Expiry trade took the market lower by close but showed signs of bouncing back to the series vwap levels even at those prices . The test is the volumes which come above or below the series vwap in tomorrow’s session
| Nifty MAR F
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| Background / Previous Auctions :
Medium Term : On Friday May 16th 2014, we saw a range of 7560- 7125 (spot prices) and we believe it forms the backdrop of the moves we may see in the Nifty for a considerable amount of time, as it was a 5 sigma event.The auction remains positive as long as we close above the highs of that day (May16).
There was a failed auction noted at the lows on 17/10 at 7723 which is a reference point and support line for the future.
At the end of Dec 2014 we had reason to believe the the long auction in the medium term which started at 5920 early in 2014 may be consolidating for some time. However the Jan auction shows that the move has not terminated yet and we still looking at 10400- 10800 targets through the coming year as long as we stay above 8200 now.
Weekly levels : (first updated 22/02)
(On spot prices) As we move into expiry week, 8750 holds the vwap for the current settlement and is this 8726- 8750 band remains the support for the Buyer to hold through the coming few sessions.
Post the late selloff on friday afternoon, a close above 8872 spot will reassure these buyers.
Resistance still at 9035 and 9142/62.
(Update 24/02)
The day low of 24/02 was at 8726 spot in the lower part of the band of 8726- 8750 of the weekly chart . The high of yesterday at 8869 was 3 short of the 8872 we are seeking. The Auction still remains under the control of the buyers particularly after the huge buying seen in the last hour which we believe tilted the auction to the long side. The close of 8762 set up an imbalance target of 8849 spot in the weekly chart to be achieved in next 1- 2 sessions
(Update 25/02) Spot hit a high of 8840 today and the market looks locked now in the 8720- 8870 spot zone.
Observations in Today’s/ Previous sessions :
(based on Fut prices)
#) The NF profile stayed below pdl mostly and the earlier buyers of the week could not do much today to arrest the slow slide #) vwap of the day was at 8770 with volume of 102.2 L. #) Profile broke away from the range of the past few sessions but was irregular in structure #) High volumes detected at 8719 F on the Buy Side
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#) 8795 F is the hurdle for the Bull in the session tomorrow, cross of which can put the bull on track for 9104 and 9406 in the coming 2 sessions. if the bullish sentiment prevails through the Budget session. #) However a failure at 8794 F can mean a quick visit to 8641 F and 8488 in the coming sessions.
Hypothesis :
( Based on Futures)
K.R.A is 8752 ( K.R.A= key reference area)
Hypo1 ) If NF auctions above 8752 then it will move to 8794 and 8841 . Sl for this view will be 8718.
Hypo2 ) If NF auctions below 8718 then it will drop to 8697 and 8641. Sl for this view is 8751.
BankNifty Mar F :
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| Background/ Previous Auctions :
Medium Term- 18400 BN spot will be the key level to watch in BN over the coming weeks on a closing basis. As long as price stays above 18400 weekly closing the BN can make a move to 23500 levels. Highest volume traded in BN in 2014 was at 15100- 15200 spot levels. This 15100 will be the second layer of support in BN below 18400.
Weekly levels : (first updated 22/02)
(based on spot prices)
We mentioned last week 19385 as decisive in BN for upsides but the BN did not make much headway above it. The week low of 18870 will continue as an important support in the coming few sessions .
The current vwap of BN is at 19280 for the settlement and it matches with the Jan series vwap at the same point. Hence in the current settlement the Put writers will feel emboldened only when this vwap is crossed. A close above 19380 will add to the comfort. Till then the bias will be down wards.
(Update 25/02)
The BN came back and closed at the FA point. The long view invalidates if we auction below FA point of 18737 tomorrow and the drop can extend to 18393 cash again.
Observations in Today’s/ Previous sessions :
(based on Fut prices)
#) The BNF profile auctioned all day below the FA point #) vwap was at 18794 with volumes of 22.2 L #) The Market sold off repeatedly from the FA point all day today
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#) There are 2 resistances overhead for the Market now at 18898 and 19010 F #) The March F imbalance objective is at 18590 and the BNF was 60 points short at close. #) If the resistances are overcome then BNF should make a move to 19400 F in next 1-2 sessions.
Hypothesis :
( Based on Futures)
K.R.A is 18743 ( K.R.A= key reference area)
Hypo1) IF BNF auctions above 18743 then it will move to 18825 and 18898- 19010 . Sl for this view is 18655
Hypo2) If BNF auctions below 18585 then it can move to 18340 and 18182 . Sl for this view is at 18655 |