Nifty future is trading at a premium of ~38 points to November future. Call concentration and major put shedding at 6,300 indicates 6,300 to act as a crucial level and is thereby acting as a stiff resistance on upside whereas downside is limited to 6,000 acting as a strong support. On account of concentration the range for November series is 6,300 for near term and above that 6,500 on the upside and 6,000 on the downside.
Option Analysis:
· Call writing: Major writing was witnessed at 6,300 CE and 6,200 CE of 14.7 lakh shares and 10.61 lakh shares respectively and shedding was witnessed at in-the-money strikes. Concentration is witnessed at 6,500 CE and 6,300 CE of 77.7 lakh and 71.6 lakh shares.
· Put Writing: On the other hand, shedding in puts was witnessed across strike prices after witnessing continuous writing in past few trading sessions. Major shedding was seen at 6,300 PE of 16.64 lakh shares and marginal writing at 6,000 PE of 5.5 lakh shares. Concentration is witnessed at 6,000 PE of 78 lakh shares.
Implications: Call concentration and major put shedding witnessed at 6,300 indicates 6,300 to act as a crucial level and is thereby acting as a stiff resistance on upside whereas downside is limited to 6,000 acting as a strong support. On account of concentration the range for November series is 6,300 for near term and above that 6,500 on the upside and 6,000 on the downside.
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 11th November, 2010 close at 19.36 which is 1.47% higher as compared to previous close, after touching an intraday high of 19.91 and low of 16.38.
Implications: Indian VIX surged and closed at the high of the day. It has been trading below 20 levels and we expect it to be subdued and consolidate at current levels.
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