Markets Today - 15/11/2010 - Disclaimer Post Applies

Nifty future is trading at a premium of ~18 points to spot. Shedding in puts and calls at higher strike along with more of call concentration than puts at 6,200 and 6,300 indicates markets to trade in a narrow range of 6,200 and 6,000 with limited upside potential.  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: Shedding was witnessed across strikes except 6,000 CE and 6,100 CE where the open interest added by 3.25 lakh and 2.77 lakh shares respectively. Major shedding was seen at higher strikes i.e. 6,400 CE and 6,500 CE. Concentration is witnessed at 6,300 CE of 90 lakh shares. 

·         Put Writing: On the other hand, writing in put was witnessed between 5,800 PE and 6,000 PE and shedding was witnessed in rest all strike prices. Maximum writing was seen at 6,000 PE and 5,800 PE of 3.5 lakh and 4.27 lakh shares respectively. Concentration is witnessed at 6,000 PE of 83.4 lakh shares.

Implications: Shedding in puts and calls at higher strike along with more of call concentration than puts at 6,200 and 6,300 indicates markets to trade in a narrow range of 6,200 and 6,000 with limited upside potential.  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 buyers of Rs 313 crore with Gross buyers of Rs 2,586 crore and Gross Sellers of Rs 2,272 crore.

·         DIIs were net sellers of Rs 3 crore with Gross buyers of Rs 1,189 crore and Gross sellers of Rs 1,192 crore.

India VIX (Inverse relationship between Nifty and Indian VIX)

·         Volatility for 15^th November, 2010 close at 20.25 which is 6.4% lower as compared to previous close, after touching an intraday high of 22.5 and low of 19.

Implications: Indian VIX plunged and thereby closed at 20. We expect it to move upwards and are Bullish on the same which would have negative impact on Nifty.