Derivatives Daily Update: March 16, 2012

Day of Correction: March 16, 2012

Nifty March Futures closed lower by 76.4 points at 5342.70. Bank Nifty too closed lower by 218.10 points at 10436.75. Volumes in the market were drastically up by nearly 80% at Rs 2.16 trillion. Open Interest in Nifty on consolidated basis across all the three pending series were up by 11.64 lakh shares at 3.47 Cr shares probably at highest level of current month. Put Call Ratio inched up at 0.97 from 0.90 levels. Volatility as measured by India VIX was surprisingly down by 9% at 23.13. Dollar Rupee pair in futures market was trading comfortably at 50.33. All in all it was a day of correction with mixed set of data. While increase in volumes and Open Interest on down day are bit negative, improvement in Put Call Ratio and stable Dollar Rupee can be considered positive.

In my opinion it was a day of correction if we consider technical data for medium term. While in shorter term charts it has broken short term moving averages which are placed at 5421 and 5371, it is well above its medium to long term averages which are placed at 5275 and 5175. Technical structure of Nifty is bullish. As long as we remain above long term averages, this falls can be construed as correction and once we are out of this pain, upward journey will continue.

Top five individual stocks which gained today were ITC 4%, INDIACEM 4%, M&M 3%, MAX 3% and SOBHA 3%.

Top five individual stocks which lost ground were SUNPHARMA -8%, PUNJLLOYD -7%, NMDC -7% MERCATOR -7% and JISLAL -7%

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

Top five individual options which attracted higher activity today were SBIN 2400CE, SBIN 2200 PE, SBIN 2500 CE, RELIANCE 800 CE and SBIN 2300 PE.

Nifty option series where POSITIVE change in open interest was seen were 5200 CE (2.83 LK) 5300 CE (2.63 LK) 5400 CE (4.97 LK) 5500 CE (3.55 LK) 5600 CE (6.42 LK) 5800 CE (6.48 LK) 5000 PE (2.07 LK) 5100 PE (4.15 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5700 CE (8.63 LK) 6000 PE (3.32 LK) 5200 PE (13.22 LK) 5500 PE (1.43 LK) 5600 PE (1.65 LK) 5700 PE (1.06 LK)

Outstanding open interest in Out of the Money Call Options stood at 3.96 Cr shares and that of Put Options stood at 4.38 Cr shares. Outstanding open interest in In the Money Call Options stood at 93.63 LK shares and that of Put Options stood at 1.03 Cr shares. Put Call Ratio of current series alone stands at 1.11.

Happy Trading

Atul Doshi