Derivatives Daily Update: May 11 2012

Weakness Persists: May 11, 2012

Nifty May Futures closed lower by 35.45 points at 4931.35. Bank Nifty closed higher by 24.55 points at 9379.35. Open Interest in Nifty across all the series was up by 6 lakh shares at 2.27 Cr Shares. Turnover was up at Rs 1.24 trillion. Put Call Ratio of both Index Options and Stock Options stood saw a down tick and stood at 1. Volatility as measured by India VIX was mildly down by 1% at 22.48. Dollar Rupee pair was trading almost flat at 53.69. In all markets were marred by weak sentiment and made a newer low today. Nifty is constantly remaining under pressure from start of May series.

In my opinion, since Nifty has broken 4950 an important retracement support and even closed below it we are surely in process of ending Bull Run with couple of more lower close to confirm the same. It is advisable to get out of long positions if still one is holding and wait for the opportune time. Once we close below this level for couple of days, we might drift further. New support might emerge at 4800 levels as this level is 200 WMA. Since daily charts have already weakened we need to see if are able to make any meaningful bottom at around 4800 levels. Trade cautiously and with strict stop loss.

Top five individual stocks which gained today were JUBLFOOD 7%, JPASSOCIAT 4%, BAJAAUTO 4%, BATAINDIA 4% and TATAMOTORS 3%.

Top five individual stocks which lost ground were IRB -14%, INDIANB -7%, HINDOILEXP -6%, INDIACEM -6% and TTKPRESTIG -6%.

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, TATAMOTORS, JSWSTEEL and AXISBANK.

Top five individual options which attracted higher activity today were SBIN 1900 CE, SBIN 2000CE, SBIN 1800 PE, SBIN 2100 CE and SBIN 1950 CE.

Nifty option series where POSITIVE change in open interest was seen were 4900 CE (13.87 LK) 5100 CE (5.91 LK) 5200 CE (2.80 LK) 4300 PE (1.12 LK) 4400 PE (5.61 LK) 4700 PE (4.95 LK) 4800 PE (9.03 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4600 PE (5.49 LK) 4900 PE (2.48 LK) 5000 PE (4.49 LK) 5100 PE (1.17 LK)

Outstanding open interest in Out of the Money Call Options stood at 4.28 Cr shares and that of Put Options stood at 2.76 Cr shares. Outstanding open interest in In the Money Call Options stood at 44.84 LK shares and that of Put Options stood at 1.50 Cr shares. Put Call Ratio of current series alone stands at 0.90.

Happy Trading

Atul Doshi