Have a look :
What looked like a day where selling had been controlled at the 5465 HVN level, which stood out for the major part of the day, turned around for a close exactly there.
This is the first time in four days we saw selling into the close. The chart shows the big pullbacks developing in the second half of the day.
The Selling was even felt in the Bank Nifty which had it's first close below value area low and below the 10980 level we have been watching in several weeks.
Since tomorrow is expiry I want to quickly turn my attention to the action tomorrow, because tomorrow is the one day in the trading calendar when action gets dictated by open Interest and little of every thing else.
Let's look :
The IV range calculated by our Vix Calculator is 5518-5420 in the future and 5516-5409 in the spot.
By all accounts it will be volatile, as the PE writers sitting smug at 5500 PE will be facing the heat.I think many of them didn't anticipate this closing today and if they wilt tomorrow then 5420 will happen.The 65 lacs in OI at a current price of 37.45 will ensure that easily.
However if you look at the chart closely, then you will notice that despite two days of selling where we have seen the Nifty come down from 5540 levels to today's 5465, we have not seen a great reduction in the 5500 PE for September. In itself it tells us that the PE writers are confident that this downtrend will not continue.
However tomorrow it is not about September but about August.
I mentioned last month that the VIX formula by itself is nothing but a range.The key to the expiry is always in the Open Interest.
For tomorrow the key will be the 5500 PE.
If unwinding is seen then a short below our HVN at 5465 will be a safe bet.
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8 comments:
Shai,
Monthly VWAP was 5445 as of last Friday (source Karvy newsletter). I would assume it would have stayed the same.
So 5431-5445 is also an import level for buyers to defend if HVN @5465 is broken.
In your past month's observation, is there any influence of monthly POC on expiry level?
US markets don't look all that bad at the moment and if it ends flat - i think we will have a close above 5500 tom. - although Indian markets have stopped responding to other markets except for the last 2 days....
NASDAQ 2120.67 -3.09 -0.15% | DJIA 10010.86 -29.59 -0.29% | S&P 1047.71 -4.16 -0.4%
i think US will close in GREEN and we will have a gap up tom.
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As I dont' understand options at all - let me try to put my head into it -
"65 lacs in OI at a current price of 37.45"
these are PUTS - that means these many people believe that market will not touch 5500 - right? what is 37.45? there are 73 lacs CALLS also - so these many people believe that market will touch 5500? now, what happens in a scenario when market starts approaching 5500? those PUT writers will cancel their trades? and how will that affect the momentum?
Shai, Girish,
I've been reading a lot abt. TATA GLOBAL - Many people believe that the stock can run upto 125/130/150 soon - they are expanding business - is this a lambi race ka ghoda? I read that TATA MOTORS was around 150 a year ago when the markets crashed.....is this something like that?
Girish,
It's strange that you mention 5431 becuase it is another HVN as also the developing POC for august series.
And being quite close to the 5420 lower side of range it should support the move down if we get it.
One more observation on rollovers:
For the past 6 days the difference in Nifty Fut price in SEPT series vs AUG series has been:
8, 8, 11, 11, 7, 5
From past few month's observation (esp Jan/April expiry) when the premium of next month vs this month reduces in the last couple of days -- it usually points rollovers on short side.
With one of the highest OI ever on Nifty (almost 4Cr) we might be definitely in for a exciting ride on either side in next few months.
Janak,
Put writers write when they feel price will go up, the reverse of a put buyer who will buy if he feels price will go down.
Now if tomorrow we come below HVN, the put writer will have to pay more than the current price of 37.45 for the current holding, so you see the pressure he is under.
Theoretically the 5500 put will be 50/- (+) at 5450 and 70/-(+) at 5430. It will be 1/- at 5499/-.
Anything with a tata name is an investment fundamentally. They are one of the better known business houses and all their companies over time are known to do well.
Just look at Jag and LR.
In the past 5 days, out of 41 lakhs added, about 25 L has reduced in the 5500 PE.
In the 5500 CE, 850000 L reduced in the past five days and 100,000 was added today.
In the 5500 Sept CE, about 20 L was added in the past five days
In the 5500 Sept PE , about 28.5 L was added in past five days.
For 27th Aug.
Scripts to watch today : Bhel, Bhartiatl, DLF, ICICIBank, Infosys, Maruti, Reliance, RelInfra, Sterlite, Cairn, Sail.
http://www.4shared.com/document/5idGqvNo/MySAR_A__Future_for_27th_Aug_.html
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