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Market Commentary
Liquidity may dry up further - Derivatives Review - Angel Broking
Posted On : 2012-11-17 22:49:15( TIMEZONE : IST )
Nifty spot closed at 5574.05 this week, against a close of 5686.25 last week. The Put-Call Ratio has decreased from 1.06 to 0.98 levels and the annualized Cost of Carry is positive 3.27%. The Open Interest of Nifty Futures decreased by 17.71%.
Put-Call Ratio Analysis
PCR OI has decreased from 1.06 to 0.98 levels. The reason for such sharp decline in ratio was due to significant amount of unwinding seen in 5600-5900 put option which was much of short covering and simultaneously considerable amount of buildup was seen in 5500-5800 call option on week on week basis. After consolidation, market in Friday's trade has seen some selling pressure which resulted in breaking of support of 5600. It's difficult to suggest any further support as buildup in put option is quite scattered however 5500 has the maximum open positions as of now, while in call option 5800 strike price continues to have highest buildup in open interest and would act as strong resistance going forward.
Open Interest Analysis
Total open interest of market has increased from Rs.1,47,234/- crores to Rs.1,49,029/- crores. Stock futures open interest has decreased from Rs.34,115/- crores to Rs.33,027/- crores. Some of the big names which added open interest are TATASTEEL, HINDALCO, HCLTECH, JPASSOCIAT and STER. Open interest was shed in large cap names like BHARTIARTL, DRREDDY, BAJAJ-AUTO, COALINDIA and ACC.
Implied Volatility Analysis
Implied Volatility (IV) for NIFTY has increased from 12.28% to 12.86%. Historical volatility (HV) is at 14.35% and that for BANKNIFTY is trading at 21.62%. Liquid counters having very high HV are MCDOWELL-N, UNITECH, SUZLON, IRB and IBREALEST. Stocks where HV are on lower side are TATACHEM, HDFCBANK, IOC, SUNPHARMA, and NTPC.
Cost-of-Carry Analysis
Nifty futures closed at a premium of 6.50 point against the premium of 34.35 points to its spot. Next month future is trading with premium of 42.30 points. Liquid counters where CoC is high are PFC, DABUR, DENABANK, JUBLFOOD and AUROPHARMA. Stocks with negative CoC are SUZLON, OPTOCIRCUI, ASHOKLEY, BHEL and ULTRACEMCO.
