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Market Commentary
Stay long but hedge - Angel Broking
Posted On : 2013-01-05 23:49:47( TIMEZONE : IST )
Nifty spot closed at 6016.15 this week, against a close of 5908.35 last week. The Put-Call Ratio has increased from 1.00 to 1.05 levels and the annualized Cost of Carry is positive 7.16%. The Open Interest of Nifty Futures increased by 5.21%.
Put-Call Ratio Analysis
PCR OI has increased from 1.00 to 1.05 levels. The rise in ratio was mainly due to decent amount of buildup observed in 5600-6100 put option and simultaneously 5900-6000 call option has seen good amount of unwinding which was much of the short covering. In the week gone by 6100-6400 call option has also seen considerable amount of buildup in open interest. Highest open interest in call option has now shifted from 6000 to 6200 strike price which could act as the resistance going forward, while in put option the buildup is quite scattered between 5700-5800 strike price however 5800 put option has the maximum open positions as of now.
Open Interest Analysis
Total open interest of market has increased from Rs.1,05,052/- crores to Rs.1,32,550/- crores. Stock futures open interest has increased from Rs.34,863/- crores to Rs.37,800/- crores. Some of the large cap names which added open interest are NTPC, KOTAKBANK, CIPLA, HINDALCO and POWERGRID. Open interest was shed in large cap names like ONGC, PNB, JINDALSTEL, HDFC and COALINDIA.
Implied Volatility Analysis
Implied Volatility (IV) for NIFTY has decreased from 12.65% to 12.18%. Historical volatility (HV) is at 13.37% and that for BANKNIFTY is trading at 17.25%. Liquid counters having very high HV are KTKBANK, IFCI, MCDOWELL-N, UNITECH and SUZLON. Stocks where HV are on lower side are COALINDIA, HDFCBANK, POWERGRID, SIEMENS and DRREDDY.
Cost-of-Carry Analysis
Nifty futures closed at a premium of 31.85 point against the premium of 46.20 points to its spot. Next month future is trading with premium of 69.10 points. Liquid counters where CoC is high are ABIRLANUVO, GVKPIL, GMRINFRA, NHPC and WELCORP. Stocks with negative CoC are RECLTD, NTPC, SIEMENS, IDEA and SRTRANSFIN.
