Derivatives Daily update: June 15 2012

An Up Day: June 15, 2012

Nifty June Futures closed smartly up by 93.60 points at 5147.70. Bank Nifty too closed higher by 226.60 points at 10060.85. Open Interest in Nifty across all the series was smartly up by 11 lakh shares at 1.95 Cr shares indicating mopping up of positions by Bulls. Turnover was stable at Rs 1.02 trillion. Put Call Ratio for both Index and Stock Options across all the series on consolidated basis was at 0.97 slightly down from yesterday’s level though it was trading better at 1.77 for June series of Nifty alone. Volatility as measured by India VIX was down by 1% at 25.54 and Dollar Rupee pair too was trading lower at 55.60 easing pressure on Rupee which in turn helped the sentiment.

Those who were short yesterday must have covered up their shorts as Nifty breached 5140 level and even closed at the same rate. Monday is an eventful day as RBI will declare its monetary policy as well as globally result of Greek’s election will be out. Wait for the events to be over as we have closed near crucial technical resistance. If it trades and closes above 5140 than 5228 is in the offing and it might touch that level too. I am still biased towards markets going down and hence when you see the above mentioned level not sustaining, venture a short in the market.

Top five individual stocks which gained today were INDIACEM 7%, SREINFRA 6%, GRASIM 6%, TATAMOTORS 6% and IBREALEST 4%.

Top five individual stocks which lost ground were ONMOBILE -2%, STER -2%, UCOBANK -2%, CESC -2% and ASHOKLEY 2%.

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

Top five individual options which attracted higher activity today were SBIN 2200CE, SBIN 2300CE, SBIN 2200PE, TATAMOTORS 240CE and SBIN 2250CE.

Nifty option series where POSITIVE change in open interest was seen were 4900CE (1.17 LK) 5400CE (2.45 LK) 5500CE (3.47 LK) 4600PE (14.67 LK) 4700PE (1.62 LK) 4800PE (1.86 LK) 4900PE (1.65 LK) 5000PE (5.86 LK) 5100PE (13.58 LK) 5200PE (5.15 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5000CE (2.90 LK) 5100CE 95.12 LK) 4500PE (3.33 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.04 Cr shares and that of Put Options stood at 5.74 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.49 Cr shares and that of Put Options stood at 49.39 LK shares. Put Call Ratio of current series alone stands at 1.77

Happy Trading

Atul Doshi