Derivatives Daily Update: March 23 2012

Day of Consolidation: March 23, 2012

Nifty March Futures closed up by 45.3 points at 5285.35. Bank Nifty too closed higher by 115.45 points at 10311. Volumes were lower than yesterday at Rs 1.69 trillion. Open Interest in Nifty across all series on consolidated basis was down by 1.43 lakh shares at 3.40 Cr shares. Put Call Ratio improved to 1.22 from 1.15 indicating traders have gained some confidence back and have written Puts against Calls. Volatility as measured by India VIX which shot up yesterday by 18% cooled off a bit by 6% at 23.34. Dollar Rupee duo was trading firm at 51.29 indicating some pressure on rupee. All in all, ferocity with which we fall yesterday was halted today and some improvement was seen in the market.

My stand is vindicated and more than confirmed after today’s movement. I reproduce my opinion which I expressed yesterday. “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.”

Top five individual stocks which gained today were CENTURYTEXT 11%, UNITECH 7%, ADANIPOWER 6%, WELCORP 6% and PUNJLLOYD 6%.

Top five individual stocks which lost ground were FSL -4%, VOLTAS -3%, MRPL -3%, BHARATFORG -3% and ADANIPORTS -2%.

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

Top five individual options which attracted higher activity today were SBIN 2200 CE, SBIN 2100 PE, SBIN 2300 CE SBIN 2250 CE and TATASTEEL 460 CE.

Nifty option series where POSITIVE change in open interest was seen were 5200 CE (3.53 LK) 5300 CE (4.88 LK) 5500 CE (2.56 LK) 4500 PE (2.98 LK) 4700 PE (1.95 LK) 4800 PE (2 LK) 5000 PE (9.57 LK) 5100 PE (16.32 LK) 5200 PE (18.97 LK) 5300 PE (7.01 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5800 CE (1.47 LK) 5800 CE (1.33 LK)

Outstanding open interest in Out of the Money Call Options stood at 4.12 Cr shares and that of Put Options stood at 4.21 Cr shares. Outstanding open interest in In the Money Call Options stood at 80.99 LK shares and that of Put Options stood at 1.28 Cr shares. Put Call Ratio of current series alone stands at 1.11.

Happy Trading

Atul Doshi