Derivatives Daily Update: May 16 2012

Weakness Continues: May 16, 2012

Nifty closed lower at 4856.90 down by 85.35 points. Bank Nifty too closed at 9108.05 down by 176.70 points. Open Interest in Nifty across all the series was up by 4.56 shares at 2.34 Cr shares. Turnover was high at Rs 1.24 trillion. Put Call Ratio of both Stock & Index Options across all the series was fairly flat at 0.92, though it was 0.82 for May Series. Volatility as measured by India VIX was up by 6% at 23.71. Dollar Rupee pair was trading at its highest level of 54.60. In nutshell all the data are pointing towards markets getting worse from this level. Rising Volatility, Weakening Rupee and building of short positions as well as Put Call Ratio below 1 suggests all is not well in the market.

As expressed earlier, I believe that weakness will continue and we might drift lower in coming days. It seems that 200 WMA which is placed at 4800 will also get breached. My advice for traders is to stay away from buying as all the indicators are not conducive for trading. Once we are able to make some meaningful and sustainable bottom, buying can be resumed till that time either stay away or short the market with strict stop loss.

Top five individual stocks which gained today were UNITECH 7%, JISLJAL 6%, DELTACORP 5%, ZEEL 3% and TATAGLOBAL 3%.

Top five individual stocks which lost ground were TATAMOTORS -8%, TATAMTRDVR -7%, ABIRLANUVO -6%, SRTRANSFIN -6% and NAGAROIL -6%.

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

Top five individual options which attracted higher activity today were SBIN 1900 CE, TATAMOTORS 300 CE, SBIN 1850 CE, TATAMOTORS 280 CE and SBIN 1800 CE.

Nifty option series where POSITIVE change in open interest was seen were 4700 CE (4.96 LK) 4800 CE (10.29 LK) 4900 CE (17.06 LK) 5000 CE (7.69 LK) 5100 CE (6.74 LK) 4300 PE (1.06 LK) 4400 PE (3.30 LK) 4500 PE (9.53 LK) 4600 PE (3.04 LK) 4700 PE (11.54 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5200 CE (1.86 LK) 5300 CE (1.95 LK) 5400 CE (1.95 LK) 4800 PE (6.34 LK) 4900 PE (7.22 LK) 5000 PE (6.26 LK) 5100 PE (1.45 LK) 5200 PE (1.50 LK)

Outstanding open interest in Out of the Money Call Options stood at 4.79 Cr shares and that of Put Options stood at 2.45 Cr shares. Outstanding open interest in In the Money Call Options stood at 36.51 LK shares and that of Put Options stood at 1.88 Cr shares. Put Call Ratio of current series alone stands at 0.83

Happy Trading

Atul Doshi