Thursday, May 20, 2010

VIX surges 20%, at 3-month high

Turnover surged to Rs 1.36 lakh crore in the falling market. The Nifty futures closed weak at 4,922.9 against the spot close of 4,919.65. It added 5.11 lakh shares or 1.8 per cent in open interest. Option trading suggests negative bias as 5,000 and 5,100 calls added significant amount of open interest. However, accumulation in 4,800 and 4,900 puts indicates that these levels could provide some semblance of support.

India VIX

India VIX or volatility index, which has been rising since the start of May, has crossed the 30-point mark for the first time since February 23. It closed the day 32.04, gaining 20.72 per cent over the previous day's close of 26.54. This clearly reflects the nervousness and fear among traders. NSE's volatility index captures the expected near term movement — upside or downside — of the underlying index over the near term.

According to NSE, “India VIX is a volatility index based on the Nifty 50 Index option prices. From the best bid-ask prices of Nifty 50 options contracts, a volatility figure (%) is calculated which indicates the expected market volatility over the next 30 calendar days.”

The fear gauge, as famously known as, touched a high of 92.53 on November 14, 2008, when the bear market was at its peak.

Stock futures

Tata Motors futures added fresh short positions. It tumbled eight per cent to Rs 717.1 against the spot close of Rs 709.45 and added 6.46 lakh shares or six per cent in open interest.

Similarly, ICICI Bank futures also added fresh short position. It closed in discount at Rs 887.25 with respect to the spot close of Rs 830 and added 8.33 lakh shares or 6.5 per cent in open interest.

Unwinding of long position was seen on Reliance Industries, SBI, Hindalco and DLF.

RNRL and Federal Bank, which finished on firm note, also saw unwinding of longs.

However, Hero Honda futures added fresh longs.

FII activity

Though FIIs were net buyers to the tune of Rs 1,122.37 crore, thanks to their heavy buying in index options (Rs 2,668.49 crore), they offloaded Rs 1,555.15-crore worth index futures.

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