Quantitative data set up: Surge in VIX likely to put pressure on market at any bounce

Representative image | Source: Unsplash

Representative image | Source: Unsplash

Greed and Fear Indicator: Surge in VIX may put pressure on the market (VIX CMP – 28.14)

India VIX moved up sharply by 26.5 percent from 22.25 to 28.14 levels on week on week basis. VIX touched the intraday high of 29.64 and made its highest levels of the last 169 trading sessions since June 29, 2020. Surge in VIX has given tight grip to Bears and likely to put pressure on the market at any bounce.

CBOE VIX: CBOE VIX was up by 26.7 percent from 22.05 to 27.95 levels. Volatility shot up during the second half of the week and has given support to the bears to ride the downfall.

Fund Flow: FIIs sell as the market tumbles while DIIs turn net buyers

FIIs bought net Rs 42,044 crore worth shares in the month of February while DIIs on the other hand, sold worth 16358 crores in the month. During the week FIIs had a net positive position worth Rs 18,170 crore worth shares which included a block deal and DIIs turned buyers for most part of the week and concluded the week net Rs 280 crore positive in the week. The Long Short Ratio ranged from 60.89 percent to 63.33 percent in the week to close the week at its lower band at 60.89 percent. On the FIIs derivatives front, there was short built up in index futures and marginal short built up in stock futures.

Safe Haven: Gold loses lustre on account of rising U.S. Treasury yields (Gold, MCX CMP – Rs 45,569)

Gold was down by 1.14 percent on weekly scale and has been moving southwards as investors shift their asset class. Gold prices broke down and hit its lowest since May 2020 and headed towards its second consecutive weekly loss. Rising economic expectations and the U.S. Treasury yields snapped the shine of the precious metal and it tested lower zones.

Among other precious metals, silver was marginally up by 0.09 percent this week.

Option Data: Nifty wider trading range between 14,000 to 15,000 (Nifty CMP – 14,529, Bank Nifty CMP – 34,803)

Nifty futures closed the week with losses of 2.73 percent with reduction in futures Open Interest (OI) by 7.36 percent on a weekly basis which indicates longs are being liquidated as the index lost strength. During the week, Put Call Ratio (PCR) based on Open Interest of Nifty moved in between 1.36 to 0.93 levels and closed the week at its lower band. Since, it is the beginning of new series, option data is scattered at different strikes. On option front, Maximum Put OI is at 14,000 followed by 13,500 strike while maximum Call OI is at 16000 followed by 16500 strike. Option data suggests a wider trading range in between 14,000 to 15,000 zones.

Bank Nifty futures closed the week with losses of 2.73 percent with addition in Open interest by 7.86 percent on a weekly basis which suggests shorts are being built in the banking index. Put Call Ratio based on Open Interest of Bank Nifty remained in between 0.57 to 1.19 and it closed at its lower band. IV of Banking index increased to 39.5 levels as the week concluded. For weekly Bank Nifty, Maximum Put OI is at 34,00, while maximum Call OI is at 37,000. We have seen noticeable Call writing in 360,00 while Put writing is witnessed at 32000 followed by unwinding in 36500 strike.

The Nifty Financial Services index reflected reduction in open interest by 8.98 percent with a decrease in futures price by 3.69 percent in the week.

India Rupee: Dollar shot up on account of collapsing bond prices (USD/INR CMP – 73.92)

The USD/INR pair shot up by 1.89 percent from 72.55 to 73.92 on a week on week basis. Drop in gold prices and rising U.S. Treasury yields on account of economic and inflation concerns acted as catalysts in the rise in the Dollar.

Crude Oil: Oil continues its northward movement (Crude Oil WTI, MCX CMP – Rs 4,622)

Oil was up by 7.5 percent on week-on-week basis and continues its higher lows from the last four weeks. After a slight dip in the previous week, oil picked up and saw strength building in the week. However it ended a tad bit lower on Friday on account of collapsing bond prices and as a result rise in the U.S. dollar.

DJIA: US Indices tumbled down (DJIA CMP – 30,932)

The Dow Jones was down by 1.78 percent on week on week basis. Treasury yields soared and as a result the market tumbled and suffered heavy losses. Global markets across have been showing weakness and traders are advised to use caution ahead.

Moving forward, now till Nifty remains below 14,650 zones weakness could be seen towards 14,400-14,300 zones while on the upside hurdles are seen at 14,750 and 14,850 zones. Till Bank Nifty remains below 35,500 zones, weakness could be seen towards 34,000 and 33,333 zones while on the upside key hurdle exists at 36,000 zones.

Disclaimer: The views and investment tips expressed by investment expert on Moneycontrol.com are his own and not that of the website or its management. Moneycontrol.com advises users to check with certified experts before taking any investment decisions.