Fwd: Weekly Derivatives Strategist 25th March 2013

Weekly Data Feeler

 

Ø  Open Interest of Nifty future increased by 3.96% with a fall in price by 3.88% from the previous week, indicating built up of short positions as several times market failed to cross 5970-5990 levels and fell down sharply below 5900 levels.

Ø  Bank Nifty future has seen built up of short positive as OI increased by 12.62% with a significant fall in price by 5.41% from the previous week.

Ø  Put Call Ratio based on Open Interest of Nifty declined sharply in last couple of days from its six months high zone of 1.29 to 0.82 levels. Falling Put Call Ratio indicating that Call writers are quite aggressive in the market. If this ratio moves above psychological 1 level then only a bounce back move may be seen in the market.

Ø  HV (Historical Volatility) of Nifty moved up from 16.65 to 17.08 levels.

Ø  Implied Volatility of Nifty also moved up from 14.89 to 15.65 levels.

 

On the Option front, maximum Put OI is at 5600 and 5700 strike, whereas maximum Call OI is at 6000 followed 5900 strike. Even after the market fall maximum Put OI is intact at 5600 and 5700 strike which indicates that this zone is likely to act as a medium term support for the market.

 

Nifty has fallen down sharply from 5945 to 5632 levels in last six trading sessions. Nifty was not holding any bounce back move and more panic was seen at every meaningful bounce in the market especially in last two trading sessions. It has fallen down sharply by more than 300 odd points in just six trading sessions. After such fall a bounce back action may be seen but overall sentiment would remain negative till Nifty future sustains below 5850 levels. If it fails to hold 5650 levels then further selling pressure may get intensified towards 5550 levels. If it managed to hold 5750 levels then it may head towards 5800-5820 levels.

 

Bank Nifty future also fallen down sharply and trading near important previous support of 11200 levels. If it moves above 11500 then only a short covering move may be seen towards 11800-12000. If it sustains below 11200 levels then it may correct till 11000-10800 levels. 

 

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