Derivatives Daily Update: March 1, 2012

 A Weak Day: March 1, 2012

Nifty March Futures closed lower at 5390.75 down by 48.75 points. Bank Nifty closed lower at 10384.75 down by 135.05 points. Volumes were lower on almost all front i.e. both Futures and Options segment of the market, in fact it was 97 lakh Cr. Open Interest in Nifty across all the open series came down by 2.30 lakh shares at 2.77 Cr shares. Put Call Ratio too came down and closed at 0.98 substantially down from yesterday’s level. It indicates participants are weary about the market and are worried to write puts as they might expect markets to drift lower. Volatility as measured by India VIX shot up by 3% to 27.63 which too indicates jitters in market. Dollar Rupee pair was trading higher at 49.53. To say the least, there was worried sentiment and participants are expecting markets to fall.

As said in yesterday’s post my stand is almost vindicated that we in a very short term we are heading for lower levels. We might find support at 5275 and God forbid if break those levels probably 5175. To fall below 5175 seems to be bit difficult as it coincides with long term averages and medium to long term structure of Nifty is bullish. If we hold on this levels for few days probability of Nifty making a new high in coming months is very much on anvil. Mind you there are series of events in this month so trade cautiously or buy protection by buying options.

Top five individual stocks which gained today were SUZLON 11%, RELCAPITAL 5%, MARUTI 5%, DISHTV 5% and MTNL 4%.

Top five individual stocks which lost ground were UNIPHOS -9%, HEXAWARE -7%, DLF -6%, BGRENERGY -5% and INDIANB -5%.

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

Top five individual options which attracted higher activity today were SBIN 2300 CE, SUZLON 30 CE, SBIN 2200 PE, DLF 200 PE and SBIN 2400 CE.

Nifty option series where POSITIVE change in open interest was seen were 5300 CE (4.08 LK) 5400 CE (7.61 LK) 5500 CE (4.02 LK) 5600 CE (6.27 LK) 5700 CE (1.41 LK) 5800 CE (2.39 LK) 5900 CE (5.52 LK) 6000 CE (7.80 LK) 6500 CE (1.70 LK) 4700 PE (4.62 LK) 5000 PE (5.22 LK) 5100 PE (2.27 LK) 5300 PE (3.69 LK) 5400 PE (1.59 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4800 PE (4.29 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.86 Cr shares and that of Put Options stood at 3.91 Cr shares. Outstanding open interest in In the Money Call Options stood at 83.24 LK shares and that of Put Options stood at 1.05 Lk shares. Put Call Ratio of current series alone stands at 1.33.

Happy Trading 

Atul Doshi