Derivatives Daily Update:30.09.2011

Derivatives Update:30.09.2011

On price charts. Nifty October Futures closed down by nearly 2% at 4934.30. It remained within yesterday's range making a high of 5031 and low of 4920.10. Bank Nifty too closed lower by nearly 2.5% at 9422.60. Bank Nifty was not able to surpass yesterday's high but broke yesterday's low signifying weakness in banking shares. All in all selling pressure was witnessed in the market on price charts.

SYMBOL	EXPIRY	OPEN	HIGH	LOW	CLOSE	CHG
NIFTY	29/09/2011	4999.8	5031	4920.1	4934.3	-81.15
BANK NIFTY	29/09/2011	9600	9633.15	9386.75	9422.6	-230.8

On volume charts, total turnover was 94000 cr, no.of contracts were 38.36 lac approx. Put Call Ratio was 1.28. As yesterday was last day of series comparison of volume is not justified. As can be seen from the data underneath, traded quantity, no. of contracts as well as no.of trades has increased substantially but no great change in Open Interest is seen though being a first day of new series. It shows lack of participation from positional traders. As said in yesterday's post, as such Open Interest in Nifty was lower than last series. Volume charts suggest that traders are cautious and not willing to commit any new positions.

SYMBOL	EXPIRY	OPEN INT	CHG IN OI	TR QTY	CONT	TRADES
NIFTY	25/10/2011	19640200	302700	6277150	125543	50281
NIFTY	24/11/2011	1046750	122550	174450	3489	2338
NIFTY	29/12/2011	39000	-219000	-124550	413	303

On technical charts, it is once again vindicated that we are in a downward trending market. No pull backs are sustainable and are met with selling interest in market. On daily charts there is no indication of trend reversal. Nifty is finding it difficult to cross even short term averages (10 day & 20 day) which is 4998 & 5020. Nifty from last one month is trading in a range of 4718-5174. It is becoming extremely important on which side Nifty will break this range. With India VIX, a volatility measure which measures the risk as perceived by markets in near term, ruling at 32 coupled with downward price movements indicates that we will break the range on lower side.  Actually Nifty will break on lower side or not, even after breaking will it sustain those levels or not only time will tell because levels around 4700 are strong multiple support zones. If Nifty manages to break this level on sustainable basis we might go and find support at 4282. Till that time shorting the Nifty is best option.

On Stock futures front, actively traded counters were Reliance, State bank, Reliance Capital, ICICI Bank and Tata Steel. Top gainers were Sesa Goa 5% GSPL% 4% Mcleod Russel 4% Srei Infra 4% Bata 3%. Top losers were Reliance Capital-13% KFA -12% Rcom -8% Sintex -7% and Voltas -7%

On Stock Options front, actively traded counters were Reliance 820 CE Reliance 800 PE Reliance 800 CE State Bank 2000 CE and Tata Steel 440 CE.

On Nifty Options front, substantial positive change in Open Interest was seen in 4900 CE (478200) 5000 CE (921400) 5100 CE (889750) 5200 CE (730700) 5300 CE (391150) 5400 CE (536200) 4300 PE( 782750) 4400 PE (2337550) 4500 PE (1089750) 4600 PE (1088700) 4700 PE (1004150) 4900 PE (649400)

My prognosis of the market is no different than what I am telling from last many days. We are in a strong downward trending market. There are no technical indicators which suggest trend reversal. Volatility in the market is high, participation is less and pull backs are getting sold off. It is advisable to go short in Nifty with stop loss above its short term averages of 4992 & 5020 for extremely short term traders. For medium to long term traders advisable stops are 5175-5240 5360. Ride the bear wave till we see any sustainable bottom formation supported by sustainable rally with good volumes.

Happy Trading...

Atul Doshi