Derivatives Daily Update: March 29 2012

Lackluster Expiry: March 29, 2012

Nifty March Futures closed lower by 20.40 points at 5177. Bank Nifty too closed at 9938.48 down by meager 28 points. Volumes were obviously higher due to rollover activity and stood at Rs 2.50 trillion. Open Interest saw an increase 32.26 lakh shares and stood at 4 Cr Nifty. If we consider Nifty’s Open Interest of new series it stood at 2.35 Cr shares up from 1.91 Cr shares on previous day. Put Call Ratio was 0.98 and Dollar Rupee April future was trading at 51.63. Volatility as measured by India VIX was ruling at 24.33 down by 2%. All in all it was weak and lackluster expiry. Noticeable thing was that it touched 5150 which is crucial support and bounced back from those levels.

In my opinion, if in coming couple of days we are able to sustain above this support area on sustainable basis, I think uptrend might resume and we may be able to see resistance area of 5550-5600. Let us see what April has to offer us in terms of price movement.

Top five individual stocks which gained today were NCC 10%, IVRCLINFRA 8%, TATAPOWER 7%, RANBAXY 6% and INDIAINFO 6%.

Top five individual stocks which lost ground were EKC -6%, WELCOPRP -6%, DHANBANK -6%, INDIACEM -5% and JSWISPAT -5%.

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

Top five individual options which attracted higher activity today were SBIN 2100 CE, SBIN 2050PE, SBIN 2050 CE, SBIN 2000 PE and ICICIBANK 860 CE.

Nifty option series where POSITIVE change in open interest was seen were 5200 CE (49.67 LK) 5300 CE (8.64 LK) 4900 PE (1.27 LK) 5000 PE (26.63 LK) 5100 PE (57.33 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4900 CE (2.49 LK) 5000 CE (4.33 LK) 5100 CE (11.27 LK) 5400 CE (9.60 LK) 5500 CE (2.98 LK) 5600 CE (1.27 LK) 5800 CE (1.31 LK) 6000 CE (1.27 LK) 4600 PE (1.26 LK) 4700 PE (1.38 LK) 4800 PE (1.10 LK) 5200 PE (23.16 LK) 5300 PE (12.33 LK) 5400 PE (2.94 LK) 5500 PE (3.98 LK) 5600 PE (1.32 LK) 6000 PE (2.22 LK)

Outstanding open interest in Out of the Money Call Options stood at 4.71 Cr shares and that of Put Options stood at 4.14 Cr shares. Outstanding open interest in In the Money Call Options stood at 13.09 LK shares and that of Put Options stood at 69.76 LK shares. Put Call Ratio of current series alone stands at 1.00

Happy Trading

Atul Doshi