Derivatives Daily Update: April 10 2012

Day of Consolidation: April 10, 2012

Nifty April Futures almost remained in a range and closed slightly better at 5266.15 up by 13.15 points. Bank Nifty too followed the trend and closed at 10235.45 up by 77.20 points. Volumes were better than yesterday and stood at Rs 825 bn. Open Interest in Nifty across all series was down by 2.58 lakh shares and stood at 1.93 Cr shares probably lowest of last six months. Put Call Ratio in Options market saw some improvement and was at 0.92 slightly up from previous level. Volatility as measured by India VIX came down by 2% and stood at 21.93. Dollar Rupee duo was trading at 51.57 up from yesterday’s level. All in all it seemed to be the day of consolidation.

In my opinion on extremely short term basis may be for a day or two we might drift lower and try and test 5150 levels. For medium to long term traders this is an opportunity to buy as still overall structure of Nifty has not vitiated. This fall is correcting the upward trend which started from 4537 level.

Top five individual stocks which gained today were GODREJIND 6%, DENABANK 5%, JETAIRWAYS 5%, UCOBANK 5% and TATAPOWER 4%.

Top five individual stocks which lost ground were IGL -33%, GSPL -7%, PRAJIND -6%, BEML -5% and IVRCLINFRA -5%.

Top five individual stocks which attracted higher volumes were IGL, SBIN, ICICIBANK, TATASTEEL and TATAMOTORS.

Top five individual options which attracted higher activity today were SBIN 2200 CE, SBIN 2150 CE, SBIN 2100 PE, SBIN 2300 CE and SBIN 2000 PE.

Nifty option series where POSITIVE change in open interest was seen were 5200 CE (2.73 LK) 5300 CE (3.50 LK) 5400 CE (1.73 LK) 5500 CE (3.72 LK) 5600 CE (1.02 LK) 5800 CE (1.15 LK) 4500 PE (1.27 LK) 4600 PE (4.08 LK) 4700 PE (3.96 LK) 4900 PE (1.49 LK) 5000 PE (3.98 LK) 5100 PE (2.52 LK) 5200 PE (4.44 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4800 PE (2.50 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.54 Cr shares and that of Put Options stood at 3.01 Cr shares. Outstanding open interest in In the Money Call Options stood at 56.10 LK shares and that of Put Options stood at 82.85 LK shares. Put Call Ratio of current series alone stands at 1.15.

Happy Trading

Atul Doshi