Gain ~198 points in December series: This was consecutive second series where market was quite volatile where Nifty tested 5,750 and closed with gain of 198 points to 5,998.1. However, we expect December expiry to settle between 5,800 to 6,000 on back of call and put concentration.
Rollover– Positive Rollover cost of ~29bps in December series : Nifty Rollovers have been low on the T-3 of expiry with ~29% rolled over to the January series compared to the 3 month average of 30.1%. Roll cost stands the at 29 bps. Current open positions in the Nifty stands at 28.4 million shares (5.7 lakhs contract) which is lower by 4.2% (3-month average) and 17.2% (6-month average). In value terms, Nifty open interest positions stands at Rs 171 billion which is lower by 3.2% to Rs 176 billion for similar T-3 in November expiry. Market wide futures OI positions stands at 749 million shares, which is 19.7% lower than the (OI of 933 million shares) D-3 of November expiry. Market wide rolls is 30% which is at lower compared to D-3 of last expiry (41%).
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 24th December, 2010 close at 18.5 which is 4.5% higher as compared to previous close, after touching an intraday high of 18.7 and low of 17.1
Implications: For last 3-4 months, Indian VIX is trading near to its support. So, We expect volatility to increase going forward which will lead some correction in market because it has inverse correlations.
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