Friday, March 20, 2009

>Daily Dervatives (ICICI Direct)

• In yesterday’s trade, Nifty future saw covering in short positions along with some further long closure, which was followed by short rollover into the next series. The Nifty March series witnessed an unwinding of 741300 shares in OI accompanied by a nearly 1% rise in price
and widening of the discount to 15.05 pts. The April series added 1.44 million shares in OI.

• The PCR-OI surged to 1.58 on account of huge addition of OI in the 2800 and 2700 strike Puts. An addition of 22299 contracts in the 2800 Put and 18643 contracts in the 2700 Put along with rise in IV. This indicates buying in these strikes. Also, addition of 9663 contracts in the 2600 Put with IV almost unchanged indicates some Put writing at this strike. On the other hand, 2800 Call shed 4727 contracts along with marginal rise in IV indicating some further unwinding of positions by Call writers. The maximum addition in OI (16882 contracts) among Calls was seen in the 2900 Call with drop in IV. Market participants are advised not to carry any aggressive long positions as far as 2800 is held as resistance on a closing basis and 2835 on an intraday basis. However, 2700 may still continue to be a good support for the market.

• FIIs were net buyers to the tune of Rs 222 crore. DIIs were net buyers to the tune of Rs 526 crore.

To see full report: DERIVATIVES 200309