Derivatives Daily Update: May 25 2012

Lackluster Day: May 25, 2012

Nifty May Futures closed mildly up by 5.75 points at 4918.85. Bank Nifty too closed mildly up by 33.20 points at 9416.65. Open Interest in Nifty across all the series saw positive change by 86 K shares at 2.44 Cr shares. Turnover was lower at Rs 1.22 trillion. Put Call Ratio for both Index & Stock Options was up at 1.06 indicating traders were confident in market at least for couple of days as they either wrote Puts against Calls or bought Calls against Puts. Volatility as measured by India VIX was down by 1% at 25.37 and Dollar Rupee pair in Currency market was trading lower at 55.41 easing some pressure on Rupee. In all it was a day with not much fanfare probably looking for some kind of break out.

In my opinion, in extremely short run Nifty might pull back up to 4965 or if some buying emerges it may visit 5060. In medium to long term Charts have turn negative and every rise in the market warrants Short Sale for price objective of 4800 and below that for 4550-4600 levels with obvious Stop Loss at 5060.

Top five individual stocks which gained today were VOLTAS 12%, PRAJIND 8%, ADANIENT 7%, NHPC 6% and JUBLFOOD 6%.

Top five individual stocks which lost ground were WELCORP -4%, GUJFLUORO -3%, JINDALSTEL -3%, JETAIRWAYS -3% and MARUTI -3%.

Top five individual stocks which attracted higher volumes were SBIN, ICICINBANK, AXISBANK, TATASTEEL and BHEL.

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

Nifty option series where POSITIVE change in open interest was seen were 4900 CE (1.25 LK) 5000 CE (1.77 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4700 CE (-3.37 LK) 4800 CE (-6.03 LK) 5100 CE (-2.50 LK) 5300 CE (-1.38 LK) 4500 PE (-2.72 LK) 4600 PE (-9.88 LK) 4800 PE (-6.21 LK) 5000 PE (-3.63 LK) 5100 PE (-1.25 LK) 5200 PE (-1.30 LK)

Outstanding open interest in Out of the Money Call Options stood at 3.84 Cr shares and that of Put Options stood at 3.32 Cr shares. Outstanding open interest in In the Money Call Options stood at 80.83 LK shares and that of Put Options stood at 89.47 LK shares. Put Call Ratio of current series alone stands at 0.86

Happy Trading

Atul Doshi