Nifty trading at premium and strong put writing at 5,400 indicates strength to be maintained at current levels. But not major upside also seen because of 5,500 CE added 24.1 lakh shares where only ~6 trading days left for expiry. However, we see market trading in a narrow range of 5,350-5,450 for July series.
Option Analysis
· Call Writing: Fresh writing was observed above 5,300 strike prices. Major call writing was seen at 5,400 and 5,500 strike prices of 6.1 lakh and 24.1 lakh contracts respectively. Maximum concentration of 5,500 CE observed at 122 lakh contracts.
· Put Writing: On the other hand, major activity was observed at At-The-Money Strike price. 5,400 PE added open interest of 9.1 lakh contracts. However, weak activity was seen above 5,400 strike prices. Maximum concentration observed at 5,300 PE of 90 lakh shares.
Implications: Call concentration at 5,500 and weak activity above 5,400 strike prices implies limited upside potential from current levels. However, downside is also limited to 5,300 in worst case scenario. We believe market would be trading in a narrow range of 5,350-5,450 for July series.
FIIs and DIIs activity in capital market segment
· FIIs were net buyers of Rs 362 crore with Gross buyers of Rs 2,396 crore and Gross Sellers of Rs 2,034 crore.
· DIIs were net sellers of Rs 302 crore with Gross buyers of Rs 1,106 crore and Gross sellers of Rs 1,409 crore.
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 21st July, 2010 close at 20 which is 1.86% lower as compared to previous close, after touching an intraday high of 20.38 and low of 18.82.
Implications: Indian VIXs has been trading between 22 and 18 levels all through this expiry. We expect it to move upwards and are Bullish on the same
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