Derivatives Daily Update: June 26 2012

Range bound Day: June 26, 2012

Nifty June futures closed at 5125.70 up by 16 points. Bank Nifty closed at9969.05 up by 67.55 points. Open Interest in Nifty across all the series saw an up tick 13.52 lakh shares at 2.71 Cr shares. Turnover was slightly lower at Rs 1.57 trillion in spite of carryover activity. Put Call Ratio came down to 0.97 on consolidated basis for both Index & Stock Options though for Nifty alone in current series was up at 1.86. Volatility as measured by India VIX was down by 6% at 20.23 and Dollar Rupee pair was trading almost unchanged at 57.03. In all it was a day of range bound movement largely supported by carry over activity.

In my opinion as said in several posts, we are trading in a range of 5050-5200. Traders are watching this range to be broken on either side to take positions. As long as Nifty is not able to close above 5230, an important retracement level, it is advisable to short the same. We are nearing the expiry so it is advisable to watch the market and take positions only in new series.

Top five individual stocks which gained today were SREINFRA, TATAGLOBAL, UNIPHOS, DIVISLAB and FINANTECH.

Top five individual stocks which lost ground were ESSAROIL -3%, JSWENERGY -3%, NAGAROIL -2%, SAIL -2% and SAIL -2%.

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

Top five individual options which attracted higher activity today were SBIN 2100PE, SBIN 2150CE, SBIN 2200CE, SBIN 2100CE and SBIN 2050PE.

Nifty option series where POSITIVE change in open interest was seen were 5200CE (1.04 LK) 4800PE (1.39 LK) 4900PE (2.78 LK) 5000PE (1.07 LK) 5100PE (7.90 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4800CE (2.02 LK) 4900CE (2.45 LK) 5300CE (8.47 LK) 5400CE (2.66 LK) 4700PE (1.51 LK) 5200PE (4.05 LK) 6000PE (1.10 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.27 Cr shares and that of Put Options stood at 5.77 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.10 CR shares and that of Put Options stood at 50.71 LK shares. Put Call Ratio of current series alone stands at 1.86

Happy Trading

Atul Doshi