Markets Today - 12/11/2010 - Disclaimer Post Applies

Nifty future is trading at a premium of ~20 points to spot which is lower as compared to ~38 points on Thursday. Strong put writing witnessed during the week and concentration at 6,000 indicates this level would act as a strong support for Nifty. However, on the upside 6,200 would act as a stiff resistance for near term on back of more of call writing & concentration and shedding in puts witnessed during the week. On account of concentration the range for November series is 6,200 for near term and above that 6,300 on the upside and 6,000 on the downside.

Option Analysis:

·         Call writing: During the week, major writing was witnessed between 6,400 CE and 6,100 CE where the total outstanding open interest added was 119 lakh shares with maximum at 6,300 CE by 43.55 lakh shares. Concentration is witnessed at 6,300 CE of 88.9 lakh shares. 

·         Put Writing: On the other hand, writing in put was witnessed between 5,800 PE and 6,100 PE and shedding was witnessed in rest all strike prices. Maximum writing was seen at 6,000 PE and 6,100 PE of 17 lakh and 10.88 lakh shares respectively. Concentration is witnessed at 6,000 PE of 80 lakh shares.

Implications: Strong put writing witnessed during the week and put concentration at 6,000 indicates this level would act as a strong support for Nifty. However, on the upside 6,200 would act as a stiff resistance for intermediate term on back of more of call writing and concentration and shedding in puts witnessed during the week. On account of concentration the range for November series is 6,200 for near term and above that 6,300 on the upside and 6,000 on the downside.

FIIs and DIIs activity in capital market segment

·         FIIs were net sellers of Rs 782 crore with Gross buyers of Rs 3,134 crore and Gross Sellers of Rs 3,917 crore.

·         DIIs were net buyers of Rs 245 crore with Gross buyers of Rs 1,439 crore and Gross sellers of Rs 1,193 crore.

India VIX (Inverse relationship between Nifty and Indian VIX)

·         Volatility for 12^th November, 2010 close at 21.6 which is 11.7% higher as compared to previous close, after touching an intraday high of 22.4 and low of 17.6.

Implications: Indian VIX during the week made a low of ~16 and surged in yesterday’s trading session above ~20 levels thereby closing at 21.5. We expect it to move upwards and are Bullish on the same which would have negative impact on Nifty.