Derivatives Daily Update: March 13, 2012

Bullish Momentum: March 13, 2012

Nifty March Futures closed at 5468.40 up by 79.65 points. Bank Nifty closed at 10765.45 up by 77.60 points. Volumes were lower than yesterday and stood at 916 bn. Open Interest in Nifty across all the series was up by 4.34 lakh shares at 3.18 Cr shares. Put Call Ratio improved to 1.07 from 0.98 levels. Volatility as measured by India VIX was at 24.75 down by 6%. Dollar Rupee duo was trading slightly lower at 50.07 with downward bias. All in all atmosphere was conducive for Bulls in the market.

As said in several earlier posts, I maintain my stance that we are structurally in Bull market at least in medium term and this bullish momentum will take us to recent high of 5700 and if we are able to clear the same than probably new all time high. Two events namely RBI Policy and Budget that can have bearing on price behavior are in near future hence caution is advised to traders. In my opinion either trade in options market or alternatively buy protection against your futures positions. Those who are positional traders and are already long, my advice will be to hold positions with stop loss of 5175. or you can buy 5200 put option which was trading around 35 and wait till expiry.

Top five individual stocks which gained today were BOMDYEING 14%, GMRINFRA 12%, GODREJIND 11%, JETAIRWAYS 95 and LITL 9%.

Top five individual stocks which lost ground were BIOCON -6%, KFA -35, BHARATFORGE -2%, ONMOBILE -2% and WIPRO -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 5500 CE (3.10 LK) 5700 CE (5.21 LK) 5800 CE (2.10 LK) 5900 CE (9.18 LK) 6400 CE (1.09 LK) 5200 PE (2.98 LK) 5400 PE (4.27 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5200 CE (1.35 LK) 5300 CE (1.27 LK) 4800 PE (8.72 LK) 4900 PE (7.14 LK) 5300 PE (6.04 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.90 Cr shares and that of Put Options stood at 4.47 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.51 Cr shares and that of Put Options stood at 49.78 Lk shares. Put Call Ratio of current series alone stands at 1.13.

Happy Trading

Atul Doshi