Derivatives Daily Update: June 21 2012

Smart Up Day: June 21, 2012

Nifty June Futures closed up by 51.4 points at 5173.85. Bank Nifty closed up by 221.15 points at 10036.70. Open Interest in Nifty on consolidated basis across all the series was up by 18 lakh shares at 2.28 Cr shares indicating Bulls have mopped up positions in market. Turnover was up at Rs 1.40 trillion. Put Call Ratio across all the series for both Index and Stock Options was down to 1.14 and for Nifty alone for current series was up at 1.69 implying participants are confident about markets moving up. Volatility as measured by India VIX was down by 5% at 19.94. Dollar Rupee pair was trading higher at 56.49. In all it was another smart day where Nifty closed in positive zone.

It seems undertone is becoming strong. Nifty is taking support at its long term moving average of 5070 and every attempt to break that level is met with fresh buying. Notwithstanding the strength, I would still like to see Nifty closing above 5228 to change my stance from bearish to bullish. Though in extremely short term, those who want to punt on Bull side are advised to keep strict stop loss below 5070.  Positional traders can take Bullish positions only when Nifty closes above 5228 decisively.

Top five individual stocks which gained today were ONMOBILE 13%, NCC 10%, HDIL 8%, HINDOILEXP 8% and PETRONET 5%.

Top five individual stocks which lost ground were IOB -4%, JUBLFOOD -3%, INDIACEM -3%, RELIANCE -3% and CAIRN -2%.

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, RELIANCE, HDIL and BHEL.

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

Nifty option series where POSITIVE change in open interest was seen were 5200CE (5.04 LK) 5300CE (2.01 LK) 5000PE (1.73 LK) 5100PE (8.68 LK) 5200PE (11.50 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4900CE (1.46 LK) 5000CE (3.34 LK) 5100CE (9.66 LK) 4300PE (1.06 LK) 4400PE (1.03 LK0 4500PE (2.25 LK) 4600PE (2.64 LK) 4800PE (3.05 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.45 Cr shares and that of Put Options stood at 5.74 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.29 CR shares and that of Put Options stood at 58.66 LK shares. Put Call Ratio of current series alone stands at 1.69

Happy Trading

Atul Doshi