Dear All,
We feel today the quantum of calls being bought in Nov 4900 and 5000 is more than the one being bought in 4800 put.the break even of the previous call writing comes at 4980 on spot,i.e 4900 strike + around 80 rs average price of call writing.Give or take 15 odd rs on this premium for the 5day time value 4960 odd on spot is where fresh shorts can come in.Today for the first time we seeing fresh short rolls in Nifty.So call buying can be a hedge as well for this short rolls.Nifty had already rolled around 19% yesterday.Bank Nifty for the first time has added around 2.59Lacs in a single day since may be last 18 months.Though it is nt completely short rolls.The average price on Nifty spot where these short scan roll sis around 5035 on Nifty spot.
Just for information,The ratio of CNX DEFTY to Nifty since say last 4yrs is in a range of around 1.15 -1.5.
March 2009 it was at 1.47 when Nifty bottomed at 2975 levels.The level was 1.15 on July 2011 when Nifty was at 5600 and the rupee was at 43.8.we are cureently at around 1.44
Ideally FII behaviour depends on USDINR,VWAP(annual Volume weighted average price)
)and Historical VOlatilty in Nifty.The 10 day HV of Nifty nose dived from 20 level s to 10.3 in a single day on 11th Nov and we saw Nifty correcting from 5200 odd levels.This usually happens once or twice a Year.VIX might find a resistance ta 29.10 odd which is around 50 DMA as well.
With markets entering Rollover days we feel every levels will be used to roll so around 4780-4900 will have series of supports,needless to say the Open interest in Bank Nifty is at Highest(around 18months high) and Nifty is at 5month high.High Open interest usually is a positive indication though i would not jump the gun n say that,as high participation in Derivatives evolves in anticipation of Huge cash based activity as well.So rupee at 51.80 odd should be the weakest values of UDSINR for this Calender year possibly.If all this data hold true we should be seeing around 5400 in Nifty by Dec 25th Dec 2011.The bottom in Nifty should not be below 4720-4750 in this case.
We feel today the quantum of calls being bought in Nov 4900 and 5000 is more than the one being bought in 4800 put.the break even of the previous call writing comes at 4980 on spot,i.e 4900 strike + around 80 rs average price of call writing.Give or take 15 odd rs on this premium for the 5day time value 4960 odd on spot is where fresh shorts can come in.Today for the first time we seeing fresh short rolls in Nifty.So call buying can be a hedge as well for this short rolls.Nifty had already rolled around 19% yesterday.Bank Nifty for the first time has added around 2.59Lacs in a single day since may be last 18 months.Though it is nt completely short rolls.The average price on Nifty spot where these short scan roll sis around 5035 on Nifty spot.
Just for information,The ratio of CNX DEFTY to Nifty since say last 4yrs is in a range of around 1.15 -1.5.
March 2009 it was at 1.47 when Nifty bottomed at 2975 levels.The level was 1.15 on July 2011 when Nifty was at 5600 and the rupee was at 43.8.we are cureently at around 1.44
Ideally FII behaviour depends on USDINR,VWAP(annual Volume weighted average price)
)and Historical VOlatilty in Nifty.The 10 day HV of Nifty nose dived from 20 level s to 10.3 in a single day on 11th Nov and we saw Nifty correcting from 5200 odd levels.This usually happens once or twice a Year.VIX might find a resistance ta 29.10 odd which is around 50 DMA as well.
With markets entering Rollover days we feel every levels will be used to roll so around 4780-4900 will have series of supports,needless to say the Open interest in Bank Nifty is at Highest(around 18months high) and Nifty is at 5month high.High Open interest usually is a positive indication though i would not jump the gun n say that,as high participation in Derivatives evolves in anticipation of Huge cash based activity as well.So rupee at 51.80 odd should be the weakest values of UDSINR for this Calender year possibly.If all this data hold true we should be seeing around 5400 in Nifty by Dec 25th Dec 2011.The bottom in Nifty should not be below 4720-4750 in this case.
Thanks and Regards
Rohit Saxena
Losers say it is hard and impossible, but winners say it is hard but not impossible." Rohit Saxena
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