Derivatives Daily Update: March 6, 2012

Weakness Persists: March 6, 2012

Nifty March Futures closed lower at 5250.40 down by 68.15 points amidst large swings in the market. Bank Nifty too closed lower at 10114.65 down by 126.55 points. Volumes were remarkably higher than yesterday. It stood at 1.65 trillion almost double from yesterday’s level. Open Interest in Nifty across all the series on consolidated basis too shot up by 25 lack shares and stood at 3.13 Cr shares. Bank Nifty too saw an increase in Open Interest. Volatility as measured by India VIX surprisingly came down by 5% at 27.84. Put Call Ratio improved to 1.09 from 0.95 levels. Volatility and PCR were the only factors which gave some comfort to participants but the drastic improvement in volume coupled with increase in Open Interest and that too on a decreasing price performance was definitely a cause of worry. All in all weakness in the market persisted and let us see how it behaves tomorrow.

My prognosis of last many days is again vindicated today as I am constantly writing that in short term span we are headed for lower close. As said in earlier post, some support existed at 5275 which we broke today and the next level of support is placed at 5175. I still hold the same view that we might visit 5175 levels but to close below this level on sustainable basis or for a couple of days is bit difficult in my opinion. If we find support at this level than structure of Nifty which seems to be bullish on medium to longer term time frame will not be vitiated. All this fall from higher level will be termed as good and healthy correction and uptrend will be resumed. In case if we don’t hold this level than we might have to rewrite the strategy. We will cross the bridge when we reach their.

Top five individual stocks which gained today were TITAN 3%, MCLEODRUSS 3%, DLF 3%, SIEMENS 3% and INDIANB 2%.

Top five individual stocks which lost ground were PANTALOONR -9%, BAJAJHIND -9%, NCC -8%, MTNL -8% and IVRCLINFRA -8%.

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

Top five individual options which attracted higher activity today were SBIN 2300 CE, SBIN 2400 CE, SBIN 2500 CE, SBIN 2000 PE and SBIN 2100 PE.

Nifty option series where POSITIVE change in open interest was seen were 5100 CE (1.75 LK) 5200 CE (3.14 LK) 5300 CE (4.26 LK) 5400 CE (6.56 LK) 5500 CE (3.67 LK) 5600 CE (2.64 LK) 5700 CE 93.64 LK) 5800 CE (1.28 LK) 5900 CE (2.49 LK) 4500 PE (1.33 LK) 4600 PE (1.75 LK) 4700 PE (9.07 LK) 4900 PE (4.98 LK) 5000 PE (13.73 LK) 5100 PE (3.22 LK) 5300 PE (2.88 LK)

Nifty option series where NEGATIVE change in open interest was seen were 6200 CE (-5.37 LK) 5400 PE (1.40 LK)

Outstanding open interest in Out of the Money Call Options stood at 3.50 Cr shares and that of Put Options stood at 3.84 Cr shares. Outstanding open interest in In the Money Call Options stood at 72.30 LK shares and that of Put Options stood at 1.54 Cr shares. Put Call Ratio of current series alone stands at 1.28.

Happy Trading

Atul Doshi