Derivatives Daily Update: 06 January 2012

Another Listless Day: January 06, 2012

Nifty January Futures after swing of 125 points managed to close near yesterday’s close at 4771.95 up by marginally 13.85 points. Bank Nifty too closed up by 62.15 points at 8488.65. In a sense it was a listless day though with volatile choppiness. Volumes were substantially higher than yesterday on all Futures and Options markets. Open Interest in Nifty Futures across all series came down by 4.39 lakh shares. Put Call Ratio was by and large steady at 1.01. Volatility as measured by India VIX was down by 2% at 25.46. Dollar Rupee pair too was trading at 53 levels in January Futures. All in all it was a choppy day and it attempted to break the range on higher side but could not sustain at higher levels.

My prognosis for short term span is slightly tilted towards markets moving higher. Those who were short yesterday must have stopped out at 4800 levels. Those who have a bullish interest can still hold on to their Buy positions with stop below 4665 and 4550 as said in yesterday’s post. Long term we are still not out of woods and bearish stance can be changed only when we cross 5150 on sustainable basis.

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 700 PE, RCOM 80 CE, RELIANCE 740 CE and SBIN 1800 CE.

Top five individual stocks which gained today were BALRAMCHIN 10%, MTNL 8%, PANTALOON 7%, BAJAJHIND 7% and 3IINFOTECH 6%.

Top five individual stocks which lost ground were HEROMOTOR -5%, JPASSOCIATE -5%, CROMPTONGREAVES -4%, BHARTIARTL -4% and KFA -4%.

Nifty option series where POSITIVE change in open interest was seen were 4700 CE (6.19 LK) 4800 CE (2.16 LK) 4900 CE (1.14 LK) 5000 CE (5.25 LK) 5100 CE (1.90 LK) 4000 PE (4.96 LK) 4100 PE (1.28 LK) 4300 PE (7.31 LK) 4400 PE (2.10 LK) 4500 PE (6.57 LK) 4600 PE (4.16 LK) 4700 PE (2.02 LK) 4800 PE (1.01 LK) 4900 PE (1.25 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4600 CE (- 27 K)

Outstanding open interest in Out of the Money Call Options stood at 2.84 Cr shares and that of Put Options stood at 3.77 Cr shares. Outstanding open interest in In the Money Call Options stood at 69.31 LK shares and that of Put Options stood at 67.13 Lk shares.

Happy Trading

Atul Doshi