Derivatives Daily Update: May 7 2012

Smart Recovery: May 7, 2012

Nifty May futures after making low of 5001 closed at 5125.95 up by 28 points. Bank Nifty closed higher by 78.45 points at 9872.35 points. Open Interest in Nifty across all the series came down by 2.53 lakh shares at 2.03 Cr shares indicating some short covering in the market. Turnover was higher at Rs 1.36 trillion. Put Call Ratio was almost unchanged at 0.96. Volatility as measured by India VIX was down by 4% and Dollar Rupee duo was trading lower at 53.16. In nutshell, it was a day of short recovery and Nifty managed to close higher than yesterday.

In my opinion, as expressed in yesterday’s post we have broken important support level of 5150 and 200 DMA of 5130 (cash basis). As said once we break this level we will visit 5000 level. We have tested 5000 level today and have bounced back from those levels but failed to close above 200 DMA of 5130. If Nifty in coming days is not able to hold 4987 which is 61.8 % retracement level of last move, bullish scenario will be construed to be over. Today we have bounced back from 4990 level and it is required that we hold on this level and close above 5130 on closing basis for couple of days.

Top five individual stocks which gained today were JSWSTEEL 9%, JETAIRWAYS 8%, DELTACORP 7%, BFUTILITIE 6% and RPOWER 6%.

Top five individual stocks which lost ground were TTKPRESTIG -13%, IRB -7%, UNITECH -7%, CENTRALBK -5% and ALBK -5%.

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

Top five individual options which attracted higher activity today were SBIN 2100 CE, SBIN 2000 CE, SBIN 2200 CE, SBIN 1900 PE and SBIN 1800 PE.

Nifty option series where POSITIVE change in open interest was seen were 4800 CE (4.26 LK) 4900 CE (1.27 LK) 5000 CE (8.70 LK) 5100 CE (3.84 LK) 5200 CE (8.47 LK) 5300 CE (5.03 LK) 5400 CE (1.66 LK) 5700 CE (8.67 LK) 4600 PE (10.97 LK) 4800 PE (7.90 LK) 4900 PE (6.52 LK) 5000 PE (3.35 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5200 PE (5.12 LK) 5300 PE (3.36 LK)

Outstanding open interest in Out of the Money Call Options stood at 3.19 Cr shares and that of Put Options stood at 2.37 Cr shares. Outstanding open interest in In the Money Call Options stood at 42.94 LK shares and that of Put Options stood at 1.18 Cr shares. Put Call Ratio of current series alone stands at 0.98

.

Happy Trading

Atul Doshi