Derivatives Daily Update: March 2, 2012

Lackluster Day: March 2, 2012

Nifty March Futures closed absolutely flat at 5391.50 up by just 1 point. Bank Nifty closed higher at 10512.30 up by 127.55 points. Volumes were lower than yesterday and stood at 83 k Cr. Open Interest too saw a increase by just 1.12 lk shares at 2.78 Cr shares. Put Call Ratio further came down to 0.95 from 0.98 levels. Volatility as measured by India VIX was up by 1% at 27.84. Dollar Rupee pair too was trading higher at 49.81 marginally up from yesterday’s level. To sum up lower volumes coupled with lackluster Open Interest, lower Put Call Ratio and increased volatility indicates participants have become extremely cautious in the market perhaps due to series of events pending in days ahead in this expiry.

My prognosis remains unchanged. Data mentioned above indicates in short term we are heading for lower levels but extreme caution suggest we might not fall drastically and perhaps find support at 5275 or if fall extends further than at 5175. Long term structure of Nifty is bullish and it is advisable to use such fall as an opportunity to build up bullish positions. If markets take support at indicated levels and bounces back, it has potential to create a new high in coming days. Buy protections by buying Options or trade in Options market only so that loss can be restricted.

Top five individual stocks which gained today were AUROPHARMA 7%, ZEEL 5%, IRB 5%, MAX 4% and ALOKTEXT 4%.

Top five individual stocks which lost ground were MPHASIS -10%, DLF -5%, JINDALSWHL -5%, HDIL -5% and JUBLFOOD -5%

Top five individual stocks which attracted higher volumes were SBIN, DLF, ICICIBANK, AXISBANK and LT.

Top five individual options which attracted higher activity today were SBIN 2300 CE, SBIN 2400 CE, SBIN 2200 PE, DLF 220 CE and SBIN 2100 PE.

Nifty option series where POSITIVE change in open interest was seen were 5400 CE (2.07 LK) 5500 CE (1.12 LK) 5700 CE (2 LK) 4700 PE (2.84 LK) 4800 PE (1.83 LK) 5000 PE (5.33 LK) 5100 PE (2.59 LK) 5200 PE (3.22 LK) 5300 PE (3.66 LK) 5400 PE (2.39 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5900 CE (-1.63 LK) 6500 CE (-1.56 LK) 5500 PE (-1.56 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.83 Cr shares and that of Put Options stood at 4.02 Cr shares. Outstanding open interest in In the Money Call Options stood at 82.84 LK shares and that of Put Options stood at 97.28 LK shares. Put Call Ratio of current series alone stands at 1.36.

Happy Trading

Atul Doshi