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IIFM Research Desk
research@iifm.co.in
8 March 2011
Market Summary
Spot Mar Fut Prem. / Disc Futures OI PCR OI VIX
Current 5463.15 5475.6 12.45 28621400 1.24 25.22
Previous 5536.2 5544.7 8.5 27589300 1.33 22.91
Change (%) ‐1.32% ‐1.25% 3.74% 10.08%
Market Summary: Investors were jittery on Monday on the back of political instability and rising crude oil prices. The
Sensex plunged more than 400 points in intraday trade ‐ giving up post budget gains ‐ as the talks between UPA allies
DMK and the Congress over seat‐sharing for forthcoming elections in Tamil Nadu failed over the weekend.
VIX: Nifty VIX increased to 25.22 from 22.91. ATM IV was ~23.65.
PCR: The Put‐Call Ratio for index options was at 1.24. Nifty 5600 Call for the March series now has highest cumulative
OI with around 0.62 crore shares outstanding.
Turnover Snapshot
Segment Turnover (Rs. Cr) % of Total No. of Turnover
Product % change
contracts (Rs. Cr)
NSE Cash 9513.46 7.37% Index Futures 754430 19229.64 ‐14.7%
⇒ The total market turnover was 129005 crores which was around 23.79% lower than that on the previous trading
day.
⇒ The turnover in the F&O section was 22.2% lower than that on the previous trading day.
⇒ There was Long buildup in ABAN with 14.32% addition in OI and 3.65% increase in price. BHEL saw a short build‐
up with 22.45% addition in OI and 2.98% decrease in price.
⇒ Long unwinding was seen in IGL with 5.07% decrease in OI and 0.91% decrease in price. Short covering took
place in GMDCLTD. with 2.85% decrease in OI and 1.13% increase in price.
6000
4000 Call
2000 Put
0
4800 4900 5000 5100 5200 5300 5400 5500 5600 5700 5800
Strike
Change in OI
Open Interest Change ('000)
1000
500
0
‐500
‐1000 Call
‐1500 4800 4900 5000 5100 5200 5300 5400 5500 5600 5700 55800 Put
‐2000
Strike
⇒ The Put‐Call Ratio for Nifty was at 1.24. PCR for the March series was at 1.30.
⇒ In the Nifty March Series, Calls were added at 5400 & 5500 strikes. Nifty currently has highest
cumulative OI on he put‐side at 5400 strike and highest cumulative OI on the call side at 5600 strike.
⇒ The strike PCR at 5400 was at 2.34 indicating that market will find strong support at around 5400 levels.
Strike PCR at 5600 is 0.29. Hence 5600 should act as a resistance for Nifty in the near term.
Technical Reports
1. Impact Technical guide giving a long term view on index and stocks
2. Market Mirror Technical guide giving a short term view on index and stocks
3. Match Technical analysis of Dollar index and its constituents against INR
Daily Reports
1. Morning Glance Daily update of global news before the Indian markets open
2. Post Market Update Daily market action and key statistics in a nutshell
3. Currency Update Analysis of the domestic currency market with an outlook for the day
4. Commodity Update Snapshot of the commodity market with an outlook for the day
5. Derivatives Daily Daily update of the activities in the Derivatives segment
6. Derivatives Weekly Weekly update of the activities in the Derivatives segment
7. Rollover Analysis Daily analysis of the rolls during the expiry week every month
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