Derivatives Daily Update: February 23, 2012

Correction Day 2: February 23, 2012

Nifty February Futures closed at 5488.25 down by 29.85 points. Bank Nifty too closed lower at 10713.15 down by 58.85 points. Volumes were obviously higher due to expiry and rollover activity. Open Interest was in Nifty Futures was higher by 1 lakh shares but it is not comparable as Nifty February Futures expired today. Any way Nifty Open Interest figure for March series stood at 2.39 Cr shares. Put Call Ratio was steady at 1.13 though marginally down from yesterday’s level. Volatility as measured by India VIX has come down by 10% at 24.33. Dollar Rupee pair was at 49.23 marginally down. All in all today was second day of correction. Let us see what March Series has in offing for us.

Structure of market seems good and on short term basis any dip warrants some buying opportunities. We are in to consolidation phase and after consolidating for few sessions if we start moving higher, I feel that we will make new high in coming days but for that it has to clear 5650 level decisively and sustainably.  Till that time we are in a trading range of 200 points from 5450 to 5650.

Top five individual stocks which gained today were FSL 20%, VOLTAS 8%, LITL 8%, JUBLFOOD 7% and BPCL 6%.

Top five individual stocks which lost ground were SOBHA -7%, JPASSOCIAT -7%, HDIL -6%, BALRAMCHIN -5% and RELCAPITAL -5%.

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

Top five individual options which attracted higher activity today were SBIN 2300 CE, SBIN 2250 PE, SBIN 2350 CE, SBIN 2300 PE and 2200 PE.

Nifty option series where POSITIVE change in open interest was seen were 5500 CE (21.15 LK) 5600 CE (20.72 LK) 5400 PE (37.02 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4700 CE (1 LK) 4800 CE (1.10 LK) 5200 CE (1.50 LK) 5300 CE (1.20 LK) 5400 CE (3.03 LK) 5700 CE (4.03 LK) 4900 PE (1.66 LK) 5000 PE (1.86 LK) 5200 PE (1.62 LK) 5500 PE (16.29 LK) 5600 PE (33.12 LK) 5700 PE (5.31 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.49 Cr shares and that of Put Options stood at 5 Cr shares. Outstanding open interest in In the Money Call Options stood at 45.29 LK shares and that of Put Options stood at 44.87 LK shares.

Happy Trading

Atul Doshi