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.