Derivatives Daily Update: May 15 2012

Short Covering Day: May 15, 2012

Nifty May Futures closed higher by 54 points at 4942.25. Bank Nifty too closed higher by 105.05 points at 9284.75. Open Interest in Nifty across all the series saw reduction by 3.70 lakh shares at 2.30 Cr shares indicating shorts got covered today. Volumes were higher than yesterday at Rs 1.02 trillion. Put Call Ratio for both Stocks and Future Options was almost flat at 0.92. PCR below 1 indicates traders are not still very confident about the market going up. Volatility as measured by India VIX was down by 4% at 22.28 and Dollar Rupee pair was trading almost unchanged at 53.92. In all some short covering activity was witnessed in the market.

In my opinion since we are trading well below all short term as well as long term moving averages, we are clearly in down trend and any bounce like the one we witnessed today are dead cat bounce and should be avoided for building up any long positions. Level of 4800 is 200 WMA and we need to see that we are able to make any meaningful bottom around this level. Once we settle around this level and move beyond short term average which is placed at 5065, Bulls can become active. Till that time wait for few sessions. Bears can keep stop of  5065 levels and short with price target of 4800.

Top five individual stocks which gained today were INDIAINFO 10%, HCC 7%, NMDC 7%, FINANTECH 6% and MCDOWELL 6%.

Top five individual stocks which lost ground were ORCHIDCHEM -7%, JETAIRWAYS -3%, NTPC -3%, MARUTI -3% and UNIPHOS -3%.

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

Top five individual options which attracted higher activity today were SBIN 1900 CE, LT 1200 CE, LT 1250 CE, LT 1100 PE and SBIN 2000 CE.

Nifty option series where POSITIVE change in open interest was seen were 4800 CE (1.07 LK) 5000 CE (1.95 LK) 5100 CE (3.61 LK) 5200 CE (1.99 LK) 4500 PE (6.38 LK) 4700 PE (2.11 LK) 4800 PE (5.62 LK) 4900 PE (3.38 LK) 5000 PE (1.54 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4900 CE 91.32 LK) 5400 CE (1.55 LK) 5700 CE (2.99 LK) 4600 PE (3.05 LK) 5200 PE (1.20 LK)

Outstanding open interest in Out of the Money Call Options stood at 4.31 Cr shares and that of Put Options stood at 2.97 Cr shares. Outstanding open interest in In the Money Call Options stood at 51.54 LK shares and that of Put Options stood at 1.39 Cr shares. Put Call Ratio of current series alone stands at 0.90

Happy Trading

Atul Doshi