Nifty December future is trading at a premium of ~32 point with spot. More of call writing than put at higher levels and call concentration at 6,000 indicates Nifty facing difficulty in sustaining above 6,000 levels. The downside however is limited to 5,900 acting as a strong support on account of more put concentration than call and below that 5,800 (put concentration).
Option Analysis:
· Call writing: Writing was witnessed at out-of-money strikes and shedding at in-the-money strikes. Major writing was seen at 6,200 CE and 6,100 CE of 3.59 lakh and 2 lakh shares. Major concentration is observed at 6,000 strike price of 71.6 lakh shares.
· Put Writing: On the other hand, major put writing was witnessed at 5,900 PE and 5,700 PE of 2.97 lakh and 2.2 lakh shares. Concentration is seen at 5,800 PE of 69.9 lakh shares.
Implications: More of call writing than put at higher levels and call concentration at 6,000 indicates Nifty facing difficulty in sustaining above 6,000 levels. The downside however is limited to 5,900 on account of more put concentration than call and below that 5,800 (put concentration).
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 7th December, 2010 close at 19.24 which is almost flat as compared to previous close, after touching an intraday high of 19.79 and low of 17.75.
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