Derivatives Daily Update: 24 January 2012

Breakout Day: January 24, 2012

Nifty January Futures closed up by 69.40 at 5120.45 after making a high of 5149.50 on intra day basis. Bank Nifty too closed up by 302.65 points at 9837. Volumes were obviously higher, in fact almost double than yesterday due to improved sentiment as well as rollover. Open Interest on consolidated basis across all the three open series saw increase by 13.42 lakh shares. Put Call Ratio too increased from yesterday’s level of 1.23 to 1.27. Volatility as measured by India VIX was down by 3 % at 21.42. Dollar Rupee pair was trading at 50.09 bit lower from yesterday’s level. In all it was Bull’s Day and on intra day basis we broke the resistance level of 5135 which I was constantly talking about in my earlier posts.

Nifty managed to cross resistance zone of 5135 on intra day basis though it has not closed above this level. In any case if we don’t give up tomorrow in a big way and trade around this levels for couple of days than I feel we might approach 5225 which is 200 DMA. Those who were holding long positions with target of 5135 achieved their profit objective today. Those who are still holding their long should exit below 5030 or at a revised price objective of 5225.

Top five individual stocks which gained today were ESSAROIL 16%, JINDALSWHL 13%, IVRCLINFRA 11%, JSWENERGY 11% and CANBK 10%.

Top five individual stocks which lost ground were MCDOWELL -3%, DISHTV -2%, WELCORP -2%, GRASIM -2% and AREVAT&D -2%.

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

Top five individual options which attracted higher activity today were SBIN 2000 CE, SBIN 2050 CE, SBIN 1900 PE, SBIN 1950 PE and RELIANCE 800 CE.

Nifty option series where POSITIVE change in open interest was seen were 5000 CE (8.14 LK) 5100 CE (16.50 LK) 5200 CE (6.06 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4700 CE (1.54 LK) 4800 CE (2.38 LK) 4900 CE (6.55 LK) 5000 CE (18.60 LK) 5100 CE (13.97 LK) 5400 CE (1.88 LK) 4100 PE (2.38 LK) 4300 PE (1.39 LK) 4400 PE (1.14 LK) 4500 PE (2.15 LK) 4600 PE (1.21 LK) 4700 PE (5.16 LK) 4800 PE (5.10 LK) 4900 PE (12.85 LK)

Outstanding open interest in Out of the Money Call Options stood at 1.19 Cr shares and that of Put Options stood at 5.73 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.29 Cr shares and that of Put Options stood at 17.70 Lk shares.

Happy Trading

Atul Doshi.