Derivatives Strategist 3rd April 2013

Data Feeler: Nifty future witnessed consolidation for the first half of trading session with taking support around 5700 area and then strong short covering rally was seen towards 5770 levels in the later half with buying seen across the board. As mentioned yesterday that Nifty after a big fall in last few trading sessions may now witness some relief rally towards 5800-5850 levels and any dip can be seen as buying opportunity. Nifty future for the day, if sustains above 5780 levels then bounce back may be continued towards 5820-5850 levels. Whereas sustaining below 5720 levels only may put selling pressure in the market. Looking at the option concentration data for April series, maximum put OI is concentrated at 5600 followed by 5700 strike price and maximum call OI is at 5900 followed by 6000/5800 strike prices. Bank Nifty for the day has immediate support around 11350 levels whereas sust aining above 11500 levels may witness rally towards next hurdle around 11850 levels.

 

Put Call Ratio based on Open Interest of Nifty moved up from 0.97 to 1.03 levels. Historical Volatility of Nifty moved down from 15.98 to 15.83 levels and Implied Volatility also moved down from 14.50 to 14.09 levels.

 

Nifty future saw increase in OI by 9.2% with a rise in price by 0.7%. Market witnessed buying interest across the board especially in Metal, Oil & Gas, CG, HC, PSU, CD, Power, IT, Banking, Tech and Realty sector stocks. Nifty future closed at premium of 19 points as compared premium of 22 points in previous trading session.

 

The market turnover increased by 15.2% in terms of number of contracts traded vis-à-vis previous trading day whereas in terms of rupees increased by 16.4%.

Indication

 

Derivative Calls: Buy on REC & DRREDDY.

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