Derivatives Daily Update: March 5, 2012

Weak Day: March 5, 2012

Nifty March Futures closed lower by 77.95 points at 5318.55. Bank Nifty too closed lower by 294.80 points at 10241.20. Volumes were not comparable with Saturday’s one hour trading but they were lower than Friday’s volume. Open Interest in Nifty futures across all the series went up by 9.37 lakh shares and stood at 2.87 Cr shares. Put Call Ratio was at 0.92 down from Friday’s level of 0.95 indicating fear in trading participants. Volatility as measured by India VIX shot up to 28.92 from 27.84 up by almost 3% from Friday’s level. Dollar Rupee pair was trading higher at 50.18. All in all it was a weak day and some amount of profit booking was witnessed in the market along with bears venturing fresh shorts in the market.

As said in yesterday’s post that we are heading for downward movement in shorter term span was vindicated today. In my opinion level of 5275 is a support area where we almost reached today and have bounced back from this level. If tomorrow we break this level on down side, we might witness 5175 which in my opinion is difficult to breach. My advice is to trade long around support zone as overall structure of Nifty is till bullish on medium to longer term perspective. God forbid if we breach 5175 decisively and close below this level for couple of day we might have to rewrite trading strategy, till that time trade long with strict stop loss or by buying adequate protection.

Top five individual stocks which gained today were RELINFRA 5%, RPOWER 5%, ZEEL 4%, BAJAJHIND 3% and TRIVENI 3%.

Top five individual stocks which lost ground were MCDOWELL -7%, SINTEX -7%, PANTALOONR -6%, FSL -6% and JPPOWER -6%.

Top five individual stocks which attracted higher volumes were SBIN, RELINFRA, ICICIBANK, RELCAPITAL and DLF.

Top five individual options which attracted higher activity today were SBIN 2300 CE, SBIN 2400 CE, RPOWER 150 CE, SBIN 2500 CE and RPOWER 140 CE.

Nifty option series where POSITIVE change in open interest was seen were 5100 CE (1.90 LK) 5200 CE (3.82 LK) 5300 CE (8.07 LK) 5400 CE (4.89 LK) 5500 CE (4.40 LK) 5600 CE (4.53 LK) 5700 CE (3.44 LK) 5800 CE (2.30 LK) 5900 CE (1.03 LK) 6000 CE (1.30 LK) 6100 CE (1.05 LK) 6200 CE (4.91 LK) 4700 PE (2.60 LK) 4900 PE (3.63 LK) 5000 PE (9.51 LK) 5100 PE (7.30 LK) 5200 PE (9.96 LK) 5300 PE (3.49 LK0 5400 PE (1.76 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5700 PE (1.91 LK)

Outstanding open interest in Out of the Money Call Options stood at 3.10 Cr shares and that of Put Options stood at 4.26 Cr shares. Outstanding open interest in In the Money Call Options stood at 96.54 LK shares and that of Put Options stood at 94.38 Lk shares. Put Call Ratio of current series alone stands at 1.28.

Happy Trading

Atul Doshi