Weekly update – Week ended 21 Feb 2014

TripleInt

NIFTY closed last week at 6155 levels, up 1.77% from the previous week close of 6048. After a good up move on tuesday, NIFTY fell back into range the next two days with again a bounce back on friday.

Overall throughout this series NIFTY has been moving in a closed range and though it has made a high close for the series, it looks like upper side is capped for this expiry week with the range being 6050 to 6175 levels. The volatility has been very less for both puts and calls this series and due to this there might be a volatility expansion as well as range expansion move for this expiry on Wednesday. 

System parameters have been completely oscillating between puts and calls in line with the range bound moves seen.

======== Underlying Index: NIFTY 6148.75  As on Feb 24 2014 10:56:36 IST =========

 

Set-1 NIFTY Overall Buy
## SPOT 6148 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6148 5600 6500 CALL CALL -18.77 -120,700 CALL -51.05
## 6148 5700 6400 CALL CALL -18.29 -474,250 CALL -61.57
## 6148 5800 6300 CALL PUT -16.50 1,252,300 -69.33
## 6148 5900 6200 PUT CALL 0.34 -1,017,100 0.90
## ## 6000 6100 CALL CALL -0.45 -12,650,250 CALL -1.15
Set-2 NIFTY Overall Buy
## SPOT 6148 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6148 5600 6400 CALL PUT -25.26 1,062,700 -80.65
## 6148 5700 6300 CALL PUT -23.31 1,522,050 -92.41
## 6148 5800 6200 CALL PUT -31.77 294,050 -100.31
## 6148 5900 6100 CALL CALL -2.58 -7,791,500 CALL -6.09
## ## 6000 6000 CALL CALL -0.78 -18,201,800 CALL -1.75
Set-3 NIFTY Overall Buy
## SPOT 6148 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6148 5700 6500 CALL CALL -11.80 -1,657,650 CALL -34.14
## 6148 5800 6400 CALL CALL -11.48 -744,000 CALL -41.37
## 6148 5900 6300 PUT CALL 15.61 -58,850 57.50
## 6148 6000 6200 PUT CALL 2.47 -5,875,850 7.00
## ## 6100 6100 CALL CALL -0.12 -7,098,700 CALL -0.34
Set-4 NIFTY Overall Buy
## SPOT 6148 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6148 5700 6600 CALL CALL -5.54 -1,895,750 CALL -14.40
## 6148 5800 6500 CALL CALL -4.99 -1,927,400 CALL -15.62
## 6148 5900 6400 PUT CALL 20.63 -2,055,150 63.66
## 6148 6000 6300 PUT CALL 17.74 -4,917,600 68.79
## ## 6100 6200 PUT CALL 2.80 -324,300 8.82

 

Closed Position details

We took a put trade last week and it got stopped out.

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
18-Feb-2014,10:36 am 19-Feb-2014,3:10 pm NIFTY PE 6100.00 26FEB2014 3 * 50(150) 34 24 5100 -1500 Nifty likely to fall back into range and test 6050 levels. Closing comment: A spike up move in the late afternoon on 19th feb triggered the stop and markets opened gap down on 20th. Position closed at stop price.
Overall Profit/Loss Rs.-5

www.tripleint.com

Comments are closed.