Markets Today - 19/08/2010 - Disclaimer Post Applies

Upside momentum to continue on back of strong put writing at higher strikes with call shedding across strikes. The range of Nifty has shifted higher where the upside is capped at 5,600 and on the downside 5,500 to act as a support for near term on account of more put concentration than call and 5,400 in worst case scenario. The broad range for August series is 5,600 and 5,300 on account of concentration.

Option Analysis:

·         Call writing: In today’s trading session, shedding was witnessed across strike prices. Major call shedding was witnessed at 5,400 CE of 13.46 lakh shares whereas fresh writing was seen at 5,600 CE of 3.41 lakh shares. Concentration is being observed at 5,600 CE of 100 lakh shares.

·         Put Writing: On the other hand, shedding was seen at and below 5,300 PE and fresh writing above it. Major writing was seen at 5,500 PE and 5,400 PE of 28.7 lakh shares and 11.49 lakh shares respectively. Concentration is being observed at 5,400 PE and 5,300 PE of 111 lakh shares and 113 lakh shares respectively.

Implications: Call shedding across strike prices with fresh writing at 5,600 CE and strong put writing at 5,500 levels indicates the range of markets have shifted higher to 5,600 and 5,500. However, we expect markets to face strong resistance at 5,600 on account of call concentration and less put writing as compared to calls whereas 5,500 to now act as a support for near term on account of more put concentration than call.

FIIs and DIIs activity in capital market segment

·         FIIs were net buyers of Rs 821 crore with Gross buyers of Rs 3,029 crore and Gross Sellers of Rs 2,208 crore.

·         DIIs were net buyers of Rs 215 crore with Gross buyers of Rs 1,303 crore and Gross sellers of Rs 1,088 crore.

India VIX (Inverse relationship between Nifty and Indian VIX)

·         Volatility for 19^th August, 2010 close at 16.53 which is 0.79% higher as compared to previous close, after touching an intraday high of 17.02 and low of 15.47.

Implications: Indian VIX was almost flat in today’s trading session. We expect it to move upwards and are Bullish on the same which would have negative impact on Nifty.