Weekly Update – Week Ended 14 Feb 2014

 

TripleInt

NIFTY closed last week at 6048 levels, down 0.24% from the previous week close. On the daily charts the 200 DMA levels for NIFTY is at 5981 levels and last week there was a strong down move on thursday to break 6000 levels. The expected recovery till 6050 levels came on friday.

Overall it is still indicating a range month with the possibility of NIFTY testing 6117 and 6140 levels by wednesday this week followed by another retest of 6000 levels.

System parameters are favouring calls to a good extent considering the IV. OI trend is not fully supporting a major up move at this stage and that is the reason for the expected range for this week and also for this series.

======== Underlying Index: NIFTY 6065.50  As on Feb 17 2014 10:12:05 IST =========

 

Set-1 NIFTY Overall Buy
## SPOT 6065 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6065 5600 6500 CALL CALL -29.74 -639,100 CALL -94.06
## 6065 5700 6400 CALL CALL -26.98 -1,098,600 CALL -95.30
## 6065 5800 6300 CALL CALL -22.57 -179,950 CALL -89.79
## 6065 5900 6200 CALL CALL -4.88 -217,800 CALL -14.90
## ## 6000 6100 CALL CALL -3.24 -4,593,900 CALL -9.78
Set-2 NIFTY Overall Buy
## SPOT 6065 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6065 5600 6400 CALL PUT -28.96 542,850 -97.29
## 6065 5700 6300 CALL PUT -24.45 714,850 -92.53
## 6065 5800 6200 CALL PUT -21.85 822,850 -87.60
## 6065 5900 6100 CALL CALL -5.40 -4,133,300 CALL -16.09
## ## 6000 6000 CALL CALL -3.92 -11,924,500 CALL -11.39
Set-3 NIFTY Overall Buy
## SPOT 6065 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6065 5700 6500 CALL CALL -27.76 -2,280,550 CALL -92.59
## 6065 5800 6400 CALL CALL -25.10 -1,993,400 CALL -93.53
## 6065 5900 6300 CALL CALL -5.60 -1,220,600 CALL -16.93
## 6065 6000 6200 CALL CALL -2.72 -678,400 CALL -8.41
## ## 6100 6100 CALL PUT -2.56 2,736,700 -8.02
Set-4 NIFTY Overall Buy
## SPOT 6065 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6065 5700 6600 CALL CALL -14.93 -2,567,500 CALL -53.04
## 6065 5800 6500 CALL CALL -25.88 -3,175,350 CALL -91.34
## 6065 5900 6400 CALL CALL -8.13 -3,034,050 CALL -22.52
## 6065 6000 6300 CALL CALL -3.44 -1,681,200 CALL -10.53
## ## 6100 6200 CALL PUT -2.04 6,652,200 -6.54 

 

We took a call trade on friday based on the view of NIFTY testing 6050 and target was reached in the position.

Closed Position details

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
14-Feb-2014,11:19 am 14-Feb-2014,2:41 pm NIFTY CE 6100.00 26FEB2014 3 * 50(150) 34.5 44 5175 1425 Nifty likely to test 6050 levels for the day. Closing comment: Nifty tested 6050 levels towards late afternoon and target reached
Overall Profit/Loss Rs.1495

 

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