Derivatives Daily Update: June 14 2012

Weak Day: June 14, 2012

Nifty June Futures closed lower by 68.90 points at 5054.10. Bank Nifty too closed lower by 233.85 points at 9834.25. Open Interest in Nifty across all the series came down by 5 lakh shares at 1.84 Cr shares. Turnover was higher than yesterday at Rs 1.05 trillion. Put Call Ratio for both Index & Stock Options on consolidated basis was smartly up to 1.09, though for Nifty alone in current series it came marginally down to 1.65. Volatility as measured by India VIX shot up by 6% to 25.71 as Nifty fell drastically. Normally VIX has negative correlation with price of Nifty. Dollar Rupee was also slightly up at 55.83 putting pressure on Rupee. In all it was a weak day with negative bias in market.

My negative view on Nifty has once again being vindicated. As long as Nifty is not able to cross 5140, I once again believe Nifty will fall to 4800 level. In my opinion every rise in Nifty is an opportunity to sell with stop loss above 5140. Positional traders should think of buying Nifty only when Nifty closes above 5228.  Today Nifty has closed below its 200 DMA so avoid buying Nifty now if you don’t want to trade on short side.

Top five individual stocks which gained today were KTKBANK 5%, PIRHEALTH 4%, SUNTV 3%, ZEEL 2% and COLPAL 2%.

Top five individual stocks which lost ground were IBREALEST -7%, UNITECH -6%, PNB -6%, SREINFRA -6% and PRAJIND -5%.

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

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

Nifty option series where POSITIVE change in open interest was seen were 5100CE (9.45 LK) 5300CE (4.46 LK) 5400CE (3.61 LK) 4500PE (4.73 LK) 4800PE (2.22 LK) 5000PE (3.69 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5000CE (-2.47 LK) 4900PE (-3.34 LK) 5100PE (-6.50 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.58 Cr shares and that of Put Options stood at 5.17 Cr shares. Outstanding open interest in In the Money Call Options stood at 99.22 LK shares and that of Put Options stood at 71.40 LK shares. Put Call Ratio of current series alone stands at 1.65

Happy Trading

Atul Doshi