Derivatives Daily Update: June 13 2012

Lackluster Day: June 13, 2012

Nifty June Futures closed marginally lower at 5123 down by just 3.45 points. Bank Nifty closed lower at 10068.10 down by 33.60 points. Open Interest across all the series saw an up tick by 6 lakh shares at 1.89 Cr shares indicating fresh long added to the positions. Turnover in Futures and Options segment of the market was below 1 trillion at Rs 985 bn. Put Call Ratio across all the series and for both Index as well as Stock Options was down to 0.95 levels from 1.12 but PCR for the current series in Nifty alone was marginally up at 1.72. Volatility as measured by India VIX was up by 1% at 24.36 and Dollar Rupee pair was slightly subdued at 55.79. All in all it was a low activity day ahead of some important events coming in couple of days.

I still hold my negative view as Nifty is not able to cross 5160. Negative view will continue still Nifty remains below 5228. Once it crosses 5228 view might change looking to some other parameters to confirm the same. As long as it trade below this level it is safe to sell on every rise. Those who want to punt long on the market for taking advantage of bear market correction; only saving grace for them is Nifty trading above 5070 which is 200 DMA. Keep stop loss of 5070 and buy with price objective of 5228.

Top five individual stocks which gained today were NCC 9%, MCDOWELL 6%, HINDOILEXP 6%, IRB 6% and INDIACEM 5%.

Top five individual stocks which lost ground were MARUTI -3%, STER -3%, UNITECH -3%, JINDALSAW -3% and TATAGLOBAL -3%.

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

Top five individual options which attracted higher activity today were SBIN 2200CE, SBIN 2250CE, SBIN 2300CE, SBIN 2100PE and SBIN 22000E.

Nifty option series where POSITIVE change in open interest was seen were 5200CE (5.88 LK) 4000PE (1.44 LK) 4600PE (4.38 LK) 4700PE (1.54 LK) 4900PE (3.80 LK) 5000PE (3.46 LK) 5100PE (4.12 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4900CE (-1.33 LK)

Outstanding open interest in Out of the Money Call Options stood at 1.91 Cr shares and that of Put Options stood at 5.44 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.51 Cr shares and that of Put Options stood at 45.88 LK shares. Put Call Ratio of current series alone stands at 1.72

Happy Trading

Atul Doshi