Derivatives Daily Update: February 27, 2012

Correction Deepens: February 27, 2012

Nifty March Futures closed drastically lower at 5338.60 down by 148.85 points. Bank Nifty too closed at 10213.90 down by 394.80 points. Momentum which we saw in last series is dying from very first day of the new series. Today was the second day in new series which has closed lower. Volumes were higher than yesterday that too on a down day. Open Interest in Nifty across all the series stood at 2.65 Cr down by 4.50 lakh shares indicating some profit booking witnessed in the market. Put Call Ratio too was marginally down to 1.04 from 1.1 level of yesterday again indicating some worry on part of the Options writers. Volatility has shot up by 10% to 27.38 which again is a bad sign as it shows participants are becoming jittery about the market. Dollar Rupee pair was trading marginally higher at 49.05. All in all it was a day of consolidation of bull trend but it seems some confidence was shaken up and markets were trading with downward bias.

In my opinion, range that Nifty was trading has broken on down side at if this trend continues which now seems very likely we might go and test 5180 level which is long term moving average. I feel that market should take support between 5180 and 5350 as structure of Nifty’s chart is still very bullish. Bulls must have stopped out today but if tomorrow markets start moving up it is advisable to buy with stop below 5200 level.

Top five individual stocks which gained today were BPCL 2%, JINDALSAW 2%, CIPLA 2%, HINDPETRO 1% and ARVIND 1%.

Top five individual stocks which lost ground were LITL -10%, SESAGOA -10%, FSL -10%, ADANIPOWER -9% and SINTEX -8%.

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

Top five individual options which attracted higher activity today were SBIN 2300 CE, SBIN 2400 CE, RELIANCE 820 CE, RELIANCE 840 CE and SBIN 2200 CE.

Nifty option series where POSITIVE change in open interest was seen were 5200 CE (2.66 LK) 5300 CE (3.64 LK) 5400 CE (6.93 LK) 5500 CE (7.33 LK) 5600 CE (11.29 LK) 5800 CE (1.25 LK) 5900 CE (3.78 LK) 6000 CE (2.20 LK) 4400 PE (1.60 LK) 4600 PE (2.67 LK) 4700 PE (2.86 LK) 4800 PE (3.31 LK) 4900 PE (3.27 LK) 5000 PE (9.86 LK) 5100 PE (2.92 LK) 5200 PE (15.13 LK) 5300 PE (10.36 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5700 CE (1.94 LK) 5400 PE (1.69 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.28 Cr shares and that of Put Options stood at 3.62 Cr shares. Outstanding open interest in In the Money Call Options stood at 77.11 LK shares and that of Put Options stood at 98.75 Lk shares. Put Call Ratio of current series alone stands at 1.51.

Happy Trading 

Atul Doshi