Derivatives Daily Update: March 26, 2012

Down Day: March 26, 2012

Nifty March Futures closed lower by 94.05 points at 5191.30. Bank Nifty too closed lower by 248.35 points at 10062.65. Volumes were higher than yesterday at Rs.1.76 trillion. Open Interest across all the series was up by 6.15 lakh shares at 3.46 Cr shares. Put Call Ratio came down to 1.01 from 1.22 levels. Volatility as measured by India VIX shot up by 15% at 26.74. Dollar Rupee pair was trading higher at 51.42. All in all it was a down day and data indicates short term technical weakness.

In my opinion we are trading very near to long term support zone and it is very crucial that we hold on this level. If Nifty fails to hold on this level and closes below support area for couple of days, possibility of touching 5000 increases manifold. Technical data and price movement along with Put Call Ratio definitely suggests some cautious approach by traders but the kind of capitulation is still not witnessed in the market. Till that time Buy with stop loss below support zone of 5150.

Top five individual stocks which gained today were KSOIL 20%, MAX 3%, JPASSOCIAT 3% ALSTOM 3% and DISHTV 3%.

Top five individual stocks which lost ground were RENUKA -7%, IRB -75, HDIL -7%, OPTOCIRCUI -7% and JSWENERGY -6%.

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

Top five individual options which attracted higher activity today were SBIN 2200 CE, SBIN 2100 PE, RELIANCE 740 CE, SBIN 2150 CE and TATASTEEL 460 CE.

Nifty option series where POSITIVE change in open interest was seen were 5100 CE (4.91 LK) 5200 CE (17.76 LK) 5300 CE (18.82 LK) 5400 CE (6.72 LK) 5100 PE (20.34 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5500 CE (2.23 LK0 5600 CE (4.79 LK) 5700 CE (4.86 LK) 5800 CE (3.34 LK) 5900 CE (1.55 LK) 4800 PE (1.16 LK) 5000 PE (7.10 LK) 5200 PE (10.62 LK) 5300 PE (14.70 LK) 5400 PE (8.91 LK)

Outstanding open interest in Out of the Money Call Options stood at 4.70 Cr shares and that of Put Options stood at 3.47 Cr shares. Outstanding open interest in In the Money Call Options stood at 41.93 LK shares and that of Put Options stood at 1.68 Cr shares. Put Call Ratio of current series alone stands at 1.01.

Happy Trading

Atul Doshi