Derivatives Strategist 28th March 2013

Data Feeler: Nifty future after a consecutive seven days of fall witnessed some relief at lower levels and took support around 5600 psychological area. Being expiry day and last trading day of financial year volatility may remain intact in the markets and traders should keep strict stop levels for trading. Nifty future for the day, if sustains above 5650 levels then only bounce back may be seen towards 5700 levels. Whereas sustaining below 5620 levels may put further selling pressure towards 5580-5550 levels. Looking at the option concentration data for March series, maximum put OI is still intact at 5600 strike price suggesting immediate support area for the markets. Whereas for April series maximum put OI is concentrated at 5600 strike price and maximum call OI is at 6000 strike price. Bank Nifty for the day has immediate support around 11000 levels and breaching these levels may put further pressure to it whereas strong hurdle around 11350-11500 levels.

 

Put Call Ratio based on Open Interest of Nifty moved up from 0.78 to 0.81 levels. Historical Volatility of Nifty moved down from 16.67 to 16.17 levels but Implied Volatility moved up from 15.31 to 15.48 levels.

 

Nifty future saw increase in OI by 6.54% with a marginal fall in price. Market witnessed buying interest in CD FMCG, Tech, IT, Auto and Banking space whereas selling pressure was seen especially in Oil & Gas, Reality, CG, Power, Metal and PSU sector stocks. Nifty future closed at discount of one point as compared to premium of 11 points in previous trading session.

 

The market turnover increased by 6.98% in terms of number of contracts traded vis-à-vis previous trading day whereas in terms of rupees increased by 6.12%.

 

Derivative Calls: Buy on TITAN & Sell on TATA MOTOR DVR

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