Derivatives Daily Update: February 21, 2012

Resilient market: February 21, 2012

Nifty February Futures closed at 5622.15 up by 32.55 points. Bank Nifty closed at 11202.15 up by 79.55 points. Volumes were more or less better though slightly lower than yesterday. Open Interest in Nifty Futures across all the series was up by 14 lk shares. Put Call Ratio was better than yesterday at 1.22. Volatility as measured by India VIX was ruling at 26.25 up by 9%. Dollar Rupee pair was almost unchanged at 49.37. All in all it was a resilient day though some caution is warranted as Volatility is steadily increasing. It seems that Bulls are active in the market as still they are writing puts against calls.

It seems that momentum will continue and once we decisively close above 5650, Nifty may touch its all time high in near future. But mind you we are at inflection point which equally has a potential to reject upward momentum and start trading lower. My advice is to book some profit around this level and ride the bull momentum for rest of the positions.

Top five individual stocks which gained today were FSL 20%, KSOIL 13%, UNITECH 13%, GODREHIND 11% and HINOILEXP 9%.

Top five individual stocks which lost ground were STER -4%, GSPL -3%, PFC -3%, RUCHISOYA -3% and RECLTD -3%.

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

Top five individual options which attracted higher activity today were TATASTEEL 500 CE, RELIANCE 840 CE, SBIN 2500 CE, RELIANCE 820 CE and BHARTIARTL 360 CE.

Nifty option series where POSITIVE change in open interest was seen were 5700 CE (7.22 LK) 5900 CE (3.99 LK) 5400 PE (6.65 LK) 5500 PE (2.73 LK) 5600 PE (12.01 LK) 5700 PE (3.17 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4500 CE (-1.13 LK) 5100 CE (1.41 LK) 5200 CE (1.53 LK) 5300 CE (1.69 LK) 5400 CE (4.45 LK) 5500 CE (8.40 LK) 5800 CE 93.61 LK) 4700 PE (3.13 LK) 4800 PE (1.47 LK) 5100 PE (1.01 LK) 5200 PE (3.77 LK) 5300 PE (1.82 LK)

Outstanding open interest in Out of the Money Call Options stood at 93.69 LK shares and that of Put Options stood at 6.22 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.73 Cr shares and that of Put Options stood at 13.10 Lk shares.

Happy Trading

Atul Doshi