Wednesday, February 25, 2009

Fno Analysis - Derivatives Strategy NSE 25-02-09

Nifty recovers after two days of weakness

Nifty recovers after two days of weakness Markets closed on a positive note today ahead of derivative expiry. The Nifty Feb Fut closed 28.7pts or 1.05% higher at 2754.3. The Nifty Feb Fut closed at a discount of 8.2pts to the spot. Nifty March futures closed at a discount of 26 points to spot.

Marketwide rollover was at 49% while stocks futures rollover is at 48%. Nifty rollover is at 55%.

Total turnover in the F&O market was lower at Rs.40,130crs. Vs. Rs.45,694 crs. on Tuesday. The biggest gainers in the F&O segment were Century Textiles, HCL Infosys, M&M, Amtek Auto, Strides and Mphasis. The biggest losers were Sintex, Balrampur, Gitanjali, Bajaj Auto and Alstom Projects.

Morning Call :

Markets likely to recover on the back of positive global cues On Tuesday, the markets opened significantly in the negative but soon started moving up and witnessed a one-way recovery all day. The Nifty Fut OI increased from 6,94,858 to 7,12,246 contracts and the discount on the Nifty Mar Fut declined from 27.35 to 24.55 pts indicating build up of fresh long positions. Derivatives volumes rose marginally from Rs.43,146 crs to Rs. 45,494 crs. with the rise seen across all categories of the F&O market. The Nifty OI PCR was at 1.12. The Nifty IV is currently trading at 44.55 (vis-à-vis HV of 26.02) indicating that the Nifty options are overpriced compared to its fair value. This also suggests expectation of higher volatility in the near term.

In the Stock Fut segment, fresh longs were seen in Powergrid, Bharat Forge, Titan and Prism Cement. Shorts were built in Sintex, Wockhart, UTV and SKumars. The Nifty Rollover has increased to 53% on T-2 day as compared to 48% last month while the marketwide rollover has remained flat at 45%. Today the markets are likely to recover and trade in the positive all day.