Derivatives Daily Update: March 28 2012

Weak Day: March 28, 2012

Nifty March Futures closed lower by 54.35 points at 5197.40. Bank Nifty too closed lower by 203.30 points at 9966.45 points. Volumes were lower than yesterday and stood at Rs 1.89 trillion. Open Interest in Nifty across all series saw an increase of 15.73 shares and stood at 3.68 Cr shares. Put Call Ratio came down to 0.94 from 1.02 levels indicating some pressure on Bull traders. Volatility as measured by India VIX came down by 1% at 24.87. Dollar Rupp duo was trading at 50.91. All in all some expiry pressure were seen in the market and built up by bears were seen in Nifty as on down day Open Interest shot up indicating some bears have created fresh positions.

In my opinion we are trading almost near the long term support zone of 5150-5200. If we are able to decisively hold these levels on closing basis and that too sustain ably for couple of days even after expiry, uptrend might resume once again. So watch expiry and couple of days after that very closely and trade accordingly. Just for the sake of knowledge Nifty 200 DMA (cash market) is placed around 5150 hence consider this level as important support.

Top five individual stocks which gained today were MCDOWELL 5%, GLAXO 3%, HINDZINC 3%, UNIONBANK 2% and TATASTEEL 2%.

Top five individual stocks which lost ground were TITAN -6%, IBREALEST -6%, DCHL -6%, SREIINFRA -6% and MERCATOR -5%.

Top five individual stocks which attracted higher volumes were SBIN, TATASTTEL, ICICIBANK, RELIANCE and TATAMOTORS.

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

Nifty option series where POSITIVE change in open interest was seen were 5100 CE (3.64 LK) 5300 CE (21.61 LK) 5000 PE (1.80 LK) 5100 PE (14.06 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5500 CE (4.95 LK) 5600 CE (2.04 LK) 5700 CE (1.57 LK) 5800 CE (1.24 LK) 4500 PE (1.58 LK) 4700 PE (2.59 LK) 4800 PE (1.34 LK) 4900 PE (1.19 LK) 5200 PE (1.69 LK) 5300 PE (11.20 LK) 5400 PE (7.21 LK) 5500 PE (1.72 LK) 6000 PE (1.10 LK)

Outstanding open interest in Out of the Money Call Options stood at 4.43 Cr shares and that of Put Options stood at 3.44 Cr shares. Outstanding open interest in In the Money Call Options stood at 35.07 LK shares and that of Put Options stood at 1.31 Cr shares. Put Call Ratio of current series alone stands at 0.99.

Happy Trading

Atul Doshi