Derivatives Daily Update: March 15, 2012

Profit Taking Day: March 15, 2012

Nifty march Futures closed at 5419.10 down by 87 points. Bank Nifty too closed lower by 326.65 points at 10654.85 points. Volumes were higher than yesterday and stood at Rs. 1.24 trillion. Open Interest in Nifty across all the series was higher by 8 lakh shares at 3.35 Cr shares. Put Call Ratio came down to 0.90 from 1.09 levels. Volatility as measured by India VIX shot up by 3% at 25.42. Dollar Rupee pair too was trading higher at 50.53. All in all some shorting has taken place in the market as RBI policy could not bring any cheers.

In my opinion, structurally we are still in Bull market on medium term time frame but as today markets were not able to make any new highs and that was the reason markets gave away the gains of few days. As long as we remain above 5175, there is a fair chance we will again start moving up but tomorrow is a Budget event which has a potential of generating huge volatility so be cautious and if possible trade in Options market only.

Top five individual stocks which gained today were EDUCOMP 5%, JSWENERGY 4%, KFA 3%, HINDUNILVR 2% and ADANIPOWER 2%.

Top five individual stocks which lost ground were LITL -8%, TITAN -7%, IBREALEST -7%, SINTEX -6% and GMRINFRA -6%.

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, RELIANCE, TATASTEEL and TATAMOTORS.

Top five individual options which attracted higher activity today were SBIN 2400 CE, SBIN 2500 CE, SBIN 2300 PE, SBIN 2200 PE and SBIN 2100 PE.

Nifty option series where POSITIVE change in open interest was seen were 5400 CE (6.21 LK) 5500 CE (15.69 LK) 5600 CE (14.54 LK) 5700 CE (11.57 LK) 5800 CE (2.55 LK) 5900 CE (4.40 LK) 6000 CE (10.43 LK) 6100 CE (2.17 LK) 4900 PE (3.39 LK) 5100 PE 93.25 LK) 5400 PE (3.96 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5300 CE (2.26 LK) 5000 PE (3.76 LK) 5500 PE (4.03 LK)

Outstanding open interest in Out of the Money Call Options stood at 3.64 Cr shares and that of Put Options stood at 5.07 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.31 Cr shares and that of Put Options stood at 63.49 Lk shares. Put Call Ratio of current series alone stands at 1.15.

Happy Trading

Atul Doshi