Derivatives Daily Update: June 12 2012

Better Trading Day: June 12, 2012

Nifty June Futures closed higher at 5126.45 up by 73.85 points. Bank Nifty closed higher at 10101.70 up by 216.75 points. Open Interest in Nifty across all the series saw an improvement by 8 lakh shares at 1.83 Cr shares indicating mop up of positions by Bulls. Turnover too was higher at Rs 1.18 trillion. Put Call Ratio was almost stable or marginally down to 1.12 on consolidated basis though it was higher at 1.71 for current series in Nifty alone indicating confidence amongst the traders as they wrote more Puts against Calls. Volatility as measured by India VIX was ruling lower at 24.20 down by 3% and Dollar Rupee pair was trading marginally higher at 55.92. In all it was a day for a bull but I am surprised to see that such smart recovery in price has not influenced Bears to cover their shorts as can be seen from increase in Open Interest.

In my opinion Nifty is trading in a broad range and is not breaking important levels on either side. I am still not bullish on the market as long as Nifty trades below 5228. Warning bells for short covering will ring once Nifty manages to close above 5160. Till that time every rise in price is an opportunity to sell.

Top five individual stocks which gained today were INDIAINFO 7%, IVRCLINFRA 7%, UCOBANK 6%, AMBUJACEM 6% and ALBK 6%.

Top five individual stocks which lost ground were ONMOBILE -4%, SOBHA -3%, LUPIN -3%, BALRAMCHIN -2%, GODREJIND -2%.

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

Top five individual options which attracted higher activity today were SBIN 2200CE, SBIN 2300CE, SBIN 2100PE, SBIN 2150CE and SBIN 2250CE.

Nifty option series where POSITIVE change in open interest was seen were 5200CE (3.51 LK) 5300CE (1.66 LK) 5400CE (2.79 LK) 5500CE (2.71 LK) 4600PE (6.42 LK) 4700PE (2.73 LK) 4800PE (5.01 LK) 4900 PE (7.26 LK) 5000PE (7.62 LK) 5100PE (7.61 LK) 5200PE (6.08 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5000CE (-2.43 LK) 5100CE (-1.08 LK) 4300PE (-2.33 LK) 4400PE (-9.61 LK)

Outstanding open interest in Out of the Money Call Options stood at 1.84 Cr shares and that of Put Options stood at 5.37 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.56 LK shares and that of Put Options stood at 45.89 LK shares. Put Call Ratio of current series alone stands at 1.71

Happy Trading

Atul Doshi