Implications: Nifty future is trading at ~6 points premium with spot. On account of put concentration, 5,900 to act as a support on downside whereas call writing and concentration at 6,000 indicates this level to act as a resistance on the upside also Nifty is facing difficulty in sustaining higher levels. Thus, we expect 5,900 to act as a support and below that 5,800 whereas upside is capped at 6,000/6,050 for November expiry.
Option Analysis:
· Call writing: In November series, major call concentration is witnessed at 6,200 CE and 6,300 CE of 77 lakh and 77.5 lakh shares and fresh writing at 6,000 CE and 5,900 CE of 14.58 lakh and 18.94 lakh shares resp. In December series, major concentration at 6,000 CE of 36.9 lakh shares.
· Put Writing: On the other hand, in November series, put concentration is witnessed at 5,900 PE of 61.2 lakh shares. In December series, maximum writing is witnessed at in-the-money strikes i.e. between 5,900 PE and 5,600 PE; the outstanding open interest added is 28.3 lakh shares.
Implications: On account of put concentration, 5,900 to act as a support on downside whereas call writing and concentration at 6,000 indicates this level to act as a resistance on the upside also Nifty is facing difficulty in sustaining higher levels. Thus, we expect 5,900 to act as a support and below that 5,800 whereas upside is capped at 6,050/6,100 for November expiry
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 23rd November, 2010 close at 23.26 which is 16.7% higher as compared to previous close, after touching an intraday high of 24.95 and low of 19.4.
Implications: Indian VIX traded surged and thereby closed above 20 levels. We expect it to move upwards and we are Bullish on the same which would have negative impact on Nifty.
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