Derivatives Daily Update: February 24, 2012

March Series - Lackluster Opening : February 24, 2012.

Nifty March Series wiped off entire premium and closed absolutely flat at 5487.45. Bank Nifty closed lower at 10608.70 down by 104.45 points. Volumes were obviously lower than yesterday due to rollover effect. Open Interest in Nifty Futures across all series stood at 2.69 Cr shares. Bank Nifty Open Interest stood at 11.94 LK shares. Put Call Ratio was 1.17 higher than yesterday. Volatility as measured by India VIX was 24.82 up by 2%. Dollar rupee trade was trading lower at 48.95. All in all it was a lackluster opening and correction that started 2 days back continued today also.

As said in yesterday’s post we are trading broadly in a range of 5450-5650 and will continue to do so for couple of days. In my opinion, structure of Nifty is bullish at least in short term to medium term and with some correction price wise and time wise we should be able to break the range on higher side. Only caveat being that we don’t drastically breakdown and drift lower than 5200. Till that time trade the range and accumulate some profits.

Top five individual stocks which gained today were OFSS 17%, DHANBANK 8%, ZEEL 6%, GODREJIND 5% and IBREALEST 5%.

Top five individual stocks which lost ground were KSOIL -10%, ARVIND -6%, ABB -6%, EKC -6% TATACOMM -6%.

Top five individual stocks which attracted higher volumes were SBIN, HDFC, ICICIBANK, TATASTEEL and STER.

Top five individual options which attracted higher activity today were SBIN 2300 CE, SBIN 2400 CE, HDFC 700 CE, SBIN 2500 CE and SBIN 2200 PE.

Nifty option series where POSITIVE change in open interest was seen were 5500 CE (4.25 LK) 5600 CE (2.65 LK) 5700 CE (6.36 LK) 5800 CE (4.66 LK) 6000 CE (4.66 LK) 6200 CE (1.39 LK) 4700 PE (1.63 LK) 4800 PE (3.19 LK) 4900 PE (1.57 LK) 5000 PE (3.29 LK) 5100 PE (3.55 LK) 5200 PE (5.70 LK) 5300 PE (8.34 LK) 5400 (2.94 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5300 CE (60 K) 4000 PE (87 K)

Outstanding open interest in Out of the Money Call Options stood at 1.76 Cr shares and that of Put Options stood at 3.48 Cr shares. Outstanding open interest in In the Money Call Options stood at 89.38 LK shares and that of Put Options stood at 61.40 Lk shares. Put Call Ratio of current series alone stands at 1.54.

Happy Trading

Atul Doshi