Derivatives Daily Update: May 2 2012

Consolidation Day: May 2, 2012

Nifty May Futures closed at 5246.95 lower by 20.90 points. Bank Nifty too closed at 10270.95 lower by 1.25 points. Turnover was slightly better at Rs 698 bn. Open Interest saw a reduction by 1.31 lakh shares at 1.97 Cr shares. Put Call Ratio was down at 0.89 which does not augur well for the market as traders are not gung ho about the market and they are writing Calls against Put. Alternatively though it may act as support if market fall. Volatility as measured by India VIX saw improvement by 4% and stood at 18.54. Dollar Rupee pair too was strong at 53.26 which too doesn’t augur well for Indian equity markets. All in all it was a day of consolidation in a very narrow band.

In my opinion as long as we remain above 5150 there is still hope that we will be able to touch 5550-5600. Only worrying factor is VIX. If VIX shoots up in coming days in a big way than market might fall as VIX has generally inverse correlation with price movement in Indices.

Top five individual stocks which gained today were SUNTV 6%, TITIAN 5%, TTKPRESTIG 4%, UNIPHOS 3% and DLF 3%.

Top five individual stocks which lost ground were NCC -6%, ASHOKLEY -5%, TATAMTRDVR -5%, VIPIND -5% and CENTURYTEX -4%.

Top five individual stocks which attracted higher volumes were SBIN, TATAMOTORS, PANTALOON, ICICIBANK and BHARTIARTL.

Top five individual options which attracted higher activity today were SBIN 2200 CE, TATAMOTORS 320 CE, ICICIBANK 900 CE, SBIN 2300 CE and BHARTIARTL 320 CE.

Nifty option series where POSITIVE change in open interest was seen were 5300 CE (8.02 LK) 5400 CE (6.28 LK) 5500 CE (2.74 LK) 5600 CE (3.77 LK) 100 PE (1.78 LK) 5200 PE (9.24 LK) 5300 PE (2.98 LK) 5500 PE (2.36 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5200 PE (1 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.09 Cr shares and that of Put Options stood at 2.49 Cr shares. Outstanding open interest in In the Money Call Options stood at 53.49 LK shares and that of Put Options stood at 62.41 LK shares. Put Call Ratio of current series alone stands at 1.18.

Happy Trading

Atul Doshi