Derivatives Daily Update: March 7, 2012

Day of Consolidation: March 7, 2012

Nifty March Futures closed at 5259.70 barely up by 8.30 points. Bank Nifty closed at 10226.65 up by 112 points. Volumes were lower than yesterday and stood at Rs.1.15 trillion. Open Interest in Nifty across all the series came down by 4.18 lakh shares as Nifty was taking support at 5200 levels and did not break even clues from overseas markets were weak. Put Call Ratio on consolidated basis across all series and both Options and Futures market stood at 0.93 indicating participants are expecting markets to fall or alternatively they are expecting that it will not go up in hurry and that is why they were busy writing Calls against Puts. Volatility as measured by India VIX was lower at 26.33 down by nearly 4% mainly due to very range bound movements of 80 points. Dollar Rupee duo was trading flat at 50.52 without much of change. All in all it was a day of consolidation though with cautious approach towards the market.

My analysis still remains the same. I still feel that Nifty will again try to test the level of 5175 in coming days. Once it trades around those levels for couple of days while not breaking the same will lead to end of the correction and resumption of uptrend. Mind you days ahead are full of event which have a potential to take markets anywhere so it is advisable to trade very cautiously or buy some protection in form of the options. In my opinion structure of Nifty is still bullish as long as it remains above 5175 as 5175 is 200 DMA and normally it is considered important support and resistance.

Top five individual stocks which gained today were POLARIS 9%, RAYMOND 7%, JPASSOCIAT 6%, UNITECH 6% and RPOWER 6%.

Top five individual stocks which lost ground were ADANIENT -9%, KFA -7%, IRB -5%, HINDPETRO -5% and STER -4%.

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

Top five individual options which attracted higher activity today were SBIN 2300 CE, RELIANCE 820 CE, SBIN 2200 CE, RELIANCE 800 CE and SBIN 2400 CE.

Nifty option series where POSITIVE change in open interest was seen were 5100 CE (2.37 LK) 5200 CE (5.26 LK) 5300 CE (8.91 LK) 5400 CE (5.05 LK) 5500 CE (3.17 LK) 5600 CE (6.02 LK) 4800 PE (3.81 LK) 4900 PE (1.42 LK) 5000 PE (5.37 LK) 5100 PE (2.06 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4100 PE (1.04 LK) 5300 PE (2.11 LK) 5400 PE (2.23 LK) 5600 PE (1.43 LK)

Outstanding open interest in Out of the Money Call Options stood at 3.64 Cr shares and that of Put Options stood at 3.83 Cr shares. Outstanding open interest in In the Money Call Options stood at 80.50 LK shares and that of Put Options stood at 1.40 Cr shares. Put Call Ratio of current series alone stands at 1.05.

Happy Trading

Atul Doshi