Derivatives Daily Update: 29.12.2011

Weak Expiry: 29 December 2011

Nifty December Futures after opening weaker traded for large part of day in a trading range and in last one hour broke down below 4650 levels and finally closed at 4648.60 down by 62.50 points. Bank Nifty too followed the trend and closed at 8040.95 down by 80.70 points. Volumes were obviously higher due to expiry and rollover. Put Call Ratio was 0.82. Volatility as measured by India VIX was at 26.44 down by 1%.  All in all it was a nervous day and weak expiry.

Day by day it is becoming evident that we are in strong bear market. Today also price movement with negative bias continued on the street. As envisaged, level of 4300 -4500 could easily be achieved seeing the lackluster participation from Bulls. In my opinion, for extreme short term traders it is advisable to short Nifty with stop above 4700 preferably 4750. For long term positional traders those who have rolled over their shorts 4975 level is their first stop.

Top five individual stocks which attracted higher volumes were SBIN, RELIANCE, ICICIBANK, AXISBANK and IFCI.

Top five individual options which attracted higher activity today were SBIN 1600 PE, SBIN 1600 CE, SBIN 1650 CE, RELIANCE 740 CE and IFCI 25 CE.

Top five individual stocks which gained today were KFA 6%, EXIDE 5%, MRF 5%, OPTOCIRCUI 4% and UNIONBANK 4%.

Top five individual stocks which lost ground were SKUMARSYNF -10%, IFCI -10 % FSL -9%, SUZLON -8% and DHANBANK -8%.

Nifty option series where POSITIVE change in open interest (JAN SERIES) was seen were 2700 CE (2.24 LK) 2900 CE (1.33 LK) 3300 CE (5.67 LK) 3400 CE (9.64 LK) 3500 CE (3.41 LK) 3600 CE (5.81 LK) 3700 CE (4.60 LK) 3900 CE (3.31 LK) 4000 CE (2.02 LK) 2700 PE (1.94 LK) 2800 PE (1.05 LK) 2900 PE (13.63 LK) 3000 PE (1.79 LK) 3100 PE (4.88 LK) 3200 PE (6.11 LK) 3300 PE (5.50 LK) 3700 PE (1.50 LK) 4100 PE (1.11 LK) 4700 PE (2.27 LK)

Nifty option series where NEGATIVE change in open interest (JAN SERIES) was seen were 3800 CE (-4.57 LK) 3500 PE (-1.53 LK)

Outstanding open interest in Out of the Money Call Options (JAN SERIES) stood at 2.68 LK shares and that of Put Options stood at 2.57 Cr shares. Outstanding open interest in In the Money Call Options stood at 2.59 Cr shares and that of Put Options stood at 7.51 Lk shares.

FII's bought Index Options worth Rs 494 Cr and sold Index Futures worth Rs 106 Cr. It sold Stock Options worth Rs 132 Cr and Stock Options worth 2 Cr.

Happy Trading

Atul Doshi

Derivatives Daily Update: 28.12.2011

Downward Journey Continues: 28 December 2011

Nifty December Futures traded within pretty short band and closed lower at 4711.10 down by 39.80 points. Bank Nifty too closed lower at 8121.65 down by 153.70 points. Open Interest on consolidated basis increased by 16.75 lk shares indicating fresh shorts being created in the market. Volumes were obviously higher due to rollover activity on eve of expiry. Put Call Ratio came down to 0.85 from 0.93 levels. Volatility as measured by India VIX was 26.74 up by 2%. Dollar Rupee duo was trading higher at 53.21. All in all day was of rollover with negative bias.

In nutshell, downward journey continues. As expressed earlier in several posts that we are in a long term bear market and in this bear trend we might visit level of 4300-4500 is becoming more and more evident now. My advice will be to hold on your shorts with adequate stop loss. Those who have covered up their stops wait for Nifty to stop rising and than enter in short position or else create shorts if it goes below 4675 with price target of anywhere between 4300 -4500 levels.

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, AXISBANK, RELIANCE and DLF.

Top five individual options which attracted higher activity today were SBIN 1650 CE, IFCI 25 CE, SBIN 1600 PE, RELIANCE 740 PE and RELIANCE CE.

Top five individual stocks which gained today were JISLJAL 11%, IFCI 7%, WELCORP 5%, IBREALEST 3% and BHEL 3%.

Top five individual stocks which lost ground were ADANIPOWER -8%, EKC -7%, GUJFLUORO -7%, JINDALSTEL -7% and ORIENTBANK -7%.

Nifty option series where POSITIVE change in open interest was seen were 4700 CE (14.80 LK) 4800 CE (13.24 LK) 5000 PE (1.22 LK) 5300 PE (1.36 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5000 CE (-1.30 LK) 5100 CE (-4.15 LK) 5200 CE (-2.97 LK) 5500 (-1.80 LK) 4500 PE (-1.95 LK) 4600 PE (-2.92 LK) 4700 PE (-4.67 LK) 4800 PE (-13.41 LK).

Outstanding open interest in Out of the Money Call Options stood at 4.99 Cr shares and that of Put Options stood at 3.71 Cr shares. Outstanding open interest in In the Money Call Options stood at 80.46 LK shares and that of Put Options stood at 1.06 Cr shares.

Happy Trading

Atul Doshi.

Derivatives Daily Update: 27.12.2011

Lackluster Day: 27 December 2011

Nifty December Futures could not see any further traction and closed lower by 36.80 points at 4750 90. Bank Nifty too closed lower by 109.95 points at 8275.35. Volumes were higher than yesterday due to rollover activity. Put Call Ratio was at 0.93 and Volatility as measured by India VIX too closed lower at 26.29 down by 1%. Open Interest across all the series did not reveal any further shorting in new series, instead current series shredded Open Interest by 23 lk shares. Dollar Rupee December Futures was trading at 53.07 levels. In nutshell, it was lackluster day and bull unwinding was witnessed in the market.

My Prognosis is still biased towards markets moving downwards. As said in yesterday’s post, rise in price movements is not supported by volumes and positive change in Open Interest, we could see that in today’s price movement as markets closed lower than yesterday. Expiry is on Thursday and hence it is advisable to trade with cautiousness as choppiness could be expected in market. Short the Nifty with adequate Stop Loss.

Top five individual stocks which attracted higher volumes were SBIN, RELIANCE, TATASTEEL, ICICIBANK and LT.

Top five individual options which attracted higher activity today were SBIN 1700 CE, RELIANCE 760 CE, SBIN 1600 PE, SBIN 1650 PE and SBIN 1650 CE.

Top five individual stocks which gained today were RCOM 5%, JISLJAL 5%, RANBAXY 3%, TATAPOWER 3% and WELCORP 3%.

Top five individual stocks which lost ground were EKC -9%, FORTIS -7%, GUJFLUORO -7%, IBREALEST -6% and MRPL -5%.

Nifty option series where POSITIVE change in open interest was seen were 4700 CE (4.52 LK) 4800 CE (5.87 LK) 4900 CE (4.31 LK) 5000 CE (4.34 LK) 4600 PE (5.30 LK) 5100 PE (1.16 LK).

Nifty option series where NEGATIVE change in open interest was seen were 4500 CE (-1.15 LK) 4600 CE (-5.07 LK) 5100 CE (-4.73 LK) 5200 CE (-1.01 LK) 4100 PE (-1.38 LK) 4200 PE (-1.38 LK) 4500 PE (-3.39 LK) 4700 PE (-1 LK) 4800 PE (-1.95 LK) 4900 PE (-2.51 LK).

Outstanding open interest in Out of the Money Call Options stood at 5.08 Cr shares and that of Put Options stood at 3.89 Cr shares. Outstanding open interest in In the Money Call Options stood at 68.50 LK shares and that of Put Options stood at 1.34 Cr shares.

Happy Trading

Atul Doshi

Derivatives Daily Update: 26 December 2011

Resilient Day: 26 December 2011

Nifty December Futures after opening stronger remained stronger through out the day. It closed at 4787.70 up by 67.10 points. Intra day it managed to cross 4800 levels. Bank Nifty too followed the trend and closed at 8385.30 up by 92.85 points. Volumes were lower than yesterday notwithstanding, we are in last week of this expiry and rollover of trade is highly done in these days. Open Interest in Nifty on consolidated basis was up by meager 95 k shares. Put Call Ratio was up at 0.96 from 0.89 level of yesterday. Volatility as measured by India VIX came down to 26.60 from yesterday’s 27.29 level. Dollar Rupee was trading at 52.80 levels without much of activity. All in all it was a resilient day and some kind of short covering was witnessed in the market.

In my opinion, we are still not completely out of woods. As we can see from the data above, rise in price is not supported by volumes. It is not even supported by rise in Open Interest. In extremely short run as, we broke out of range of 4550 -4750 today; possibility of Nifty touching 4835 and 4905 has become a possibility. In slightly medium term it is difficult for Nifty to cross 5000 level. For positional long-term traders it is advisable to short the Nifty whenever you witness reluctance on part of Nifty to move higher. In my Opinion, for long term trader, Stop loss above 5135 is advisable.

Top five individual stocks which attracted higher volumes were SBIN, RELIANCE, ICICIBANK, TATASTEEL and AXISBANK.

Top five individual options which attracted higher activity today were SBIN 1700 CE, RELIANCE 760 CE, SBIN 1650 PE, TATASTEEL 360 CE and TATAMOTORS 190 CE.

Top five individual stocks which gained today were GVKPIL 9%, IFCI 7%, VIPIND 6%, DELTACORP and IDEA 5%.

Top five individual stocks which lost ground were BALRAMCHIN -6%, HEXAWARE -3%, GSPL -3%, CUMMINSIND -2% and OPTOCIRCUI -2%.

Nifty option series where POSITIVE change in open interest was seen were 4800 CE (9.24 LK) 4900 CE (5.65 LK) 4600 PE (7.72 LK) 4700 PE (15.12 LK) 4800 PE (16.33 LK) 4900 CE (3.20 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4500 CE (-4.75 LK) 4600 CE (-7.67 LK) 4700 PE (-6.06 LK) 5100 CE (-2.87 LK) 5200 CE (-1.70 LK) 5600 CE (-1.20 LK) 4300 PE (-1.05 LK) 4400 PE (-10.54 LK).

Outstanding open interest in Out of the Money Call Options stood at 5.08 Cr shares and that of Put Options stood at 4.03 Cr shares. Outstanding open interest in In the Money Call Options stood at 73.90 LK shares and that of Put Options stood at 1.42 Cr shares.

Happy Trading

Atul Doshi

Derivatives Daily Update: 23.12.2011

Choppy Day: 23 December 2011

Nifty after opening marginally up by yesterday’s close could not continue with its winning streak and gave away all its gains and closed lower at 4720.60 by 28.30 points. Bank Nifty too could not sustain and closed lower at 8292.45 by 100.80 points. Volumes were lower than yesterday instead of the fact that rollover is happening in the markets. Open Interest in Nifty Futures on consolidated basis has improved by 12 lk shares signifying that fresh shorts have been created in the market in January series. Put Call Ratio marginally improved to 0.89 from 0.86. Volatility as measured by India VIX was ruling at 27.29 up by 2%. Dollar Rupee duo was trading at 53 levels slightly up from yesterday’s level. All in all it was a choppy day with downward bias.

In my opinion, Nifty has again made a range of 4550-4750 and in coming days to expiry some direction either confirmation or short term change in bearish trend might be decided. As of now it doesn’t seem that we are pulling back to 5000 level in any hurry. Lot of choppiness, volatility and speed of price movements makes traders weary and tempts them to cover up their positions very fast. In nutshell still it is advisable to hold on to your shorts and if one can, play the range of 4550-4750.

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, LT, TATASTEEL and RELIANCE.

Top five individual options which attracted higher activity today were SBIN 1700 CE, SBIN 1650 PE, LT 1050 CE, SBIN 1600 PE and TATASTEEL 360 CE.

Top five individual stocks which gained today were IFCI 6%, GUJFLUORO 5%, SUNTV 5%, OPTOCIRCUIT 5% and KSOILS 5%.

Top five individual stocks which lost ground were SYNDIBANK -7%, DELTACORP -6%, CESC -5%, PFC -5% and JUBLFOOD -5%.

Nifty option series where POSITIVE change in open interest was seen were 4800 CE (13.61 LK) 4900 CE (14.83 LK) 4300 PE (1.98 LK) 4400 PE (5.36 LK) 4500 PE (1.78 LK) 4600 PE (6.59 LK) 4700 PE (12 LK)

Nifty option series where NEGATIVE change in open interest was seen were 450 CE (-1.45 LK) 4600 CE (-2.43 LK) 5300 CE (-1.01 LK)

Outstanding open interest in Out of the Money Call Options stood at 5.13 Cr shares and that of Put Options stood at 4.10 Cr shares. Outstanding open interest in In the Money Call Options stood at 94.94 LK shares and that of Put Options stood at 1.28 Cr shares.

FII’s bought Index Futures & Index Options worth Rs 78 Cr and 4 Cr respectively and sold Stock Futures and Stock Options worth Rs 101 Cr and 6 Cr.

Happy Trading

Atul Doshi

Derivatives Daily Update: 22 December 2011

Another Day of Consolidation: 22 December 2011

Nifty December Futures after opening weak ended with positive close at 4748.90 up by 37.4 points. Bank Nifty December Futures too acted in similar fashion giving a close of 8393.25 up by 194.40 points. Volumes were higher than yesterday. Open Interest in Nifty Futures across all series was up by 4.46 lk shares though it came down by 8.38 lk shares. Put Call Ratio was fairly steady at 0.86 and Volatility as measured by India VIX too came down to 26.84 down by 3%. Dollar Rupee pair was trading at 52.75 fairly steady. All in all it was a day of consolidation.

My prognosis for long term still remains bearish. In short term, as expressed in yesterday’s post if we are able to close higher today and if we move above 4800 on closing basis there is a chance that we might touch 5000. I will go with same stance for coming days. As of now it seems that 4550 is acting as an extremely short term support. Let us see how week end day pans out.

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, TATASTEEL, AXISBANK and LT.

Top five individual options which attracted higher activity today were SBIN 1700 CE, SBIN 1650 CE, SBIN 1600 PE, TATASTEEL 360 CE and ICICIBANK 700 CE.

Top five individual stocks which gained today were ASHOKLEY 12%, DELTACORP 12%, VIPIND 11%, BAJAJHIND 8% and EKC 8%.

Top five individual stocks which lost ground were MPHASIS -5%, ABIRLANUVO -4%, RECLTD -4% SRTRANSFIN -3% and WIPRO -3%.

Nifty option series where POSITIVE change in open interest was seen were 4800 CE (9.82 LK) 4900 CE (3.79 LK) 5000 CE (1 LK) 4400 PE (2.41LK) 4500 PE (3.36 LK) 4600 PE (5.55 LK) 4700 PE (5.84 LK) 4800 PE (8.14 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4500 CE(-4.82 LK) 5200 CE (-2.48 LK) 5300 CE (-2.30 LK) 4300 PE (-6.50 LK)

Outstanding open interest in Out of the Money Call Options stood at 4.96 Cr shares and that of Put Options stood at 3.99 Cr shares. Outstanding open interest in In the Money Call Options stood at 1 Cr shares and that of Put Options stood at 1.35 Cr shares.

Happy Trading

Atul Doshi

Derivatives Daily Update: 21.12.2011

Short Covering Day: 21 December 2011

Nifty December Futures after opening nearly 100 points up taking clues from international markets continued its upward journey and closed 157 points up at 4711.50. Bank Nifty too followed the streak and closed at 8198.85 up by whooping 401.15 points. Open Interest in December futures came down by 22 lk shares though on aggregate basis across all the series it came down by 11.87 lk shares. Volumes were higher than yesterday. Put Call Ratio was almost stable at 0.84 and Volatility as measured by India VIX came down by 10 % at 27.53. Dollar Rupee pair was trading at 52.75. All in all it was a day of short covering and consolidation.

Today’s price movement prima facie suggests that it was a relief rally partly due to short covering. In hindsight it can be said that Nifty has taken support at Make or Break level of 4550. In coming days whether this support holds or not only time will tell and surely it can not be construed from single day’s upward price movement. Nifty is trading well below its medium term to long term moving averages which are placed at 5000(50 days) and 5317(200 days). In my opinion, today’s price movement can be labeled as dead cat bounce if we are not able to sustain tomorrow. If we sustain and move above 4800, this relief rally can continue up to 5000 level where again it will have to face stiff resistance. Those who were short yesterday got stopped out at 4720. Use 4680 level to again short the market or wait for Nifty to get tired at higher levels to re enter your shorts.

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, TATASTEEL, LT and TATAMOTORS.

Top five individual options which attracted higher activity today were SBIN 1700 CE, SBIN 1650 CE, SBIN 1600 PE, TATASTEEL 360 CE and LT 1000 CE.

Top five individual stocks which gained today were IBREALEST 11%, KSOIL 10%, JSWSTEEL 10%, SESAGOA 9% and RCOM 9%.

Top five individual stocks which lost ground were PANTALOON -5%, INDHOTEL -4%, RUCHISOYA -4%, SOBHA -3% and APOLLOTYRE -3%.

Nifty option series where POSITIVE change in open interest was seen were 4900 CE (8.13 LK) 5000 CE (2.15 LK) 4100 PE (1.21 LK) 4300 PE (4.78 LK) 4600 PE (11.12 LK) 4700 PE (12.68 LK) 4800 CE (4.41 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4500 CE (-9.04 LK) 4600 CE (-18.57 LK) 4700 CE (-5.31 LK) 4800 CE (-6.31 LK) 5200 CE (-1.48 LK) 4900 PE (-1.01 LK) 5000 PE (-1.78 LK)

Outstanding open interest in Out of the Money Call Options stood at 4.94 Cr shares and that of Put Options stood at 4.06 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.15 Cr shares and that of Put Options stood at 1.32 Cr shares.

Happy Trading

Atul Doshi

Derivatives Daily Update: 20.12.2011

Downward Spiral Extends: 20 December 2011

Nifty December Futures after opening in positive territory were not able to sustain and it completely sold off today. It closed at 4554.50 down by 69.35 points. Bank Nifty too could not sustain at higher levels and it sold off closing lower at 7797.70 down by 126.70 points. Volumes on aggregate basis were bit higher than yesterday. Bank Nifty saw higher volumes than Nifty from yesterday’s level. Open Interest in Nifty futures across all the series saw a decline of 2.06 lakh shares indicating some tired bull unwinding. Put Call Ratio came down to 0.83 from 0.89 levels. Volatility as measured by India VIX was ruling steady at 30.53. Dollar Rupee pair was also trading steadily at 53 level in December Futures.

In my Opinion, downward journey continues rather it is becoming more evident that we will visit level of 4300 sooner or later. Today Nifty broke its make or break level of 4550 and has closed at the same lower level. If weakness in global market persists, we will reach this level very soon. My advice is hold short if you are already in or sell at every rise with a very short term stop loss of 4720.

Top five individual stocks which attracted higher volumes were SBIN, AXISBANK, RELIANCE, LT and ICICIBANK.

Top five individual options which attracted higher activity today were SBIN 1700 CE, SBIN 1600 PE, SBIN 1650 CE, TATASTEEL 360 CE and RELIANCE 720 PE.

Top five individual stocks which gained today were BATAINDIA 7%, ORCHIDCHEM 6%, BIOCON 6%, RANBAXY 3% and MUNDRAPORT 3%.

Top five individual stocks which lost ground were UCOBANK -11%, JISLJAL -10% INDUSINDBK -9% DELTACORP -9% and SYNDIBANK -8%

Nifty option series where POSITIVE change in open interest was seen were 3800 CE (1.20 LK) 3900 CE (10.74 LK) 4000 CE (12.57 LK) 4100 CE (7.31 LK) 4200 CE (9.83 LK) 3700 PE (4.61 LK) 3800 PE (2.93 LK) 3900 PE (4.10 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4300 CE (-2.83 LK) 4700 CE (-1.95 LK) 4000 PE (-2.50 LK) 4100 PE (-3 LK) 4200 PE (-2.23 LK).

Outstanding open interest in Out of the Money Call Options stood at 2.38 Cr shares and that of Put Options stood at 4.80 Cr shares. Outstanding open interest in In the Money Call Options stood at 4.08 Cr shares and that of Put Options stood at 41.76 Lk shares.

Derivatives Daily Update: 19.12.2011

Downward Spiral Continues: 19 December 2011

Nifty December Futures after opening below 4600 continues its downward spiral till 4561.25 and bounced back to 4634.40, finally closing lower at 4623.85 down by 19.30 points. Bank Nifty December Futures too opened weak and even closed weaker at 7924.40 down by 215.40 points. Volumes were lower than yesterday in both Index & Stock Futures and Options. Open Interest in Nifty Futures across all the series came down by 5.03 lakh shares and that of Bank Nifty was up by 63000 shares. Put Call Ratio was almost unchanged at 0.89. Volatility as measured by India VIX was up by 3% at 30.59. Dollar Rupee pair was trading at 53.05.

In my opinion nothing materially has happened to change my stance of bearish markets. Day by day Nifty shows weakness and downward journey towards the range of 4300 – 4500 level continues. Though Nifty has bounced back from make or break level of 4550 today, nothing suggests that in coming days we will be able to sustain this level of 4550. Once this level is taken out we will test 4280, this level is supposed to find a good support as it is 50 % Fibonacci Retracement level of larger range (2228 -6349). But till than as we don’t see any other signs of market stopping the downward journey except Nifty becoming oversold on certain traditional parameters, it is advisable to hold short and ride the downward wave.

Those who want to see some statistics of today, they are presented below:

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, AXISBANK, RELIANCE and TATAMOTORS.

Top five individual options which attracted higher activity today were SBIN 1700 CE, SBIN 1600 PE, SBIN 1800 CE, SBIN 1650 CE and RELIANCE 740 CE.

Top five individual stocks which gained today were TRIVENI 9%, RENUKA 6%, TATAMOTORS 4%, CAIRN 4% and GVKPIL 4%.

Top five individual stocks which lost ground were BATAINDIA -11 %, MERCATOR -10%, ORCHIDCHEM -9%, HCC -9% and 3IINFOTECH -8%.

Nifty option series where POSITIVE change in open interest was seen were 4500 CE (7.12 LK) 4600 CE (9.49 LK) 4700 CE (3.35 LK) 4800 CE (2.83 LK) 4900 CE (6.45 LK) 5100 CE (1.09 LK) 4000 PE (1.03 LK) 4200 PE (6.28 LK) 4400 PE (15.14 LK) 4500 PE (9.45 LK) 4600 PE (3.45 LK).

Nifty option series where NEGATIVE change in open interest was seen were 5200 CE (-1.74 LK) 5300 CE (-2.84 LK) 5400 CE (-1.03 LK) 5500 CE (-1.09 LK) 4300 PE (-3.51 LK) 4700 PE (-10.54 LK) 4800 PE (-5.15 LK) 4900 PE (-1.79 LK) 5000 PE (-1.09 LK)

Outstanding open interest in Out of the Money Call Options stood at 5.50 Cr shares and that of Put Options stood at 3.41 Cr shares. Outstanding open interest in In the Money Call Options stood at 71.17 LK shares and that of Put Options stood at 1.99 Cr shares.

FII’s (provisional data) Sold Index Futures worth 1008 Cr Sold Index Options worth 53 Cr. Sold Stock Futures worth 28 Cr and sold Stock Options worth 10 Cr.

 Happy Trading

 Atul Doshi

Derivatives Daily Update: 16.12.2011

Carnage on Street: 16 December 2011.

Nifty December Futures after opening strong made a higher top but could not sustain at higher levels and completely broke off making a lower bottom and finally closed lower by 114.25 points at 4643.13. Today it broke earlier lower level of 4630 and even closed weaker. Bank Nifty too made a higher top and lower bottom and finally closed at 8139.80 down by 310.35 points. Volumes were substantially higher than yesterday’s level in both Futures and Option segment. Open Interest in Nifty across all the series saw a remarkable jump of 14.17 lk shares. Put Call Ratio was at 0.90 down from 0.94 levels and Volatility as measured by India VIX was at 29.69 up by 3%. Dollar Rupee closed lower at 52.80 from yesterday’s level of 53.81. In substance there was carnage on street and lower price movement coupled with increase in Open Interest and increased volume is bad omen as it indicates short built up in the market.

My prognosis that we are in a strong down trend and we will revisit 4630 level has once again being vindicated. Looking to today’s trading data, price movement, open interest figures, Put Call Ratio and volatility all indicate that we are in strong downward trending markets and we might see further lows being made in the market. As said in yesterday’s post those who ventured shorting Nifty when it stopped rise would have handsomely gained today. My advice is still to short the Nifty whenever you find an opportunity or when Nifty finds it difficult to move higher. Level of 4300- 4500 can not be ruled out.

Those who want to see some statistics of today, they are presented below:

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, AXISBANK, RELIANCE, and LT.

Top five individual options which attracted higher activity today were SBIN 1800 CE, SBIN 1700 PE, SBIN 1900 CE, SBIN 1850 CE and 1600 PE.

Top five individual stocks which gained today were GAIL 4%, BRFL 4%, INDIAINFO 3%, DIVISLAB 2% and ABAN 2%.

Top five individual stocks which lost ground were ESSAROIL -17%, LITL -12%, ARVIND -11% BGRENERGY -11% and -10%.

Nifty option series where POSITIVE change in open interest was seen were 4500 CE (4.37 LK), 4600 CE (21.44 LK), 4700 CE (9.95 LK), 4800 CE (3.80 LK), 4900 CE (1.90 LK), 5000 CE (4.79 LK), 5200 (2.30 LK), 4100 PE (2.39 LK), 4200 PE (1 LK), 4300 PE (3.94 LK), 4500 PE (4.46 LK), 4600 PE (5.72 LK).

Nifty option series where NEGATIVE change in open interest was seen were 5400 CE   (-1.23 LK), 5500 CE (-1.10 LK) 4700 PE (-7.23 LK) 4800 PE (-8.36 LK), 4900 PE

(-6.67 LK).

Outstanding open interest in Out of the Money Call Options stood at 5.53 Cr shares and that of Put Options stood at 3.16 Cr shares. Outstanding open interest in In the Money Call Options stood at 53.74 LK shares and that of Put Options stood at 2.35 Cr shares.

FII’s (provisional data) Bought Index Futures worth 611 Cr Sold Index Options worth 1431 Cr. Sold Stock Futures worth 183 Cr and sold Stock Options worth 50 Cr.

Happy Trading

Atul Doshi

Derivatives Daily Update: 15 December 2011

Day of Consolidation: 15 December 2011

Nifty December Futures taking clues from global markets and domestic technical weakness opened lower and continued its downward journey making a low of 4671 but than smartly recovered and closed marginally lower by 6.8 points at 4754.4. Bank Nifty too followed the trend and closed at 8450.15 down by 62.20 points. Overall volumes were higher than yesterday. Stock & Index Futures saw lower volumes while Stock & Index Options saw higher volumes than yesterday. Open Interest in Nifty Futures on aggregate basis across all series was higher by 5.60 lakh shares and that of Bank Nifty was down by 6325 shares. Put Call Ratio was almost flat at 0.94 and Volatility as measured by India VIX too was flat at 28.81. Dollar Rupee December pair closed at 53.81 after making a high of 54.63.

My opinion is still tilted towards markets going down. Though today markets were able to bounce back smartly from 4670 level which was well above 4630 level which we made few days back, in my opinion this pull back is dead cat bounce and I feel that downward journey will continue. Movements in the markets are very sharp and it is always advisable to trade with strict stop loss. I would maintain my bearish stance and would short Nifty once it stops rising.

Those who are interested in little bit more analysis some additional information is given below:

Top five individual stocks which attracted higher volumes were SBIN, RELIANCE, ICICIBANK, TATAMOTORS and AXISBANK.

Top five individual options which attracted higher activity today were SBIN 1800 CE, SBI 1900 CE, SBIN 1700 PE, TATAMOTORS 180 CE and SBIN 1750 CE.

Top five individual stocks which gained today were LUPIN 6%, WELCORP 6%, JUBLFOOD 6%, CHAMBLFERT 5% and TATAPOWER 5%.

Top five individual stocks which lost ground were 3IINFOTECH -10%, BALRAMCHIN -9%, SINTEX -8%, HAVELLS -8% and GUJFLUORO -8%.

Nifty option series where POSITIVE change in open interest was seen were 4600 CE (4.27 LK) 4700 CE (8.25 LK) 4900 CE (10.58 LK) 5400 CE (1.85 LK) 4200 PE (1.13 LK) 4300 PE (2.33 LK) 4400 PE (4.76 LK) 4500 PE (5.93 LK) 4700 PE (2.89 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4800 CE (-3.75 LK) 5000 PE (-1.19 LK) 5100 PE (-5.92 LK) 4800 PE (-5.09 LK) 4900 PE (-3.38 LK) 5000 PE (-4.89 LK)

Outstanding open interest in Out of the Money Call Options stood at 5.01 Cr shares and that of Put Options stood at 4.03 Cr shares. Outstanding open interest in In the Money Call Options stood at 67.25 LK shares and that of Put Options stood at 1.75 Cr shares.

Happy Trading

Atul Doshi

Derivatives Daily Update: 14 December 2011

Downward Journey Continues:14 December 2011

Nifty December Futures after opening weak was able to make higher top higher bottom formation but was not able to sustain at higher levels and closed lower than yesterday at 4764.20 down by 47.15 points. Bank Nifty December Futures too closed at 8512.35 down by 41.55 points. Volumes more or less remained at yesterday’s level. Open Interest in Nifty Futures across all the series saw an increase by 10.28 lakh shares and that of Bank Nifty saw an increase by 1.35 lakh shares. Addition in Open Interest in a falling market suggests that fresh shorts have been created in the market. Put Call Ratio too increase marginally to 0.98 from 0.91 levels. Volatility as measured by India VIX was at 28.79 up by 2.5% from yesterday’s level of 28.11. Dollar Rupee Pair is also playing a spoil sport as Dollar Rupee closed at 53.92 in December Futures.

My prognosis after looking at today’s data vindicates my bearish stance. As said in yesterday’s post, if Nifty is not able to sustain at higher levels, it is advisable to short the Nifty has proved to be right and today Nifty closed at lower levels than yesterday. My advice is to hold on your shorts with stop above 4945 & 5075. I feel Nifty will revisit 4630 level and if weakness persist, we might see much lower level of 4300-4500.

Those who are interested in little bit more analysis some additional information is given below:

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, RELIANCE, TATASTEEL and TATAMOTORS.

Top five individual options which attracted higher activity today were SBIN 1800 CE, SBIN 1900 CE, SBIN 1850 CE, TATASTEEL 400 CE and RELIANCE 760 CE.

Top five individual stocks which gained today were TRIVENI 8%, SUNTV 5%, COREEDUTEC 4%, DISHTV 4% and TTML 3%.

Top five individual stocks which lost ground were AREVAT&D -26%, 3IINFOTECH -11%, BALRAMCHIN -10% PANTALOONR -8% and SINTEX -8%.

Nifty option series where POSITIVE change in open interest was seen were 4800 CE (8.99 LK) 4900 CE (6.38 LK) 5000 CE (3.51 LK) 5100 CE (3.05 LK) 4300 PE (9.14 LK) 4700 PE (4.36 LK) 4800 PE (4.33 LK).

Nifty option series where NEGATIVE change in open interest was seen were 5600 CE (-1.73 LK) 4200 PE (-7.80 LK) 4900 PE (-3.90 LK)

Outstanding open interest in Out of the Money Call Options stood at 5.13 Cr shares and that of Put Options stood at 3.88 Cr shares. Outstanding open interest in In the Money Call Options stood at 54.88 LK shares and that of Put Options stood at 1.93 Cr shares.

Happy Trading

Atul Doshi

Derivatives Daily Update: 13 December 2011

Short Covering Day: 13 December 2011.

Nifty December Futures after opening weak managed to close above by 37.65 points at 4811.35, though Bank Nifty was unable to close in positive zone and it closed at 8553.90 marginally down by 13.1 points. Volumes on overall basis were higher than yesterday. Both Index futures and Stock Futures saw increase in volume and that of Index Options & Stock Options saw lower volumes than yesterday. Open Interest in Nifty Futures came down by 6.10 Lk shares and was up by 1.55 Lk shares in Bank Nifty on aggregate basis across all series. Put Call Ratio was steady at 0.89 marginally up from yesterday’s level of 0.85. Volatility as measured by India VIX was down by 4% at 28.11 from 29.27 level of yesterday. All in all it was a up day and some short covering was seen in the market place.

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, RELIANCE, TATASTEEL and LT.

Top five individual options which attracted higher activity today were SBIN 1800 CE, TATASTEEL 400 CE, SBIN 1900 CE, RELIANCE 760 CE and RELIANCE 740 CE.

Top five individual stocks which gained today were WELCORP 13%, 3IINFOTECH 7% HINDALCO 6% GMRINFRA 6% and AREVAT&D 5%.

Top five individual stocks which lost ground were PANTALOON -6%, JISLJAL -6%, SINTEX -5% TITAN -4% and UNIONBANK -4%.

Nifty option series where POSITIVE change in open interest was seen were 4600 CE (1.30 LK) 4700 CE (5.99 LK) 4900 CE (3.10 LK) 5000 CE (2.34 LK) 5100 CE (8.98 LK) 5400 CE (1 LK) 4300 PE (1.24 LK) 4400 PE (3.11 LK) 4500 PE (2.67 LK) 4600 PE (1.61 LK) 4700 PE (3.30 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5300 CE (-5.51 LK) 5000 PE (-2.85 LK)

Outstanding open interest in Out of the Money Call Options stood at 4.57 Cr shares and that of Put Options stood at 4.49 Cr shares. Outstanding open interest in In the Money Call Options stood at 96.32 LK shares and that of Put Options stood at 1.42 Cr shares.

To conclude, nothing materially has changed to alter my bearish stance. We are in downward trending market and today was a day of short covering. If tomorrow market fails to sustain at higher levels, advice is to short sale the Nifty with adequate stop at 4945 and 5075.

Happy Trading

Atul Doshi

Derivatives Daily Update: 12.12.2011

Carnage on Street: 12 December 12, 2011

Nifty December Futures after opening higher than yesterday could not hold its gain and gave a way to close at lowest point of the day. It closed down by 112 points at 4773.70. Bank Nifty too closed lower at 8567 down by 276.25 points. Volumes in Index & Stock Futures were lower than yesterday but were higher in Options segment. Put Call Ratio came down to 0.85 from 0.97 level. Open Interest in Nifty Futures across all the series increased by 10.54 lac shares indicating fresh short built up has happened in the market. Volatility as measured by India VIX was stable at 29.27 marginally down from yesterday’s level. In substance it was a day of bear and downward journey in price continued for another day.

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, RELIANCE, TATAMOTORS and LT.

Top five individual options which attracted higher activity today were SBIN 1900 CE, SBIN 1800 PE, RELIANCE 760 CE, SBIN 1950 CE and RELIANCE 800 CE.

Top five individual stocks which gained today were WELCORP 4%, WIPRO 3%, AUROPHARMA 2% MUNDRAPORT 2% and GITANJALI 2%.

Top five individual stocks which lost ground were ESSAROIL -15%, CHAMBALFERT -10% SINTEX -9% RECLTD -8% and PATELENG -8%.

Nifty option series where POSITIVE change in open interest was seen were 4200 CE (15.41 LK) 4300 CE (13.74 LK) 4400 CE (2.19 LK) 4500 CE (9.19 LK) 4600 CE (1.49 LK) 4700 CE (8.87 LK) 3700 PE (11.65 LK) 3800 PE (2.03 LK) 3900 PE (5.55 LK) 4000 PE (1.21 LK) 4100 PE (6.03 LK) 4200 PE (3.78 LK) 4300 PE (1.44 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4800 CE (-1.04 LK) 4900 CE (-1.70 LK) 5000 CE (-1.82 LK) 4400 PE (-4.46 LK) 4500 PE (-3.27 LK) 4600 PE (-9.30 LK) 4700 PE (-1.15 LK)

Outstanding open interest in Out of the Money Call Options stood at 1.99 Cr shares and that of Put Options stood at 5.54 Cr shares. Outstanding open interest in In the Money Call Options stood at 3.58 Cr shares and that of Put Options stood at 37.90 Lk shares.

Once again my analysis as expressed in earlier several posts has been once again vindicated today. Markets have given way and it might witness 4630 levels and might even go below it. Volumes, technical indicators, technical data like Open Interest, Put Call Ratio all indicates that market lacks strength and under the weight of this weak parameters will fall further. My advice is to remain short in the Indices till you see some meaningful breakout.

Happy Trading

Atul Doshi

Derivatives Daily Update: 09.12.2011

Downward Journey Continues: 9 December 2011

Nifty December Futures opened lower than yesterday and closed lower than yesterday. It closed at 4885.90 down by 70.70 points. Bank Nifty too opened lower tried to recover during day but closed lower at 8843.25 down by 86.65 points. Both the Indices made lower top lower bottom formation which indicates weakness in the market place. Volumes were higher than yesterday on all parameters which too is a bad omen. Put Call Ratio came down to 0.97 from 1.08 levels indicating Option writers are not willing to write puts instead they prefer to write Calls. Open Interest in Nifty Futures across all the series came down by 18.25 lk shares indicating some Bull Unwinding is happening in the market. Volatility as measured by India VIX shot up by 4% to 29.53 signifying risk perception in the market is rising. All in all looking at the data, it seems that we are not out of the woods and downward journey will continue for some more time.

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, RELIANCE, TATASTEEL and AXISBANK.

Top five individual options which attracted higher activity today were SBIN 1900 CE, SBIN 1800 PE, ICICIBANK 780 CE, ICICIBANK 740 CE and SBIN 2000 CE

Top five individual stocks which gained today were OPTOCIRCUIT 5%, BRFL 5%, PATELENG 5%, ONMOBILE 4% and ALBK 2%.

Top five individual stocks which lost ground were 3IINFOTECH -7%, BGRENERGY -7%, DISHTV -6%, SAIL -6% and JETAIRWAYS -5%.

Nifty option series where POSITIVE change in open interest was seen were 4800 CE (9.87 LK) 4900 CE (5.94 LK) 5000 CE (11.40 LK) 5100 CE (5.77 LK) 5200 CE (5.66 LK) 5400 CE (4.11 LK) 5500 CE (1.21 LK) 4500 PE (3.82 LK) 4600 PE (7.60 LK) 4800 PE (2.20 LK) 4900 (2.88 LK).

Nifty option series where NEGATIVE change in open interest was seen were 4200 PE (-1.12 LK) 4400 PE (-5.26 LK) 5000 PE (-5.27 LK) 5100 PE (-6.38 LK)

Outstanding open interest in Out of the Money Call Options stood at 4.65 Cr shares and that of Put Options stood at 4.16 Cr shares. Outstanding open interest in In the Money Call Options stood at 62.36 LK shares and that of Put Options stood at 1.70 Cr shares.

My prognosis is still tilted towards markets going down as all the indicators, technicals, volumes and price movements suggest that market participants are biased towards negative trend. Revisit of 4630 levels is very much the possibility. Probability of market moving higher than 5350 in near future seems difficult. My advice to traders is trend is your friend and hence remain with trend till you see any sustainable breakout or change in technicals.

Statutory Warning: It is foolish to trade without proper stop loss.

Happy Trading

Atul Doshi

Derivatives Daily Update: 08.12.2011

Downward Breakout Day: 08 December 2011

Nifty December Futures after starting a day on weak note continued its downward journey nullifying yesterday’s gain. Nifty December Futures closed at 4956.60 down by 129.50 points or nearly 3%. Bank Nifty too followed the trend and it closed at 8929.90 down by 269.40 points. Volumes were higher than yesterday on all parameters viz, traded value, and traded quantity, no. of contracts and no. of trades. Put Call Ratio too improved to 1.08. Volatility as measured by India VIX shot up to 28.58 up by 8%. Open Interest in Nifty Futures across all the series came down by 12.29 lk shares and that of Bank Nifty came down by 6 k shares. Tired Bull liquidation was witnessed in the market.

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, RELIANCE, TATASTEEL and LT.

Top five individual options which attracted higher activity today were SBIN 2000 CE, SBIN 1800 PE, SBIN 1900 CE, SBIN 1950 CE and SBIN 1850 PE.

Top five individual stocks which gained today were DHANBANK 10%, SREINFRA 4%, BRFL 4%, PIRHEALTH 4% and WIPRO 2%.

Top five individual stocks which lost ground were VIPIND -9%, EKC -9%, NATIONALUM -8%, GMRINFRA -8% and NCC -8%.

Nifty option series where POSITIVE change in open interest was seen were 4900 CE (6.68 LK) 5000 CE (7.85 LK) 5100 CE (10.25 LK) 5200 CE (10.44 LK) 5300 CE (2.24 LK) 5500 CE (1.30 LK).

Nifty option series where NEGATIVE change in open interest was seen were 4400 PE (-2.89 LK) 4900 PE (-2.07 LK) 5000 PE (-8.35 LK) 5100 PE (-5.05 LK)

Outstanding open interest in Out of the Money Call Options stood at 3.98 Cr shares and that of Put Options stood at 4.61 Cr shares. Outstanding open interest in In the Money Call Options stood at 94.12 LK shares and that of Put Options stood at 1.33 Cr shares.

In conclusion, Bullish traction that we saw yesterday proved to be one night stand and markets completely broke down today. Nifty is facing stiff resistance at higher levels. Possibility of Nifty touching earlier support of 4630 has dramatically increased. Those who hanged on to their bullish positions yesterday were stopped out today at 5025 levels. I reiterate my earlier stance that we are in to strong bear market and probably we might break 4630 level and will make bottom in region of 4300 -4500 levels. Markets are witnessing higher volatility and choppiness and hence it is advisable to trade with strict stop loss.

Happy Trading

Atul Doshi

Derivatives Daily Update: 07.12.2011

Day of Consolidation: 07 Dec 2011

Nifty December Futures managed to make higher top higher bottom today. It also managed to close above by 20.50 points at 5086.10. Bank Nifty too followed the streak and managed to make higher top higher bottom but closed marginally lower by 8.15 points at 9199.30. Volumes on all fronts were higher than yesterday. Open Interest in Nifty across all series shot up by 6.45 lk shares. Bank Nifty too showed marginal rise in Open Interest by 11 k shares. Put Call Ratio was at 0.87 almost unchanged buy Volatility as measured by India VIX shot up by 5% to 26.46. Markets were in a consolidation mode with improved participation from market players.

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, RELIANCE, PANTALOON and TATASTEEL.

Top five individual options which attracted higher activity today were SBIN 2000 CE, SBIN 1950 CE, IFCI 27 CE, SBIN 1900 PE and TATASTEEL 420 CE.

Top five individual stocks which gained today were BOMDYEING 6%, RAYMOND 6%, NCC 6%, CESC 5% and PANTALOON 5%.

Top five individual stocks which lost ground were IBREALEST -10%, IDEA -6%, TTKPRESTIG -5%, PETRONET -5% and ONMOBILE -4%.

Nifty option series where POSITIVE change in open interest was seen were 5100 CE (3.57 LK) 5200 CE (6.34 LK) 5300 CE (9.66 LK) 5400 CE (2.89 LK) 5500 CE (3.68 LK) 4400 PE (4.72 LK) 4800 PE (4.35 LK) 4900 PE (5.90 LK) 5000 PE (4.67 LK) 5100 PE (6.17 LK) 5200 PE (2.55 LK).

Nifty option series where NEGATIVE change in open interest was seen were 4700 CE (-1.05 LK) 4300 PE (-3.94 LK) 4500 PE (-1.75 LK).

Outstanding open interest in Out of the Money Call Options stood at 3.24 Cr shares and that of Put Options stood at 5.25 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.39 Cr shares and that of Put Options stood at 97.96 Lk shares.

All in all it was a day of consolidation. As expected there is some traction in market which pulls Nifty to higher levels. So long as we remain above 5025, there is a chance that we may touch 5275 which is 200 DEMA. If we manage to cross 5275 than 5350 is possible, but 5350 is very crucial as it is both 200 DMA and inflection point of falling neck line. It will be difficult for Nifty to take out this level decisively. In case Nifty manages to decisively cross this level and trade above this level for few days than 4630 should be considered as intermediate bottom and any dip there after will be an opportunity to buy. Till that time we are still in strong bear market and every unsustainable rise in the market is an opportunity to sell. 

Happy Trading

Atul Doshi

Derivatives Daily Update: 05.12.2011

A Listless Day: 05 Dec 2011

Nifty December Futures almost closed where it opened. It closed at 5065.60 down by 15.1 points. Bank Nifty closed almost flat at 9207.45 down by 0.15 points. Volumes were lower than yesterday both value wise and quantity wise. Open Interest on consolidated basis across all the series was up by 5.73 lac shares in Nifty and it was down by 1.03 lac shares in Bank Nifty. Put Call Ratio too came down to 0.86 from yesterday’s level of 0.94. It signifies lot of Call Writing happening in market place. Volatility as measured by India VIX shot up by 4% and was trading at 25.02 up from yesterday’s level of 23.99.

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, AXISBANK, TATASTEEL and RELIANCE.

Top five individual options which attracted higher activity today were SBIN 1900 CE, SBIN 2000 CE, IBREALEST 65 CE, AXISBANK 1000 CE and IFCI 27 CE.

Top five individual stocks which gained today were GVKPIL 6%, HINDOILEXP 6%, ASHOKLEY 6%, SRTRANSFIN 5% and ADANIPOWER 4%.

Top five individual stocks which lost ground were PANTALOON -13%, BRFL -10% VIPIND -5% CESC -4% and JSWSTEEL -4%.

Nifty option series where POSITIVE change in open interest was seen were 5100 CE (6.35 LK) 5200 CE (9.20 LK) 5300 CE (6.37 LK) 5400 CE (6.87 LK) 5500 CE (2.98 LK) 5600 CE (1.88 LK) 4200 PE (2.26 LK) 4400 PE (7.26 LK) 4800 PE ( 1.42 LK) 4900 PE (2.17 LK) 5100 PE (1.26 LK).

Nifty option series where NEGATIVE change in open interest was seen were 4700 CE (-1.23 LK) 4800 CE (-3.70 LK) 4900 CE (-1.11 LK) 4300 PE (-7.52 LK).

Outstanding open interest in Out of the Money Call Options stood at 2.97 Cr shares and that of Put Options stood at 5.23 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.41 Cr shares and that of Put Options stood at 89.78 Lk shares.

In conclusion, today’s option data as well as Put Call Ratio indicates that market participants are not gunge-ho about the market. In extremely short term till we are above 5025, chances of seeing the level of 5275 5300 very much exists though probability of sustaining this levels, is very low. In the event of breaking down below 5025, revisit of earlier low of 4630 is very high on probability chart. So plain advice is to short the markets both in rising and declining trend with reasonable stop loss.

Happy Trading

Atul Doshi

Derivatives Daily Update: 02.12.2011

Bulls Ride: 2 Dec 2011

Nifty December Futures opened lower for a moment and smartly recovered making a high of 5094, closing finally at 5080.70 up by 116.95 points. Bank Nifty December futures too closed at 9207.60 up by whooping 284.65 points. Volumes in the market were fairly better than yesterday. Open Interest in Nifty Futures saw an increase of 4.15 lac shares across all series and Bank Nifty too saw a modest increase in Open Interest by 22 k shares. Put Call Ratio came down to 0.94 from 1.08 from yesterday’s levels. Volatility as measured by India VIX too came down by 5% and stood at 23.99 as against 25.02. All in all it was a day of Bull.

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, TATASTEEL, RELIANCE and TATAMOTORS.

Top five individual stocks which gained today were ADANIENT 11% TRIVENI 9% PTC 8% AMBUJACEM 8% and FEDERALBANK 8%.

Top five individual stocks which lost ground were UNIPHOS -3% BRFL -3% RUCHISOYA -1% ABGSHIP -1% and HEROMOTORS -1%.

Top five individual options which attracted higher activity today were SBIN 1900 CE SBIN 1850 CE SBIN 1800 PE TATASTEEL 420 CE and SBIN 1700 PE.

Nifty option series where POSITIVE change in open interest was seen were 5200 CE (7.70 LK) 5300 CE (6.66 LK) 5400 CE (1.95 LK) 5500 CE (2.11 LK) 4500 PE (2.25 LK) 4600 PE (3.16 LK) 4700 PE (5 LK) 4800 PE (1.5 LK) 4900 PE (14.45 LK) 5000 PE (14.27 LK) 5100 PE (16.09 LK) 5200 PE (1.61 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4700 CE (-5.09 LK) 4800 CE (-5.27 LK) 5000 CE (-5.70 LK) 5100 CE (-7.11 LK) 4200 PE (-1.39 LK) 4300 PE (-2.52 LK)

In conclusion, as said in earlier couple of posts, short term objective of price target of 5050 has been achieved today.  Those who ventured to buy has benefited out of the trade. Those who are still hanging with their bull positions are advised to hold with stop below 5025 as it coincides with 50 day moving average with a price objective 0f 5350 level as it is both 200 DEMA (day exponential moving average) and inflection point of falling neck line joining earlier tops. In long run though view is still bearish and this time too we might not be able to break this falling line. So guys who have larger pockets can short the market with 5400 as stop with price objective below 4600 levels.

Happy Trading

Atul Doshi

Derivatives Daily Update: 01.12.2011

Day of Rally: 01 Dec 2011.

Nifty December Futures opened with a huge gap of 146 points and fairly closed up by 131.40 points at 4963.75. Bank Nifty December Futures too opened with gap of 346.65 points and fairly closed up by 361.60 points at 8922.95. Volumes were lower than yesterday on all parameters viz. traded quantity, no. of contracts traded and no. of trades. Open Interest in Bank Nifty saw reduction by 2.40 lk shares across all series. Open Interest in Nifty saw addition of 1.43 lk shares. Change in Open Interest was not noteworthy if we consider the gap up opening and price movements. Put Call Ratio has improved to 1.08 from 1 and Volatility as measured by India VIX has come down to 25.02 from 26.55 by nearly 6%.

Top five individual stocks which attracted higher volumes were ICICIBANK, SBIN, RELIANCE, TATASTEEL and TATAMOTORS.

Top five individual stocks which gained today were TRIVENI 8%, PANTALOON 7%, HINDALCO 7%, ICICIBANK 7% and SAIL 7%.

Top five individual stocks which lost ground were EKC -6%, IDEA -6%, MPHASIS -5%, INDIAINFO -5% and NEYVELILIG -3%.

Top five individual options which attracted higher activity today were SBIN 1800 CE, TATASTEEL 400 CE, SBIN 1900 CE, SBIN 1850 CE and RELIANCE 800 CE.

Nifty option series where POSITIVE change in open interest was seen were 5000 CE (5.32 LK) 5100 CE (13.58 LK) 5200 CE (7.96 LK) 5300 CE (3.63 LK) 4300 PE (12.74 LK) 4900 PE (14.80 LK) 5000 PE (12.17 LK) 5100 PE (2.70 LK).

Nifty option series where NEGATIVE change in open interest was seen were 4600 CE (-2.16 LK) 4700 CE (-3.16 LK) 4800 CE (-6.99 LK) 4900 CE (-2.30 LK) 4000 PE (-2.21 LK) 4100 PE (-18.49 LK) 4200 PE (-1.74 LK) 4400 PE (-1.91 LK) 4700 PE (-3.58 LK)

Outstanding open interest in Out of the Money Call Options stood at 3.21 Cr shares and that of Put Options stood at 4.65 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.14 Cr shares and that of Put Options stood at 1.11 Cr shares.

To conclude, my observation for short term as expressed in yesterday’s post has been vindicated today. Let me reproduce the para for ready perusal.  In short term since Nifty is trading in a range and has not broken 4630 levels, opportunity to buy at current level with strict stop below 4630 and price objective of 5050 exists and one can benefit out of it . Today Nifty touched 5015 levels so those guys who were long had the opportunity to make good amount of money. Anyway long term view is still bearish and in my opinion after such short pull backs, bear trend will resume and we might see lower levels. Today’s Open Interest figures indicate that bears are not unduly worried about such gyrations as no noteworthy short positions have been covered up. Watch the levels and some pressure points like 5050 and see how the last day of current week has in offing.

Happy Trading

Atul Doshi