Derivatives Daily Update: May 23 2012

Downward Journey Continues: May 23, 2012

Nifty May Futures closed lower by 26.65 points at 4814.55. Bank Nifty too closed lower by 50.10 points at 9134.80. Open Interest in Nifty across all the series saw an increase by 2 lakh shares at 2.46 Cr shares indicating fresh shorts created in the market. Turnover was up at Rs.1.37 trillion. Put Call Ratio across all the series and for both Index & Futures Options was smartly up at 0.99 from 0.86 levels though the same for current series only was marginally up to 0.89 from 0.86 levels. Volatility as measured by India VIX was remarkably up by 11% at 27.13 implying weak sentiment and weariness among the traders. Dollar Rupee pair continued to play a spoil sport as it was trading at much higher level of 56.23 sending Rupee to all time low, obviously weak rupee doesn’t augur well for equities. In all downward journey which was started couple of days back continued today too.

In my opinion, we are clearly in intermediate down trend and unless & until we see some good bottom formation after few higher highs and higher lows, one should continue with negative stance and remain bearish in Nifty. Once we decisively break 4800 which is 200 Week’s moving average, we will revisit levels of 4550 -4600. Pull backs if any may take Nifty to 4965 and at the most 5060 so keep these levels in mind and if they are not breached short sell Nifty for price objective of 4550-4600.

Top five individual stocks which gained today were DELTACORP 7%, HAVELLS 6%, JETAIRWAYS 4%, GMRINFRA 4% and GAIL 4%.

Top five individual stocks which lost ground were VOLTAS -5%, BHARTIAIRTL 5%, JISLJAL -4%, KOTAKBANK -4% and ABAN -4%.

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

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

Nifty option series where POSITIVE change in open interest was seen were 4700 CE (3.80 LK) 4800 CE (10.92 LK) 4400 PE (1.81 LK) 4500 PE (6.09 LK) 4600 PE (3.81 LK) 4700 PE (17.87 LK) 4800 PE (4.80 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4900 CE (-1.50 LK) 5200 CE (2.20 LK) 5300 CE (2.24 LK) 5400 CE (1.05 LK) 4900 PE (5.76 LK) 5000 PE (3.05 LK)

Outstanding open interest in Out of the Money Call Options stood at 4.51 Cr shares and that of Put Options stood at 3.02 Cr shares. Outstanding open interest in In the Money Call Options stood at 62.16 LK shares and that of Put Options stood at 1.54 Cr shares. Put Call Ratio of current series alone stands at 0.89.

Happy Trading

Atul Doshi