In today trading sessions, as expected market saw short covering at lower levels which was closer to 5,400. Today short covering was observed and was confirmed the same by 3 derivative parameters: a) Discount turning into premium of ~9 points, b) Open interest decrease with price increase and c) more PE activity than CE. Overall put options added fresh open interest of ~5 lacs shares whereas ~26 lacs shares were shedded in CE. Concentration of PE and CE is being observed at 5,400 and 5,600 strike price. We believe February expiry to close between 5,400 at lower side and 5,600 at higher side on account of concentration level. The strategy by traders for next 3 days should be to sell 5,600 CE and 5,400 PE and hold till expiry.
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 21st February, 2011 close at 24.9 which is 3.0% higher as compared to previous close, after touching an intraday high of 26.3 and low of 23.6
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