Statistics are negatively biased; stay light - Angel Broking

Nifty spot closed at 6171.45 this week, against a close of 6211.15 last week. The Put-Call Ratio has increased from 0.87 to 0.91 levels and the annualized Cost of Carry is positive 2.01%. The Open Interest of Nifty Futures decreased by 0.17%.

PCR-OI has increased from 0.87 to 0.91 levels. This ratio has mainly increased due to huge buildup in the range of 5800-6100 put options, followed by good amount of unwinding in 5700 strike. In call options significant buildup was seen in 6200 strike, while 6300 & 6400 strikes also added good amount of buildup. Some unwinding was also seen in 6500-6700 strikes of call options last week. Highest buildup is seen in 6300 call & 6000 put options.

Total open interest of market has increased from Rs. 1,19,331/- cr. to Rs. 1,33,422/- cr. Stock futures open interest has increased from Rs. 35,418/- cr. to Rs. 35,631/- cr. Some of the large caps which added open interest are SAIL, IDFC, LT, SBIN and HINDALCO. Open interest was shed in large cap names like SUNPHARMA, ASIANPAINT, BAJAJ-AUTO, TATAPOWER and ONGC.

Implied Volatility (IV) for NIFTY has decreased from 14.80%.to 14.16%. Historical volatility (HV) is at 16.56% and that for BANKNIFTY is trading at 28.78%. Liquid counters having very high HV are FRL, HDIL, CENTURYTEX, ORIENTBANK and BANKINDIA. Stocks where HV are on lower side are HINDUNILVR, DRREDDY, LUPIN, ITC and CAIRN.

Nifty futures closed at a premium of 6.80 points against the premium of 40.60 points to its spot. Next month future is trading with premium of 43.35 points. Liquid counters where CoC is high are UNITECH, LUPIN, APOLLOTYRE, HEXAWARE and CENTURYTEX. Stocks with negative CoC are COALINDIA, SAIL, BHEL, SYNDIBANK and ALBK.

Source : Equity Bulls

Keywords