Weekly Update – Week ended 07 Feb 2014

TripleInt

Last week, bears were able to push NIFTY down below the 200 DMA levels of  5975 and NIFTY saw a low of 5933 levels which is near to the weekly 50 SMA level of 5939. NIFTY gave a good bounce from that level in the succeeding days and closed the week at 6063 levels, a 26 point (0.43%) below the previous weekly close level of 6090.

Overall, it looks like markets will remain range bound for this series between the levels of 5962 and 6140 for quite sometime.

 

System parameters are favouring calls to some extent considering the IV skew, but the OI trend indicates resistance building at 6100 levels and it is highly likely for NIFTY to retest 5970 levels in a couple of days. As of now there is no major down side move also seen if NIFTY reaches that level.

======== Underlying Index: NIFTY 6055.15  As on Feb 10 2014 10:15:05 IST =========

 

Set-1 NIFTY Overall Buy
## SPOT 6055 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6055 5600 6500 CALL CALL -29.87 -247,200 CALL -99.72
## 6055 5700 6400 CALL CALL -28.78 -891,700 CALL -99.82
## 6055 5800 6300 CALL PUT -8.59 67,700 -23.28
## 6055 5900 6200 CALL CALL -6.09 -1,422,200 CALL -16.32
## ## 6000 6100 CALL CALL -5.57 -3,954,550 CALL -14.78
Set-2 NIFTY Overall Buy
## SPOT 6055 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6055 5600 6400 CALL PUT -29.90 984,050 -101.00
## 6055 5700 6300 CALL PUT -27.02 381,700 -95.33
## 6055 5800 6200 CALL PUT -8.26 822,800 -22.12
## 6055 5900 6100 CALL CALL -6.34 -4,482,600 CALL -16.49
## ## 6000 6000 CALL CALL -5.94 -11,381,400 CALL -15.33
Set-3 NIFTY Overall Buy
## SPOT 6055 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6055 5700 6500 CALL CALL -28.75 -2,122,950 CALL -98.58
## 6055 5800 6400 CALL CALL -10.35 -1,205,700 CALL -27.43
## 6055 5900 6300 CALL CALL -6.42 -2,177,300 CALL -17.41
## 6055 6000 6200 CALL CALL -5.32 -894,150 CALL -14.54
## ## 6100 6100 CALL PUT -5.20 3,472,300 -14.18
Set-4 NIFTY Overall Buy
## SPOT 6055 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6055 5700 6600 CALL CALL -35.44 -2,725,200 CALL -111.42
## 6055 5800 6500 CALL CALL -10.32 -2,436,950 CALL -26.94
## 6055 5900 6400 CALL CALL -8.18 -3,450,700 CALL -21.70
## 6055 6000 6300 CALL CALL -5.65 -1,649,250 CALL -15.62
## ## 6100 6200 CALL PUT -4.95 6,532,700 -13.89

 

Closed Position details

Last week we took call trade and the details are given below.

 

Date Open Date Closed Scrip Option Type Strike Expiry Num Lots * Lot size Entry Price Exit Price Total Investment Profit/Loss Comment
06-Feb-2014,10:17 am 06-Feb-2014,10:45 am NIFTY CE 6200.00 26FEB2014 2 * 50(100) 42.60 29 4260 -1360 Nifty likely to test 6074 levels and beyond. Closing comment: The day low for the option price is 28.50 and it triggerd the stop before the bounce.
06-Feb-2014,12:18 am 07-Feb-2014,9:28 am NIFTY CE 6200.00 26FEB2014 2 * 50(100) 32 46.3 3200 1430 Nifty likely to test 6074 levels and beyond. Position reentered with revised stop of 25 levels as system pointing to bullishness. Closing comment: Spot target of 6074 reached at open. Option did not move to 54 levels. Closed position at 46.30
Overall Profit/Loss Rs.70

 

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