Derivatives Daily Update: March 22, 2012

Sell Off Day: March 22, 2012

Nifty March Futures drastically came down by 154.45 points at 5240.05. Bank Nifty too closed lower by 400.65 points at 10195.55 points. Volumes were much higher than yesterday and stood at Rs 1.98 trillion up by nearly 30% from yesterday’s level. Open Interest was lower by 3.70 lakh shares and stood at 3.41 Cr shares on account of some Bull unwinding. Put Call Ratio was surprisingly up to 1.15 from 1.03 levels. Volatility as measured by India VIX shot up once again by whooping 18% at 24.77. In yesterday’s post only I opined that Volatility in coming days will increase as it was trading at its lower level and it has a habit of moving towards its mean. Dollar Rupee duo was trading higher at 51.15 from 50.58 points. Rupee is feeling pressure which is not good for equity markets. Statistics are not good for market. Increased volume on down day, increase in volatility and pressure on Rupee will play a spoil sport. Only saving grace is, we are trading near major support zone and Bulls are still holding their positions. Let us see what week end and this expiry has to offer in coming days.

In my opinion we are near a major support zone which is placed in a range of 5150-5200. Long term moving average (200 DMA & 200 EMA) are 5218 and 5170 respectively. Fibonacci Retracement level, 50% of the last wave is placed at 5147. I still hold the view we will be able to hold this levels. God forbid, if we break this level and trade below this level on sustainable basis for couple of days, we will have to revise our strategy which can only be decided after looking at price pressure points. Till that time we will have to believe that we are in uptrend and every dip is an opportunity to buy, notwithstanding the rumors of some Coal scam and  global events that are unfolding.

Top five individual stocks which gained today were TECHM 6%, FSL 4%, COALINDIA 2%, IVRCLINFRA 2% and ASHOKLEY 1%.

Top five individual stocks which lost ground were JSWENERGY -10%, INDIAINFO -9%, JSWSTEEL -9%, MERCATOR -9% and ABAN -8%.

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

Top five individual options which attracted higher activity today were SBIN 2300 CE, TATASTEEL 480 CE, SBIN 2400 CE, RELIANCE 760 CE and TATASTEEL 460 PE.

Nifty option series where POSITIVE change in open interest was seen were 5100 CE (4.91 LK) 5200 CE 915.05 LK) 5300 CE (8.06 LK) 5400 CE (14.21 LK) 5500 CE (14.22 LK) 5600 CE (2.55 LK) 4000 PE (1.07 LK) 4600 PE (2.03 LK) 4700 PE (2.40 LK) 4800 PE (1.72 LK) 5000 PE (9.39 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5700 CE (5.55 LK) 5800 PE (1.18 LK) 5900 PE (2.48 LK) 6000 PE (1.79 LK) 4900 PE (4.31 LK) 5200 PE (1.46 LK) 5300 PE (9.26 LK0 5400 PE (10.53 LK) 5500 PE (4.93 LK)

Outstanding open interest in Out of the Money Call Options stood at 4.17 Cr shares and that of Put Options stood at 4.04 Cr shares. Outstanding open interest in In the Money Call Options stood at 79.14 LK shares and that of Put Options stood at 1.27 Cr shares. Put Call Ratio of current series alone stands at 1.07.

Happy Trading

Atul Doshi