Derivatives Daily Update: June 18 2012

Downward Journey Continues: June 18, 2012

Nifty June Futures closed lower at 5058.80 down by 88.90 points. Bank Nifty closed at 9707.50 down by 353.35 points. Open Interest in Nifty across all the series was up by 3.60 lakh shares at 1.99 Cr shares. Turnover was smartly up to Rs 1.92 trillion. Put Call Ratio across all the series and for both Index & Stock Option was 1.1 up from 0.97 though it was down to 1.64 from 1.77 in June series of Nifty alone. Volatility as measured by India VIX was surprisingly down to 22.60 by 12%. Dollar Rupee pair was trading higher at 56.01 putting pressure on Rupee. In all it was a down day as expectation from RBI policy was belied.

In my opinion correction which started couple of days back was finally over today and downward journey has again resumed. As said yesterday if we see the higher levels not sustaining, it is an opportunity to sell in the market and exactly that has what has happened today. Level of 5228 is becoming strong resistance zone and my advice to Bulls is to enter the market only when it crosses this level or some meaningful bottom between 4800-4500 is being formed. Till that time every rise in price is an opportunity to sell.

Top five individual stocks which gained today were INDIAINFO 2%, EDUCOMP 2%, ABAN 2%, GMRINFRA 2% and SOBHA 1%.

Top five individual stocks which lost ground were SKUMARSYNF -8%, ADANIENT -6%, BGRENERGY -6%, IRB -5% and UCOBANK -5%.

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

Top five individual options which attracted higher activity today were SBIN 2100CE, SBIN 2200CE, SBIN 2300CE, SBIN 2000PE and SBIN 2250CE.

Nifty option series where POSITIVE change in open interest was seen were 5000CE (4.22 LK) 5100CE (2.27 LK) 5200CE (7.74 LK) 5300CE (9.24 LK) 5500CE (2.94 LK) 4300PE (1.36 LK) 4700PE (11.50 LK) 4800PE (3.37 LK) 4900PE (6.42 LK) 5000PE (1.62 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4900CE (-3.22 LK) 5400CE (-2.19 LK) 5600CE (-1.16 LK) 4000PE (-1.17 LK) 4500PE (2.44 LK) 4600PE (-22.75 LK) 5100PE (-6.78 LK) 5200PE (-5.99 LK) 5300PE (-1.12 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.75 Cr shares and that of Put Options stood at 5.33 Cr shares. Outstanding open interest in In the Money Call Options stood at 96.41 LK shares and that of Put Options stood at 74.27 LK shares. Put Call Ratio of current series alone stands at 1.64

Happy Trading

Atul Doshi