Derivatives Daily Update: March 9, 2012

Breakout Day: March 09, 2012

Nifty March Futures after consolidation on previous day opened with gap and smartly closed near the day’s high at 5364.15 up by 105.45 points. Bank Nifty too closed higher by 347.55 points at 10574.20. Volumes were lower than yesterday and stood at Rs 922 bn. Open Interest across all the pending series on consolidated basis was higher by 4.50 lakh shares at 3.13 Cr shares. Put Call Ratio too improved to 1.11 from 0.93. Volatility as measured by India VIX was down by 3% at 25.47 and Dollar Rupee duo was trading lower at 50.10 indicating strength in Rupee. All in all it was up day and Bulls were again back in the markets.

From the analysis of today’s data it seems that corrective pattern which started from higher levels has come to an end and we might resume up trend once again. As it was indicated several time in earlier posts that in extremely short term span we will move downwards but 5175 is a strong multiple support and to break 5175 is bit difficult. Today we have seen that low of 5201 which we saw yesterday was well supported by today’s price movement by strongly opening much higher than this level and even closing at day’s high. We saw some confidence coming back in the market as PCR has improved indicating participants were writing puts against calls or alternatively were squaring of in the money call options. Volatility too fell from yesterday’s level indicating strength in the market. Dollar Rupee also helped as we saw strengthening of Rupee against Dollar. All in all it seems that environment was favoring Bulls.

Top five individual stocks which gained today were INDIAINFO 11%, GVKPIL 10%, YESBANK 10%, LITL 9% and CESC 9%.

Top five individual stocks which lost ground were ADANIPORTS -8%, FINANTECH -6%, WIPRO -2%, RPOWER -2% and IGL -2%.

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

Top five individual options which attracted higher activity today were SBIN 2300 CE, ICICIBANK 900 CE, SBIN 2400 CE, RELIANCE 800 CE and ICICIBANK 820 PE.

Nifty option series where POSITIVE change in open interest was seen were 4800 PE (5.76 LK) 5200 PE (4.20 LK) 5300 PE (11.87 LK) 5400 PE (1.38 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5100 CE (1.31 LK) 5200 CE (1.61 LK) 5300 CE (3.83 LK) 5400 CE (1.28 LK) 5500 CE (2.26 LK) 5700 CE (1.02 LK) 4600 PE (1.77 LK) 4700 PE (13.14 LK) 5100 PE (2.60 LK) 5500 PE (1.16 LK)

Outstanding open interest in Out of the Money Call Options stood at 3.11 Cr shares and that of Put Options stood at 4.25 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.10 Cr shares and that of Put Options stood at 84.54 Lk shares. Put Call Ratio of Nifty in current series alone stands at 1.21.

Happy Trading

Atul Doshi