EU Stress-Test Results to Be Published Friday Night!!!

BRUSSELS—The Committee of European Banking Supervisors will publish the results of its bank stress tests Friday at 6 p.m. (noon ET), a European Commission spokesman said Thursday.

Source:http://online.wsj.com.

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Markets Today - 21/07/2010 - Disclaimer Post Applies

Nifty trading at premium and strong put writing at 5,400 indicates strength to be maintained at current levels. But not major upside also seen because of 5,500 CE added 24.1 lakh shares where only ~6 trading days left for expiry. However, we see market trading in a narrow range of 5,350-5,450 for July series.

Option Analysis

·         Call Writing: Fresh writing was observed above 5,300 strike prices. Major call writing was seen at 5,400 and 5,500 strike prices of 6.1 lakh and 24.1 lakh contracts respectively. Maximum concentration of 5,500 CE observed at 122 lakh contracts.

·         Put Writing: On the other hand, major activity was observed at At-The-Money Strike price. 5,400 PE added open interest of 9.1 lakh contracts. However, weak activity was seen above 5,400 strike prices. Maximum concentration observed at 5,300 PE of 90 lakh shares.

Implications: Call concentration at 5,500 and weak activity above 5,400 strike prices implies limited upside potential from current levels. However, downside is also limited to 5,300 in worst case scenario. We believe market would be trading in a narrow range of 5,350-5,450 for July series.

FIIs and DIIs activity in capital market segment

·         FIIs were net buyers of Rs 362 crore with Gross buyers of Rs 2,396 crore and Gross Sellers of Rs 2,034 crore.

·         DIIs were net sellers of Rs 302 crore with Gross buyers of Rs 1,106 crore and Gross sellers of Rs 1,409 crore.

India VIX (Inverse relationship between Nifty and Indian VIX)

·         Volatility for 21^st July, 2010 close at 20 which is 1.86% lower as compared to previous close, after touching an intraday high of 20.38 and low of 18.82.

Implications: Indian VIXs has been trading between 22 and 18 levels all through this expiry. We expect it to move upwards and are Bullish on the same

MEDIUM TERM PORTFOLIO (HOLDING PERIOD 3-20 DAYS) - Recommendation of K.R.Choksey.

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DENIP Consultants Pvt. Ltd. (Network Partner - K.R. Choksey Shares & Securities Pvt. Ltd.)

LONG TERM PORTFOLIO (HOLDING PERIOD 8-12 MONTHS) - Recommendation of K.R.Choksey.

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DENIP Consultants Pvt. Ltd. (Network Partner - K. R. Choksey Shares & Securities Pvt. Ltd.) 

Markets Today - 20/7/2010 - Disclaimer Post Applies

Negative observations: Nifty futures trading at discount from premium, volatility is trading near to its support level, more of call writing than put writing at and above 5,400. 

Positive Observation: Major put writing at 5,300 for last few trading sessions and 5,200 to act as major support for intermediate term. Thus, the range for July Expiry is 5,500 and 5,200.

Option Analysis

·         Call Writing: Major writing witnessed at 5,400 of 4.61 lakh contracts and shedding at 5,500 of 4.84 lakh contracts. In July expiry, ~30% of the total build up in OI has been witnessed at 5,500 strike. Concentration observed at 5,500 of 98.41 crore contracts.

·         Put Writing: On the other hand, fresh writing was witnessed at 5,200 strike of 4.42 lakh contraacts. ~24% of total build up in OI was witnessed at 5,300 strike in July Expiry. Concentration observed at 5,300 of 89 lakh contracts.

Implications: Call concentration at 5,500 and major put writing continuously witnessed at 5,200 strike price indicates this would act as a range for July expiry. However, we expect 5,300 to act as a strong support on account of major put writing witnessed during the July series.

FIIs and DIIs activity in capital market segment

·         FIIs were net buyers of Rs 297 crore with Gross buyers of Rs 1,635 crore and Gross Sellers of Rs 1,338 crore.

·         DIIs were net sellers of Rs 104 crore with Gross buyers of Rs 874 crore and Gross sellers of Rs 978 crore.

India VIX (Inverse relationship between Nifty and Indian VIX)

·         Volatility for 20^th July, 2010 close at 20.38 which is 1.59% lower as compared to previous close, after touching an intraday high of 20.71 and low of 19.61.

Implications: Indian VIXs has been trading between 22 and 18 levels during this expiry. We expect it to move upwards and are Bullish on the same.

Market Update - 20/07/2010 - Disclaimer Post Applies

Reporting Date	Derivative Products	Buy		Sell		Open Interest at the end of the date
		No. of Contracts	Amount in Crores	No. of Contracts	Amount in crores	No. of Contracts	Amount in Crores
20-JUL-2010	Index Futures	31085	836.64	45267	1215.12	662685	17777.2
	Index Options	152028	4027.45	170061	4478.79	2056923	55368.62
	Stock Futures	61412	1596.61	64016	1675.89	1220490	33082.1
	Stock Options	3284	106.04	4271	122.8	56756	1588.65
	Interest Rate Futures	0	0	0	0	0	0
Total			6566.74		7492.6

We’ve witnessed the first sell off in the markets today. Let’s hope that it continues over the next few days so that we get a decent buying opportunity.Nifty futures trading at 5351.05 which is a 17 point discount to Nifty spot which is trading at 5368.

Markets Today - 19/7/2010 - Disclaimer Post Applies

Higher put writing than calls at 5300 indicates strong support and major call writing at higher levels than puts indicates resistance at higher levels. We expect markets to trade in a narrow range of 5,400 and 5,300 for intermediate term; however the range for July expiry would be 5,500 and 5,300 on account of concentration.

Option Analysis

·         Call Writing: Fresh major call writing was witnessed between 5,600 and 5,400 strike price with majority at 5,600 of 3.22 lakh contracts and shedding at 5,200 of 1,32 lakh contracts. Concentration observed at 5,500 of 1.32 crore contracts.

·         Put Writing: On the other hand, fresh writing to the tune of 8.09 lakh contracts was witnessed at 5,300 strike and shedding of 4.12 lakh shares at 5,100 strike. Concentration observed at 5,300 of 96 lakh contracts.

Implications: On account of concentration, we expect the markets to trade in the range of 5,500 and 5,300 for July series. However for intermediate term 5,400 would act as a minor resistance on account of more call concentration witnessed as compared to put.

FIIs and DIIs activity in capital market segment

·         FIIs were net buyers of Rs 153 crore 

·         DIIs were net sellers of Rs 261 crore 

India VIX (Inverse relationship between Nifty and Indian VIX)

·         Volatility for 19^th July, 2010 close at 20.71 which is 5.13% higher as compared to previous close, after touching an intraday high of 20.87 and low of 19.36.

Implications: Indian VIXs surged in today’s trading session. We are “Bullish” on the same and expect it to move upwards which would have a negative impact on Nifty.

NSE launches volatility index on real time basis!!

Investors would now be able to hedge their portfolios against the risk arising out of volatility in the markets, with the National Stock Exchange launching its volatility index on a real time basis today. This is for the first time in the country that volatility index is being disseminated, on a real time basis.

The volatility index called the 'India VIX' depicts the expected market volatility over the next 30 calendar days. Higher the India VIX values, higher would be the expected volatility and vice-versa.

So far, the volatility index, expressed in a percentage figure, was shown at the end of the day. But now it will be displayed on a real time basis.

Once India VIX is available for trading after regulatory approvals, it will give a lot of security to investors and traders, who face uncertainty, because the new product will empower them with better information and foresight, NSE MD and CEO Ravi Narain said in a statement.

More importantly, it will give them the ability, to use the product to hedge their portfolios against the risk arising out of volatility. NSE will also be applying to the capital market regulator Sebi for permission to start derivatives on the index, after it has been tracked for a suitable period, the exchange said.

Once the futures and options start on the index, investors whose portfolios are affected by volatility in the market can use the product to hedge their risks. India VIX is a volatility index based on the index option prices of NSE's benchmark index Nifty.

Before starting derivatives on the volatility index, the index will be disseminated on a real time basis, so that market participants can understand the behaviour of the index, before trading on it.

Volatility refers to the amount of uncertainty or risk about the size of changes in a security or index value. A higher volatility means that a scrip's value can potentially vary over a larger range of values. This means that the price of the security can change dramatically.

A lower volatility means that a security's value does not fluctuate dramatically, but changes in value at a steady pace over a period of time.

Source: economictimes.com.

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Q1 Result Calendar (19 July - 22 July 2010).

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Markets Today - 16/7/2010 - Disclaimer Post Applies

We expect market to continue its upside momentum on account of shedding of calls and fresh writing of puts where the upside is capped at 5,500 and downside is limited to 5,300 on account of concentration.

 Option Analysis

·         Call Writing: During the week, shedding in open interest was witnessed at lower strikes with majority at 5,300 of 12.62 lakh shares and writing at higher strikes with maximum at 5,600 strike of 11.94 lakh contracts. Concentration observed at 5,500 of 1 crore contracts.

·         Put Writing: On the other hand, fresh writing to the tune of 21 lakh contracts was witnessed at 5,400 strike price. Concentration observed at 5,300 of 88 lakh contracts.

Implications: Call shedding at lower levels and strong put writing at 5,400 levels indicates limited downside for the markets but we do not expect major upside also on account of strong call concentration at 5,400. So expect market to trade in a narrow range of 5,400 and 5,300 for next few trading sessions and wide range of 5,500 and 5,200 for July expiry.

FIIs and DIIs activity in capital market segment

·         FIIs were net buyers of Rs 676 crore with Gross buyers of Rs 2,803 crore and Gross Sellers of Rs 2,127 crore.

·         DIIs were net sellers of Rs 281 crore with Gross buyers of Rs 1,373 crore and Gross sellers of Rs 1,655 crore.

India VIX (Inverse relationship between Nifty and Indian VIX)

·         Volatility for 16^th July, 2010 close at 19.70 which is 2.38% lower as compared to previous close, after touching an intraday high of 20.48 and low of 19.37.

Implications: Indian VIX is trading near its support. We are “Bullish” on the same and expect it to move upwards which would have a negative impact on Nifty.