Derivatives Daily Update: April 03 2012

Resilient Day: April 3, 2012

Nifty April Futures closed at 5383.25 up by 32.60 points. Bank Nifty closed at 10444.30 up by 90.50 points. Volumes were lower than yesterday at Rs 727 bn. Open Interest in Nifty across all series came down by 4.58 lakh shares and stood at 2.07 Cr shares indicating some short covering happening in the market. Put Call Ratio in Options market improved to 1.14 indicating comfort for traders as they were busy writing puts against calls. Volatility was at its extreme low point and stood at 20.01 down by 4%. Dollar Rupee duo was trading at 51.01 down from 51.23 levels indicating strength in Rupee. All in all it was a resilient day with less choppiness and increased confidence.

In my opinion as long as we remain above 5150 levels there is a brighter chance that we will touch resistance zone of 5550-5600 in coming days. Buy in to every dips with stop loss below 5150 and target of 5550.

Top five individual stocks which gained today were NAGAROIL 36%, PANTALOON 10%, NATIONALUM 10%, ESSAROIL 9% and ZEEL 6%.

Top five individual stocks which lost ground were OPTOCIRCUI -3%, DRREDDY -3%, HEROMOTORCO -2%, BAJAJHLDG -2% and MARUTI -2%.

Top five individual stocks which attracted higher volumes were SBIN, BHEL, PANTALLON, TATASTEEL and RELIANCE.

Top five individual options which attracted higher activity today were SBIN 2200 CE, RELIANCE 760 CE, SBIN 2300 CE, TATASTEEL 480 CE and RELIANCE 780 CE.

Nifty option series where POSITIVE change in open interest was seen were 5300 CE (1.39 LK) 5500 CE (4.75 LK) 5600 CE (4.88 LK) 6000 CE (1.10 LK) 4800 PE (1.02 LK) 5000 PE (1.62 LK) 5100 PE (4.57 LK) 5200 PE (3.30 LK) 5300 PE ( 6.46 LK) 5400 PE ( 5.85 LK) 5500 CE (1.52 LK) 5600 PE ( 1.16 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5200 CE (1.83 LK) 4500 PE 91.47 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.02 Cr shares and that of Put Options stood at 3.09 Cr shares. Outstanding open interest in In the Money Call Options stood at 75.69 LK shares and that of Put Options stood at 54.49 LK shares. Put Call Ratio of current series alone stands at 1.38.

Happy Trading

Atul Doshi