Derivatives Daily Update: June 20 2012

Resilient Day: June 20, 2012

Nifty June Futures closed at 5122.45 up by 11.85 points. Bank Nifty closed at 9815.55 marginally up by 36 points. Open Interest in Nifty across all the series on consolidated basis was up by 5 lakh shares at 2.10 Cr shares indicating Bulls are mopping up positions.. Volume was lower than yesterday at Rs 1.18 trillion. Put Call ratio for both Index and Stock Options on consolidated basis was up to 1.21 though it came down to 1.61 from 1.67 for the current series of Nifty alone. Volatility as measured by India VIX was down by 2% at 21.03. Dollar Rupee pair was trading on higher side at 56.10. In all it was a resilient day with little volatility and choppiness.

As said yesterday, we are trading in a narrow range. My opinion has though not changed and I feel that as long as we remain below 5228 every rise is an opportunity to sell for positional traders. For extremely short term trader and for those who want to punt on bull side, it is advisable to buy with a strict stop below 5070 as it being 50 DMA as well as 200 DMA. Once we break this level exit from longs and probably go short if it closes below this level. For bears continue with your shorts with stop above 5230.

Top five individual stocks which gained today were EDUCOMP 11%, HINDOILEXP 7%, SINTEX 5%, LITL 5% and NCC 5%.

Top five individual stocks which lost ground were TCS -2%, SOUTHBANK -2%, ULTRACEMCO -1% BHARTIARTL -1% and DLF -1%.

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

Top five individual options which attracted higher activity today were SBIN 2100PE, SBIN 2200CE, SBIN 2100CE, SBIN 2000PE and SBIN 2150CE.

Nifty option series where POSITIVE change in open interest was seen were 5100CE (2 LK) 5200CE (5.54 LK) 5300CE (17.71 LK) 4600PE (1.47 LK) 4800PE (4.19 LK) 4900PE ( 2.49 LK) 5000PE (14.91 LK) 5100PE (10.21 LK) 5200PE (5.56 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5000CE (-1.71 LK) 4400PE (-5.42 LK) 4500 PE (-6.83 LK) 4700PE (-12.45 LK)

Outstanding open interest in Out of the Money Call Options (JUNE) stood at 2.43 Cr shares and that of Put Options stood at 5.80 Cr shares. Outstanding open interest in In the Money Call Options (JUNE) stood at 1.46 Cr shares and that of Put Options stood at 47.71 LK shares. Put Call Ratio of JUNE series alone stands at 1.61

Happy Trading

Atul Doshi