Derivatives Daily Update March 27 2012

Choppy Day: March 27, 2012

Nifty March Futures closed up by 60.45 points at 5251.75 amidst much of gyrations and choppiness. Bank Nifty closed up by 107.10 points at 10169.75. Volumes were higher partly due to choppiness and partly due to shifting of positions to new series. Open Interest across all the series was up by 6 lakh shares at 3.52 Cr shares. Put Call Ratio was almost stable at 1.02. Volatility as measured by India VIX was down by 6% at 25.05 and Dollar Rupee duo was trading lower at 50.74. All in all it was a day of choppiness but with upward bias.

In my opinion, as said in earlier posts 5150-5175 is support zone and till today we are holding on those levels and have not broken them though have visited those level couple of times. As long as we hold this levels there is a strong chance that we will bounce back from this levels and might approach the higher band of Resistance zone which is placed at 5550-5600. My advice is hold on long positions or Buy at current rate with stop below 5150. Mind you we are nearing expiry and choppiness is expected in the markets so trade very cautiously.

Top five individual stocks which gained today were BOMDYEING 8%, INDIACEM 7%, ORCHIDCHEM 5%, JINDALSAW 5% and SRTRANSFIN 5%.

Top five individual stocks which lost ground were MPHASIS -4%, MAX -3%, GSPL -3%, TECHM -3% and TVSMOTOR -2%.

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

Top five individual options which attracted higher activity today were SBIN 2200 CE, SBIN 2100 PE, SBIN 2150 CE, RELIANCE 740 CE and ICICIBANK 880 CE.

Nifty option series where POSITIVE change in open interest was seen were 5200 PE (8.12 LK) 5300 PE (5.97 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5100 CE (2.66 LK) 5200 CE (3.23 LK) 5300 PE (8.31 LK) 5500 CE (2.24 LK) 5600 CE (1.39 LK) 5700 CE (1.44 LK) 4900 PE (2.02 LK) 5000 PE (1.19 LK) 5400 PE (2.17 LK) 5500 PE (1.45 LK)

Outstanding open interest in Out of the Money Call Options stood at 3.90 Cr shares and that of Put Options stood at 4.16 Cr shares. Outstanding open interest in In the Money Call Options stood at 90.62 LK shares and that of Put Options stood at 95.35 LK shares. Put Call Ratio of current series alone stands at 1.06.

Happy Trading

Atul Doshi