Derivatives Daily Update: March 19, 2012

Correction Continues: March 19, 2012

Nifty March Futures opened lower and continued its weakness and closed at 5277.30 down by 65.40 points. Bank Nifty too was vulnerable and it too closed lower at 10228.40 down by 208.35 points. Volumes were nearly 40% lower than yesterday and stood at Rs. 1.32 trillion. Open Interest in Nifty across all series saw an up tick by 2.5 lakh shares and stood at 3.50 Cr shares probably highest for current series. Put Call Ratio was lower than yesterday and stood at 0.83. Volatility as measured by India VIX was mildly lower at 22.97 down by nearly 1%. Dollar Rupee pair was trading almost flat at 50.33. All in all markets were reacting to Budget event and lack of follow up by Bulls. If Put Call Ratio is any indication than it warns us that traders are weary and their thinking is tilted towards markets heading lower.

In my opinion, as said in several earlier posts, in short term we might correct to the level of 5275 and once it is broken than we can correct up to level of 5175, but beyond 5175 it seems difficult to fall as 5175 is multiple support level. I still hold the same view as overall structure of Nifty is still bullish. Scenario can change only when we successfully and sustain ably close below 5175 for couple of days. Till that time every fall is an opportunity to buy.

Top five individual stocks which gained today were MCLEODRUSS 3%, TECHM 2%, OPTOCIRCUIT 2%, HAVELLS 2% and M&M 2%.

Top five individual stocks which lost ground were RENUKA -8%, HDIL -8%, BFUTILITIES -7%, RELINFRA -7% and NCC -6%.

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 2300 CE, SBIN 2100 PE, RELIANCE 800 CE, SBIN 2400 CE and SBIN 2200 PE.

Nifty option series where POSITIVE change in open interest was seen were 5000 CE (1.30 LK) 5100 CE (3.94 LK) 5200 CE (1.26 LK) 5300 CE (13.69 LK) 5400 CE (14.88 LK) 5500 CE (94.43 LK) 5700 CE (1 LK) 4800 PE (4.21 LK) 4900 PE (2.97 LK) 5000 PE (1.98 LK) 5100 PE (12.96 LK) 5200 PE (9.72 LK)

Nifty option series where NEGATIVE change in open interest was seen were 56—CE (4.60 LK) 5900 CE (6.17 LK) 6000 CE (3.90 LK) 6100 CE (1.30 LK) 6200 CE (1.65 LK) 4600 PE (1.32 LK) 5400 PE (6 LK) 5500 PE (3.06 LK) 5600 PE (1.70 LK) 5700 PE (1.05 LK)

Outstanding open interest in Out of the Money Call Options stood at 4.40 Cr shares and that of Put Options stood at 4.04 Cr shares. Outstanding open interest in In the Money Call Options stood at 70.93 LK shares and that of Put Options stood at 1.55 Cr shares. Put Call Ratio of current series alone stands at 1.09.

Happy Trading

Atul Doshi