Derivatives Daily Update: June 22 2012

Consolidation Day: June 22, 2012

Nifty June futures closed at 5151.15 mildly lower by 22.7 points. Bank Nifty closed at 10031.75 marginally lower by 4.95 points. Open Interest in Nifty across all the series was up by 3.37 lakh shares at 2.31 Cr shares. Turnover was up at Rs 1.64 trillion partly due to carry over activity. Put Call Ratio for both Index and Stock Options on a consolidated basis across all the series was 1.07 down from yesterday’s level though for Nifty alone for current series it was high at 1.82. Volatility as measured by India VIX improved by 3% at 20.58 and Dollar Rupee Duo too was trading up at 57.29 putting pressure on markets. In all it was a day of consolidation.

Nifty is trading in a broad range of 5050 to 5200. Data still indicates mixed sentiment and traders are watching for breakout signals which might come when Nifty is able to break range on either side. For positional traders, it is advisable to enter the bull trade only when it breaks 5230. Short term traders can continue to hold their long with stop below 5070 and price target of 5220.

Top five individual stocks which gained today were INDIAINFO 7%, INDHOTEL 6%, FINANTECH 5%, RENUKA 5% and NAGAROIL 5%.

Top five individual stocks which lost ground were NCC -5%, JPASSOCIAT -5%, JUBLFOOD -4%, VIJAYABANK -3% and HINDALCO -3%.

Top five individual stocks which attracted higher volumes were SBIN, HDIL, TATAMOTORS, ICICIBANK and DLF.

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

Nifty option series where POSITIVE change in open interest was seen were 5100CE (1.90 LK) 4800PE (2.80 LK) 4900PE (12.74 LK) 5000PE (1.16 LK) 5100PE (2.54 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4900CE (-2.76 LK) 5200CE (-7.27 LK) 5300CE (-6.50 LK) 4600PE (-1.25 LK) 4700PE (-1.55 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.28 Cr shares and that of Put Options stood at 5.82 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.24 Cr shares and that of Put Options stood at 55.98 shares. Put Call Ratio of current series alone stands at 1.82.

Happy Trading

Atul Doshi