Derivatives Daily Update: June 11 2012

Weakness Revisited: June 11, 2012

Nifty June Futures closed lower by 6.80 points at 5052.60 after making a high of 5124. Bank Nifty too closed lower by 54.55 points at 9884.95. Open Interest in Nifty across all the series came down by 3.75 lakh shares at 1.75 Cr shares. Turnover was higher at Rs 1.13 trillion. Put Call Ratio improved to 1.14 on consolidated basis across all the series for both Index & Stock Options though it was marginally lower at 1.64 for Nifty in June series. Volatility again shot up by 7% at 25.02 leading markets to weaker closing. Dollar Rupee pair too was trading higher at 55.89 again making Rupee weaker which in turn helped markets to remain in a subdued zone.

In my opinion as explicitly explained several times that we are in bear trend in medium to long term and every rise warrants a sell. The entire rise in price that we were seeing in last couple of days is mere pull back. Unless and until Nifty closes above 5228 this bear trend will continue and hence it is advisable to short Nifty with price objective of 4800. However those who are brave to punt on long side and want to ride the correction rally can do so with strict stop below 5000 and price objective of 5228.

Top five individual stocks which gained today were GVKPIL 13%, RAYMOND 4%, NAGAROIL 4%, SYNDIBANK 4% and BOMDYEING 3%.

Top five individual stocks which lost ground were DELTACORP -5%, ROLTA -5%, LUPIN -4%, SUNTV -4% and HAVELLS -4%.

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, LT, TATAMOTORS and HDIL.

Top five individual options which attracted higher activity today were SBIN 2200CE, SBIN 2300CE, SBIN 2100PE, SBIN 2200PE and SBIN 2250CE.

Nifty option series where POSITIVE change in open interest was seen were 5100CE (2.73 LK) 5200CE (8.37 LK) 5300CE (9.98 LK) 5400CE (3.32 LK0 5500CE (1.21 LK) 4500PE (1.59 LK) 4600PE (7.96 LK) 4800PE (3.80 LK) 5000PE (3.32 LK) 5100PE (9.31 LK) 5200PE (1.93 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4800CE (3.21 LK) 4300PE (3.46 LK) 4400PE (8.08 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.28 Cr shares and that of Put Options stood at 4.94 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.12 Cr shares and that of Put Options stood at 63.06 LK shares. Put Call Ratio of current series alone stands at 1.64

Happy Trading

Atul Doshi