Rs 2,328 crore.
· DIIs were net buyers of Rs 210 crore with Gross buyers of Rs 1,220 crore and Gross sellers of Rs 1,009 crore.
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 1st June, 2010 close at 29.08 which is 9.16% higher as compared to previous close, after touching an intraday high of 29.34 and low of 26.67.
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