Market Overview
Implications: Nifty December future is trading at a premium with spot. Consecutive second trading session of comparatively more writing in put than call options, shift of put concentration at 5,800 and increase in PCR between 6,000-5,700 strike prices indicates market may continue its upward momentum above 6,000. However, we expect 6,000 to act as a resistance on account of profit booking in long positions and call concentration and above that 6,100 level. The range for December expiry is 5,800 and 6,000 on account of concentration.
Option Analysis:
· Call writing: Major writing was witnessed at out-of-money strikes and marginal shedding at in-the-money strikes. 6,100 CE and 6,200 CE added 8.5 lakh and 4.85 lakhs shares respectively. Major concentration of open interest is still observed at 6,000 strike price of 67 lakh shares.
· Put Writing: 5,900 PE witnessed addition of 12.41 lakh and 5,800 PE added 8.67 lakh shares. Shedding was witnessed in deep out-of-the-money strikes. Concentration of open interest has shifted from 5,600 PE to 5,700 PE (69.95 lakh shares).
Implications: Consecutive second trading session of comparatively more writing in put than call options, shift of put concentration at 5,800 and increase in PCR between 6,000-5,700 strike prices indicates market may continue its upward momentum above 6,000. However, we expect Nifty at 6,000 to act as a resistance on account of profit booking in long positions and call concentration and above that 6,100 level. The range for December expiry is 5,800 and 6,000 on account of concentration.
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 1st December, 2010 close at 19.2 which is 7% lower as compared to previous close, after touching an intraday high of 20.7 and low of 19
Implications: Indian VIX plunged for consecutive third trading session. We expect it to move upwards and we are Bullish on the same which would have negative impact on Nifty.
Put Call Ratio across Active Strike Price – December Series
Implications: Nifty December future is trading at a premium with spot. Consecutive second trading session of comparatively more writing in put than call options, shift of put concentration at 5,800 and increase in PCR between 6,000-5,700 strike prices indicates market may continue its upward momentum above 6,000. However, we expect 6,000 to act as a resistance on account of profit booking in long positions and call concentration and above that 6,100 level. The range for December expiry is 5,800 and 6,000 on account of concentration.
Option Analysis:
· Call writing: Major writing was witnessed at out-of-money strikes and marginal shedding at in-the-money strikes. 6,100 CE and 6,200 CE added 8.5 lakh and 4.85 lakhs shares respectively. Major concentration of open interest is still observed at 6,000 strike price of 67 lakh shares.
· Put Writing: 5,900 PE witnessed addition of 12.41 lakh and 5,800 PE added 8.67 lakh shares. Shedding was witnessed in deep out-of-the-money strikes. Concentration of open interest has shifted from 5,600 PE to 5,700 PE (69.95 lakh shares).
Implications: Consecutive second trading session of comparatively more writing in put than call options, shift of put concentration at 5,800 and increase in PCR between 6,000-5,700 strike prices indicates market may continue its upward momentum above 6,000. However, we expect Nifty at 6,000 to act as a resistance on account of profit booking in long positions and call concentration and above that 6,100 level. The range for December expiry is 5,800 and 6,000 on account of concentration.
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 1st December, 2010 close at 19.2 which is 7% lower as compared to previous close, after touching an intraday high of 20.7 and low of 19
Implications: Indian VIX plunged for consecutive third trading session. We expect it to move upwards and we are Bullish on the same which would have negative impact on Nifty.
Put Call Ratio across Active Strike Price – December Series
Source: NSE, KRC ResearchThanks,
Gaurav Agarwal
Head Dealer
DENIP Consultants Pvt Ltd
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