Markets Today - 20/08/2010 - Disclaimer Post Applies

Major put writing at 5,500 for last few trading sessions thus to act as support for intermediate term and below that 5,400 and major call writing at 5,600 levels with concentration. Our main concern at present is volatility, which is trading at its support levels. The broad range for August series is 5,600 and 5,300 on account of concentration.

Option Analysis:

·         Call writing: During the week, shedding was witnessed across strikes except at 5,600 CE. Major shedding was seen at 5,500 and 5,400 of 22 lakh and 14.6 lakh shares respectively whereas writing was seen at 5,600 of 5.93 lakh shares. Concentration is being observed at 5,600 CE of 98 lakh shares.

·         Put Writing: On the other hand, shedding was seen across strikes with maximum at 4,900 of 11.94 lakh shares and writing between 5,600 and 5,400 where the total outstanding open interest added is 60 lakh shares with maximum at 5,500 PE. Concentration is being observed at 5,300 PE of 111 lakh shares and 113 lakh shares.

Implications: More of put writing than call at 5,500 strike indicates Nifty to take support at this level and more of call writing than puts at 5,600 strike indicates Nifty would face resistance at level. Thus, we expect 5,500 to act as a support for near term and below that 5,400 whereas upside may be capped to 5,600 for August expiry.

FIIs and DIIs activity in capital market segment

·         FIIs were net buyers of Rs 662 crore with Gross buyers of Rs 2,611 crore and Gross Sellers of Rs 1,948 crore.

·         DIIs were net sellers of Rs 102 crore with Gross buyers of Rs 1,121 crore and Gross sellers of Rs 1,224 crore.

India VIX (Inverse relationship between Nifty and Indian VIX)

·         Volatility for 20^th August, 2010 close at 16.70 which is 1.03% higher as compared to previous close, after touching an intraday high of 16.87 and low of 15.29.

Implications: During the week, Indian VIX traded in the range of 18-15 and made a new low of 15.29 in yesterday’s trading session. We expect it to move upwards and are Bullish on the same which would have negative impact on Nifty.