Fall due to unwinding and on less volumes; wait and watch - Angel Broking

Nifty spot closed at 5985.95 this week, against a close of 5983.55 last week. The Put-Call Ratio has decreased from 1.12 to 1.03 levels and the annualized Cost of Carry is positive 3.18%. The Open Interest of Nifty Futures decreased by 40.58% due to expiry.

PCR OI has declined from 1.12 levels to 1.03 mainly due to expiry and also due to huge unwinding in 6100 strike put last Monday due to fall in market that day. In new series we are witnessing that in calls built-up is scattered from 6000 to 6300 and in puts its spread between 5800 to 6000. Such scattered built-up suggests that volatility may go up from current levels.

Total open interest of market has decreased from Rs. 1,69,654/- cr. to Rs. 1,07,670/- cr. Stock futures open interest has decreased from Rs. 33,662/- cr. to Rs. 28,460/- cr. Some of the big names which added open interest are CIPLA, GAIL, SESAGOA, WIPRO and PNB. Open interest was shed in large cap names like AXISBANK, INFY, HEROMOTOCO, BAJAJAUTO and DLF.

Implied Volatility (IV) for NIFTY has increased from 15.27% to 15.99%. Historical volatility (HV) is at 21.61% and that for BANKNIFTY is trading at 29.43%. Liquid counters having very high HV are OPTOCIRCUI, HDIL, ADANIPOWER, UNITECH and IVRCLINFRA. Stocks where HV are on lower side are TATACHEM, BIOCON, AMBUJACEM, ASAINPAINT and ABIRLANUVO.

Nifty futures closed at a premium of 14.10 points against the premium of 15.65 points to its spot. Next month future is trading with premium of 30.60 points. Liquid counters where CoC is high are BHARTIARLTL, RENUKA, INDIACEM, JPPOWER and SUNPHARMA. Stocks with negative CoC are ICICBANK, SBIN, INFY, GMRINFRA and HAVELLS.

Source : Equity Bulls

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