Derivatives Daily Update: June 28 2012

Stable Expiry: June 28, 2012

Nifty closed at 5150.75 up by 11.10 points. Bank Nifty closed at 10012.30 up by 13.05 points. Open Interest on consolidated basis was up by 9 lakh shares which is irrelevant as it includes series which has ended. Open Interest in Nifty for August series was up by 48 lakh shares at 1.81 Cr shares. Turnover was higher at Rs 2.13 trillion largely due to roll over activity. Put Call Ratio was at 1.29. Volatility as measured by India VIX was marginally up by 1% at 20.62 and Dollar Rupee was almost unchanged at 57.20. In all it was a stable expiry and strictly traded in a range of 40 points.

We will have to watch for a break out signal in August expiry. In my opinion we are trading in a very narrow range of 5000-5200 from last 15 trading days and this range will be broken in first week of new expiry. Initiate trading positions on either side of break out. Till that time trade the range on intra day basis. For those who have rolled over bearish trading position can continue the same with stop above 5230. For those who have bullish roll over can continue to hold till 5050.

Top five individual stocks which gained today were ABAN 9%, ROLTA 4%, EDUCOMP 4%, INDHOTEL 3% and CENTUREYTEX 3%.

Top five individual stocks which lost ground were ONMOBILE -18%, SOBHA -5%, BRFL -5%, RUCHISOYA -4% and JPPOWER -4%.

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

Top five individual options which attracted higher activity today were SBIN 2100CE, SBIN 2100PE, SBIN 2050PE, INFY 2500CE and TATAMOTORS 240CE.

Nifty option series where POSITIVE change in open interest was seen were 4400CE (44.55 LK) 4300PE (60.85 LK)

Nifty option series where NEGATIVE change in open interest was seen were 3700CE (1.10 LK) 4000CE (1.67 LK) 4100CE (2.95 LK) 4200CE (4.12 LK) 4300CE (26.96 LK) 4100PE (1.38 LK) 4200PE (1.93 LK) 4400PE (14.04 LK) 4500PE (1.77 LK) 4700PE (1.80 LK) 5200PE (1.95 LK)

Outstanding open interest in Out of the Money Call Options stood at 6.80 LK shares and that of Put Options stood at 6.35 Cr shares. Outstanding open interest in In the Money Call Options stood at 3.01 CR shares and that of Put Options stood at 1.43 LK shares. Put Call Ratio of current series alone stands at 2.07

Happy Trading

Atul Doshi