We expect Nifty to trade in a range with 5,500 to act as a resistance on the upside on account of call concentration and 5,400 to act as a support for intermediate term on account of more PE concentration than call and 5,300 for worst case scenario. Thus, the range for July series is 5,350 and 5,550.
Option Analysis
· Call Writing: During the week, shedding was witnessed in in-the-money strikes. Major writing was seen at 5,500 of ~22 lakh contracts whereas major shedding was seen at 5,400 and 5,300 strikes of ~11 lakh contracts and ~13 lakh contracts respectively. Maximum concentration observed at 5,500 CE of 123 lakh contracts.
· Put Writing: On the other hand, fresh major writing was witnessed between 5,500 and 5,300 where the total open interest outstanding is ~57 lakh contracts with maximum writing at 5,400. Maximum concentration observed at 5,300 PE of 98 lakh contracts.
Implications: Call shedding across strike prices and strong put writing at 5,400 levels indicates markets maintaining their upward momentum. We expect market to take immediate support at 5,400 and 5,300 for July expiry and resistance at 5,500. We believe market to trade in a narrow range of 5,350-5,500 for July series.
FIIs and DIIs activity in capital market segment
· FIIs were net buyers of Rs 711 crore with Gross buyers of Rs 3,016 crore and Gross Sellers of Rs 2,305 crore.
· DIIs were net sellers of Rs 101 crore with Gross buyers of Rs 1,383 crore and Gross sellers of Rs 1,484 crore.
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 23rd July, 2010 close at 19.24 which is 1.8% lower as compared to previous close, after touching an intraday high of 19.72 and low of 17.14.
Implications: After witnessing a fall in past three trading sessions, VIX rebounded on Friday. We expect it to move upwards and are Bullish on the same.
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