Derivatives Daily Update: March 12, 2012

Momentum Continues: March 12, 2012

Nifty March Futures closed at 5388.75 up by 24.60 points. Bank Nifty closed at 10687.85 up by 113.65 points. Volume was more or less same and stood at 926 bn. Open Interest in Nifty across all the series also didn’t saw much change and it improved by 1 lakh share and stood at 3.14 Cr shares. Put Call Ratio has gone below 1 and was trading at 0.98 from 1.11 level of previous closing.  Volatility as measured by India VIX was up by 3% at 26.27. Dollar Rupee duo was trading flat at 50.13. All in all momentum in the market was maintained but with caution.

In my opinion, structure of Nifty is good and momentum on upside will continue, at least that is what is purely reflected on charts. As you are aware that week is full of event so gyrations in the market will be there and we might witness volatility in price behavior in coming days. Cautious Optimism is the word of the week and my advice will be to trade in Options market or alternatively buy protection against your future positions. As long as we remain above 5175, chances are there we might witness the recent high of 5700 or even surpass the same.

Top five individual stocks which gained today were BFUTILITIES 12%, COLTAS 10%, BOMDYEING 7%, BHARATFORG 6% and EKC 6%.

Top five individual stocks which lost ground were FINANTECH -4%, ADANIPORTS -3%, POLARIS -3%, M&M -2% and ZEEL -2%.

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

Top five individual options which attracted higher activity today were RELIANCE 800 CE, SBIN 2400 CE, SBIN 2300 CE, SBIN 2500 CE and SBIN 2100 PE.

Nifty option series where POSITIVE change in open interest was seen were 5400 CE (2.67 LK) 5500 CE (4.91 LK) 5600 CE (2.25 LK) 5700 CE (5.45 LK) 5800 CE (1.95 LK) 5900 CE (9.30 LK) 6400 CE (1.09 LK) 5000 PE (5.71 LK) 5100 PE (1 LK) 5200 PE (3.22 LK) 5400 PE (5.12 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5300 CE (1.03 LK) 4800 PE (8.50 LK) 4900 PE 91.11 LK) 5300 PE (4.94 LK)

Outstanding open interest in Out of the Money Call Options stood at 3.39 Cr shares and that of Put Options stood at 4.22 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.09 Cr shares and that of Put Options stood at 89.54 Lk shares. Put Call Ratio of current series alone stands at 1.14.

Happy Trading

Atul Doshi