Derivatives Daily Update: June 25 2012

Day of Sell off: June 25, 2012

Nifty June Futures closed lower by 41.85 points at 5109.30. Bank Nifty closed lower by 130.25 points at 9901.50. Open Interest in Nifty across all the series shot up by 27 lakh shares indicating fresh shorts have been created in the market. Turnover was at Rs 1.76 trillion up from yesterday’s level. Put Call Ratio for both Index & Stock Options was pegged at 1.04 marginally down from yesterday’s level and for Nifty alone for current series it was down to 1.72 from 1.82 levels. Volatility as measured by India VIX shot up by 5% as market witnessed choppiness with downward bias. Dollar Rupee pair was trading at 57.02 marginally down from yesterday’s level. All in all day can be termed as sell off day.

As said earlier, Nifty is trading in range of 5050-5200. Today also we saw the repetition of the same price behavior. Nifty is pushing hard to break 5200 level but has again failed today. I continue with my bearish stance on the market. Unless & until Nifty breaks 5200 decisively and closes above the level of 5230 fro consecutively couple of days, it is advisable for positional traders to remain short in the market. Day traders will have to satisfy them by trading the range of 5050-5200.

Top five individual stocks which gained today were EDUCOMP 5%, SUNTV 4%, JINDALSAW 3%, SOBHA 3% and GSPL 3%.

Top five individual stocks which lost ground were HINDOILEXP -5%, INDIANB -4%, ADANIENT -4%, RPOWER -3% and SKUMARSYNF -3%.

Top five individual stocks which attracted higher volumes were SBIN, TATASTEEL, ICICIBANK, HDIL and AXISBANK.

Top five individual options which attracted higher activity today were SBIN 2200CE, SBIN 2100PE, SBIN 2250CE, SBIN 2150CE and SBIN 2300CE.

Nifty option series where POSITIVE change in open interest was seen were 5100CE (5.71 LK) 5200CE (20.57 LK) 5300CE (1.74 LK) 5000PE (3.12 LK) 5100PE (1.91 LK) 5200PE (4.15 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4900CE (1.24 LK) 5000CE (1.04 LK0 5400CE (1.55 LK) 4900PE (4.42 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.47 Cr shares and that of Put Options stood at 5.81 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.25 Cr shares and that of Put Options stood at 58.51 LK shares. Put Call Ratio of current series alone stands at1.72.

Happy Trading

Atul Doshi