Derivatives Daily Update: 07 January 2012

Special Trading Session: January 07, 2012

It was a special trading session of 1.30 hrs for testing of software. Nifty January Futures closed at 4760 down by 11.95 points and Bank Nifty Futures closed at 8454.45 down by 34.2 points. Volumes were obviously not comparable. Open Interest too did not show any major change. Put Call Ratio has come down to 0.82. Volatility as measured by India VIX was at 25.65 up by 1% from yesterday’s level.

I continue with the same prognosis as said in yesterday’s post.

Top five individual stocks which attracted higher volumes were RELIANCE, INNDIANB, JPASSOCIATE, PANTALOON and RELCAPITAL.

Top five individual options which attracted higher activity today were CHAMBALFERT 85 CE, JPASSOCIATE 55 CE, CHAMBALFERT 90 CE, RCOM 80 CE and PANTALOON 150 CE.

Top five individual stocks which gained today were CHAMBALFERT 8%, SCI 6%, NMDC 5%, NEYVELILIG 5% and STRTECH 5%.

Top five individual stocks which lost ground were JPASSOCIAT -2%,HOTELLEELA -1%, DHANBANK -1%, KOTAKBANK -1% and AMBUJACEM -1%.

Nifty option series where POSITIVE change in open interest was seen were 4900 CE (1.21 LK) 5000 CE (1.12 LK) 4600 CE (1.03 LK) 4700 PE (1.01 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4500 CE (-13 K)

Outstanding open interest in Out of the Money Call Options stood at 2.79 Cr shares and that of Put Options stood at 3.69 Cr shares. Outstanding open interest in In the Money Call Options stood at 63.5 LK shares and that of Put Options stood at 66.5 Lk shares.


Happy Trading


Atul Doshi