Derivatives Daily Update: May 17 2012

Weak Sentiment Prevails: May 17, 2012

Nifty May Futures closed lower at 4852.30 down by 4.60 points. Bank Nifty too closed lower at9085.60 down by 22.45 points. Open Interest in Nifty was up by 7.21 lakh shares at 2.41 Cr shares indicating fresh shorts being created in market. Turnover was slightly lower at Rs 1.14 trillion. Put Call Ratio for both Stocks & Index Options stood almost flat at 0.91 again indicating weak sentiment. Volatility as measured by India VIX was down by 1% at 23.59 and Dollar Rupee duo was trading at 54.68. In all weakness in market persists and no signs of market bottoming out were visible.

As said in several earlier posts, Bull trend seems to have ended and we will drift further even below 200 WMA average which is placed at 4800. If we are able to sustain below 4800 than possibly we might visit earlier low of 4530. My advice for Bulls is to remain on sideline and wait for better opportunity as Bears are heavy on market and might succeed in making new lows. Unless & until we see some bottom formation it is not advisable to go long on market.

Top five individual stocks which gained today were DISHTV 10%, DELTACORP 6%, SRTRANSFIN 5%, AMBUJACEM 5% and MCLEODRUSS 4%.

Top five individual stocks which lost ground were PANTALOONR -6%, VOLTAS -6%, CUMMINSIND -4%, TECHM -4% and PETRONET -4%.

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

Top five individual options which attracted higher activity today were SBIN 1900 CE, SBIN 1950 CE, SBIN 2000CE, SBIN 1850 CE and SBIN 1800 PE.

Nifty option series where POSITIVE change in open interest was seen were 4800 CE (4.66 LK) 4900 CE (6.61 LK) 5100 CE (2.53 LK) 4600 PE (14.89 LK) 4700 PE (4.39 LK) 4800 PE (2.37 LK) 4900 PE (1.93 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5200 CE (1.45 LK) 5300 CE (2.05 LK) 4500 PE (2.73 LK) 5000 PE (2.23 LK)

Outstanding open interest in Out of the Money Call Options stood at 4.79 Cr shares and that of Put Options stood at 2.58 Cr shares. Outstanding open interest in In the Money Call Options stood at 40.73 LK shares and that of Put Options stood at 1.79 Cr shares. Put Call Ratio of current series alone stands at 0.84.

Happy Trading

Atul Doshi