Derivatives Daily Update: May 29 2012

Day of Consolidation: May 29, 2012

Nifty May Futures closed at 4981.65 up by 6.25 points. Bank Nifty closed at 9653.5 mildly up by 2.55 points. Open Interest in Nifty across all the series was up by 5 lakh shares at 2.64 Cr shares though current series shredded 15 lakh shares, implying roll over has taken place. Turnover was up at Rs 1.47 trillion, thanks to roll over. Put Call Ratio was up by 10 basis point at 1.14 indicating Put writing or Call unwinding happening in the market. Volatility as measured by India VIX shot up by 1% to 24.37 and Dollar Rupee pair too was trading higher at 55.59 putting Rupee under pressure. In all market was largely indicating roll over activity with out much of fanfare.

In my opinion as said in several earlier post that in extremely short run we might pull back up to 5060 and if pull back extends further than up to 5228 which to me seems to be difficult. Medium to long term we are in to intermediate bear trend and it can construed to be over only when we decisively close above 5250 level. Every rise is a shorting opportunity with probable first target at 4800 and below that 4550 4600 level.

Top five individual stocks which gained today were SOUTHBANK 6%, GVKPIL 4%, ADANIPORTS 3%, GMDC 3% and PANTALOON 3%.

Top five individual stocks which lost ground were AUROPHARMA -6%, BEML -4%, VOLTAS -4%, IVRCLINFRA -3% and ONMOBILE -3%.

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

Top five individual options which attracted higher activity today were SBIN 2150 CE, SBIN 2200 CE, SBIN 2100 CE, SBIN 2100 PE and SBIN 2050 PE.

Nifty option series where POSITIVE change in open interest was seen were 5100 CE (7.58 LK) 4800 PE (14.32 LK) 4900 PE (6.45 LK) 5000 PE (8.74 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4800 CE (5.06 LK) 4900 CE (6.84 LK) 5000 CE (1.32 LK) 5200 CE (1.28 LK) 4600 PE (3.08 LK) 4700 PE (2.86 LK) 4400 PE (1.62 LK)

Outstanding open interest in Out of the Money Call Options stood at 3.71 Cr shares and that of Put Options stood at 3.17 Cr shares. Outstanding open interest in In the Money Call Options stood at 44.80 LK shares and that of Put Options stood at 98.17 LK shares. Put Call Ratio of current series alone stands at 1

Happy Trading

Atul Doshi