Derivatives Daily Update: June 29 2012

Breakout Day: June 29, 2012

Nifty July series opened with a bang and closed at 5297.35 up by 146.6 points. Bank Nifty closed at 10346.25 up by 334.25 points. Open Interest in Nifty across all the series saw an increase of 35 lakh shares at 2.29 Cr shares. Turnover was pegged at Rs 1.03 trillion obviously not comparable with yesterday as it was last day of the June series. Put Call Ratio on consolidated series was at 1.08. Dollar Rupee pair was trading at 56.05 much lower than yesterday and Volatility as measured by India VIX was down by 7% at 19.08. In all it was a day of Bulls as we saw built up in positions.

Finally Nifty managed to break the range of 5050-5200 on the very first day of July series and that too with gap up opening and closing near the day’s high. It was a resilient move and we have finally broken off the stiff resistance of 5230. My stance will change from bearish to bullish once it moves above 5300 and close above the same. Level of 5302 is 0.618 retracement of last move (5630-4770) and once we close above this level bearish trend will construed to be over and every dip will be an opportunity to buy. Wait for one more day if you have not ventured a bull trade.

Top five individual stocks which gained today were NCC 13%, OFSS 9%, GMRINFRA 9%, JINDALSTEL 8% and LITL 8%.

Top five individual stocks which lost ground were ONMOBILE -9%, CAIRN -6%, GMDC -1%, BPCL -1% and EDUCOMP -1%.

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

Top five individual options which attracted higher activity today were SBIN 2200CE, CAIRN 320CE, SBIN 2100PE, ICICIBANK 900CE and SBIN 2100CE.

Nifty option series where POSITIVE change in open interest was seen were 5400CE(18.50 LK) 5500CE(9.27 LK) 5600CE(7.64 LK) 5700CE(12.13 LK0 5900CE(1 LK) 4800PE(17.39 LK) 4900PE(3.75 LK) 5000PE(4.65 LK) 5100PE(4.14 LK) 5200PE(22.19 LK) 5300PE(11.38 LK) 5400PE(6.66 LK) 5500PE(1.66 LK).

Nifty option series where NEGATIVE change in open interest was seen were 4900CE(2.32 LK) 5100CE(3.37 LK) 5200CE(3.97 LK) 4600PE(1.06 LK)

Outstanding open interest in Out of the Money Call Options stood at 1.85 Cr shares and that of Put Options stood at 3.68 Cr shares. Outstanding open interest in In the Money Call Options stood at 92.64 LK shares and that of Put Options stood at 55.68 LK shares. Put Call Ratio of current series alone stands at 1.53

Happy Trading

Atul Doshi