Negative observations: Nifty futures trading at discount from premium, volatility is trading near to its support level, more of call writing than put writing at and above 5,400.
Positive Observation: Major put writing at 5,300 for last few trading sessions and 5,200 to act as major support for intermediate term. Thus, the range for July Expiry is 5,500 and 5,200.
Option Analysis
· Call Writing: Major writing witnessed at 5,400 of 4.61 lakh contracts and shedding at 5,500 of 4.84 lakh contracts. In July expiry, ~30% of the total build up in OI has been witnessed at 5,500 strike. Concentration observed at 5,500 of 98.41 crore contracts.
· Put Writing: On the other hand, fresh writing was witnessed at 5,200 strike of 4.42 lakh contraacts. ~24% of total build up in OI was witnessed at 5,300 strike in July Expiry. Concentration observed at 5,300 of 89 lakh contracts.
Implications: Call concentration at 5,500 and major put writing continuously witnessed at 5,200 strike price indicates this would act as a range for July expiry. However, we expect 5,300 to act as a strong support on account of major put writing witnessed during the July series.
FIIs and DIIs activity in capital market segment
· FIIs were net buyers of Rs 297 crore with Gross buyers of Rs 1,635 crore and Gross Sellers of Rs 1,338 crore.
· DIIs were net sellers of Rs 104 crore with Gross buyers of Rs 874 crore and Gross sellers of Rs 978 crore.
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 20th July, 2010 close at 20.38 which is 1.59% lower as compared to previous close, after touching an intraday high of 20.71 and low of 19.61.
Implications: Indian VIXs has been trading between 22 and 18 levels during this expiry. We expect it to move upwards and are Bullish on the same.
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