Derivatives Daily Update: March 14, 2012

Upside Momentum Continues: March 14, 2012

Nifty March Futures closed at 5506.10 up by 37.70 points. Bank Nifty closed at 10981.50 up by 216.05 points. Volumes were higher than yesterday and stood at Rs.1.05 trillion. Open Interest in Nifty across all the series too improved by 9 lakh shares and stood at 3.27 Cr shares. Open Interest in bank Nifty too improved and stood at 13/99 lakh shares up by 1.24 lakh shares. Put Call Ratio too inched up a bit and stood at 1.09. Volatility as measured by India VIX was almost flat at 24.75 and Dollar Rupee duo was trading fairly stable at 50.15. All in all upside momentum in market continued ahead of the 2 major events in couple of days.

In my opinion, as long as we remain above 5175 and in very short term above 5435 there is fair chance that we will be able to kiss the recent high of 5700. My advice will be to hold on your positions and buy some puts to hedge against any odd or adverse news in either RBI policy or Budget.

Top five individual stocks which gained today were FINANTECH 7%, PATNI 7%, BANKINDIA 6%, PNB 6% and YESBANK 5%.

Top five individual stocks which lost ground were HDIL -55, GODREJIND -5%, HINDZINC -4%, MERCATOR -4% and ABAN -4%.

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

Top five individual options which attracted higher activity today were SBIN 2400 CE, SBIN 2300 PE, SBIN 2500 CE, ICICIBANK 960 CE and SBIN 2200 PE.

Nifty option series where POSITIVE change in open interest was seen were 5600 CE (7.41 LK) 5700 CE (4.74 LK) 5800 CE (3.02 LK) 6000 CE (3.59 LK) 6200 CE (1.50 LK) 4600 PE (1.25 LK) 4900 PE (2.92 LK) 5000 PE (8.54 LK) 5100 PE (4.96 LK) 5200 PE (10.86 LK) 5300 PE (7.37 LK) 5400 PE (2.86 LK) 5500 PE (6.40 LK) 5600 PE (1.80 LK) 5700 PE (2.41 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5100 CE (2.77 LK) 5200 CE (2.45 LK) 5300 CE (1.24 LK) 5400 CE (2.40 LK) 5900 CE (3.49 LK) 4800 PE (2.45 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.62 Cr shares and that of Put Options stood at 5.39 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.80 Cr shares and that of Put Options stood at 32.28 Lk shares. Put Call Ratio of current series alone stands at 1.29.

Happy Trading

Atul Doshi