Derivatives Daily Update: May 22 2012

Weakness Resumed: May 22, 2012

Nifty May Futures closed at 4841.20 down by 52.70 points. Bank Nifty closed at 9184.90 down by 152.45 points. Open Interest in Nifty across all the series shot up by 9.10 lakh shares at 2.44 Cr shares indicating fresh shorts being created in the market. Turnover was substantially higher from yesterday’s level at Rs 1.23 trillion. Put Call Ratio for both Index & Stock Options across all the series was almost flat at 0.86 way below comfortable level of 1 which again is not a good sign for Bulls. Volatility as measured by India VIX shot up by 2% at 24.59 which again does not augur well for Bullish scenario. Dollar Rupee duo too played a spoil sport as it was trading at all time high of 55.45 putting immense pressure on Rupee which too is not good for equity markets. In all it was a dull day with almost all the indicators not in favor of Bulls.

As said yesterday and in couple of previous posts, we have ended a intermediate Bull market and we are headed for downward journey. Unless & until some meaningful bottom is in place it is advisable to short the Nifty with stop loss above 4965 and price objective of 4550. Bears can add further shorts when Nifty breaches 4800 on closing level.

Top five individual stocks which gained today were HEXAWARE 6%, ABGSHIP 6%, AUROPHARMA 3%, TCS 2% and ABB 2%.

Top five individual stocks which lost ground were IVRCLINFRA -11%, POLARIS -6%, IDEA -5% SREINFRA -5% and SESAGOA -5%

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

Top five individual options which attracted higher activity today were SBIN 2000 CE, SBIN 1950 CE, SBIN 2050 CE, SBIN 1900 PE and SBIN 2100 CE.

Nifty option series where POSITIVE change in open interest was seen were 4800 CE (5.51 LK) 4900 CE (6.77 LK) 5000 CE (13.31 LK) 4600 PE (5.42 LK0 4700 PE (9.13 LK) 4800 PE (2.51 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5100 CE (-4.39 LK) 5200 CE (-5.36 LK) 5300 CE (-1.46 LK) 5400 CE (-15.23 LK) 4900 PE (1.42 LK)

Outstanding open interest in Out of the Money Call Options stood at 4.62 Cr shares and that of Put Options stood at 2.73 Cr shares. Outstanding open interest in In the Money Call Options stood at 48.38 LK shares and that of Put Options stood at 1.67 Cr shares. Put Call Ratio of current series alone stands at 0.86.

Happy Trading

Atul Doshi