Derivatives Daily Update: April 26 2012

Boring Expiry: April 26, 2012

Nifty April Futures closed lower by 11.95 points at 5186.65. Bank Nifty also lost ground and closed at 10120.90 down by 46.35 points. Turnover was slightly lower than yesterday at Rs 1.90 trillion. Open Interest in Nifty across all series increased by 3.67 lakh shares and May series saw an increase by 32 lakh shares at 1.83 Cr shares which if compared with opening of April series was lower by 21 lakh shares. Put Call Ratio came down to 0.88 from yesterday’s level of 1.01. Volatility as measured by India VIX was lower by 1% at 18.74. Dollar Rupee pair was subdued at 52.56. In nutshell, it was a boring expiry as traders seems to be reluctant to trade in new series.

In my opinion, technically we are still holding 5150 (cash levels) which is good sign for Bull traders. As long as we don’t fall below 5150, hope of moving ahead is still alive. Let us see how first couple of days in May series behave. As result season is unfolding we will see activity in individual stocks. Looking to the lowest VIX it seems that activity might be restricted to stocks and major gyrations might be seen in Nifty once we cross 22 in VIX.

Top five individual stocks which gained today were NAGAROIL 9%, RUCHISOYA 8%, ALSTOMT&D 7%, SKUMARSYNF 6% and PUNJLLOYD 6%. 

Top five individual stocks which lost ground were GMRINFRA -7^, UNIPHOS -5%, ALBK -5%, ONMOBILE -5% and INDIAINFO -5%.

Top five individual stocks which attracted higher volumes were SBIN, RELIANCE, INFY, ICICIBANK and MCDOWELL.

Top five individual options which attracted higher activity today were SBIN 2200 CE, SBIN 2150 PE, SBIN 2150 CE, INFY 2400 CE and RELIANCE 740 CE.

Nifty option series where POSITIVE change in open interest was seen were 5200 CE (46.63 LK) 5300 CE (20.93 LK) 5100 PE (43.26 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5000 CE (1.27 LK) 5100 CE (6.12 LK) 5400 CE (3.28 LK) 5500 CE (1.46 LK) 4900 PE (1.28 LK) 5000 PE (1.28 LK) 5200 PE (19.72 LK) 5300 PE (10.48 LK) 5400 PE (5.42 LK) 5500 PE (1.13 LK) 5600 PE (1.40 LK) 5700 PE (1.74 LK) 5800 PE (1.26 LK) 6000 PE (1.78 LK)

Outstanding open interest in Out of the Money Call Options stood at 3.81 Cr shares and that of Put Options stood at 2.95 Cr shares. Outstanding open interest in In the Money Call Options stood at 5.05 LK shares and that of Put Options stood at 55.12 LK shares. Put Call Ratio of current series alone stands at 0.77.

Happy Trading

Atul Doshi