Derivatives Daily Update: February 22, 2012

Correction Day: February 22, 2012

Nifty February Futures closed at 5518.10 down by 104.05 points. Bank Nifty too closed lower at 10772 down by 430.15 points. Volumes were obviously higher due to rollover in new series. Open Interest saw a whooping rise by 60 lakh shares across all the series indicating short built up. Put Call Ratio also came down to 1.20 from 1.30 levels. Volatility as measured by India VIX was up by 2% at 26.80. Dollar Rupee pair was trading almost unchanged at 49.37. All in all it seems that correction has set in. Only worry to me seems to be huge built up in Nifty positions that too in falling markets.

In my opinion, if correction deepens tomorrow it will be definitely worrisome. As said in several earlier post that 5650 is sacrosanct level and if we are not able to clear this level, market has potential to drift lower to below earlier low. Though still this are early days and such scary scenario is not warranted right now. If after giving due respect to correction markets starts moving up and clears 5650 in couple of days we will make a higher high. So advice is to watch screen very closely as new series is full of events. It is advisable to protect your positions by buying puts.

Top five individual stocks which gained today were TATACOMM 7%, FSL 6%, GITANJALI 3%, SUNTV 3% and IGL 3%.

Top five individual stocks which lost ground were LITL -16%, MCDOWELL -14%, IRB -12%, VIPIND -12% and GMRINFRA -12%.

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

Top five individual options which attracted higher activity today were SBIN 2400 CE, SBIN 2300 PE, SBIN 2350 CE, SBIN 2450 CE and SBIN 2500 CE.

Nifty option series where POSITIVE change in open interest was seen were 5500 CE (17.73 LK) 5600 CE (14.26 LK) 5700 CE (14.73 LK) 5800 CE (2.02 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4900 PE (1,20 LK) 5000 CE (1.23 LK) 5400 CE 94.68 LK) 5900 CE (1.40 LK) 4600 PE (1.02 LK) 4700 PE (3.48 LK) 4800 PE (2.47 LK) 4900 PE (1.79 LK) 5000 PE (1.42 LK) 5100 PE (2.03 LK) 5200 PE (1.91 LK) 5300 PE (1 LK) 5400 PE (2.13 LK) 5500 PE (8.71 LK) 5600 PE (9.51 LK) 5700 PE (2.27 LK)

Outstanding open interest in Out of the Money Call Options stood at 1.69 Cr shares and that of Put Options stood at 5.25 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.17 Cr shares and that of Put Options stood at 56.83 Lk shares.

Happy Trading

Atul Doshi