Derivatives Daily Update: June 4 2012

Lull After The Storm: June 4, 2012

After opening weak below 4800 Nifty June Futures managed to close above by 15.95 points at 4840.50. Bank Nifty too rebounded and closed above by 121.65 points at 9333.75. Open Interest in Nifty across all the series saw an improvement by 8 lakh shares at 1.69 Cr shares indicating some positive built up in Open Interest. Turnover was slightly up to Rs 815 bn. Put Call Ratio saw mild improvement to 1.03 from 1.01 levels and for current series too it was marginally up to 1.47 from 1.46 level. Volatility as measured by India VIX came down by 4% at 25.60 probably due to some steadiness in the market. Dollar Rupee pair was trading lower at 55.62, stronger Rupee again helping equity markets. In all it was an up day though it seemed to be lull after the storm.

As said in earlier posts that we are headed for 4800 levels has been vindicated today and first target of 4800 has been achieved. Though markets have closed above 4800, I still believe that this level is not sustainable and we might once again break this level and head for further lower price level. Buy only when some meaningful bottom is in place and that needs to be confirmed on closing basis and for that Nifty has to decisively close above 5228. Shorts need to be covered up once Nifty closes above 4900 level. Till that time every rise is an opportunity to sell.

Top five individual stocks which gained today were PANTALOON 7%, DENABANK 7%, HEXAWARE 6%, DELTACORP 6% and IBREALEST 6%.

Top five individual stocks which lost ground were JUBLFOOD -6%, PETRONET -6%, ABAN -6%, TITAN -5% and IGL -5%.

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

Top five individual options which attracted higher activity today were SBIN 2100CE, TATATMOTORS 240CE, SBIN 2000CE, SBIN 2000PE and SBIN 1900PE.

Nifty option series where POSITIVE change in open interest was seen were 4600 CE (2.64 LK) 4700 CE (1.53 LK) 4800 CE (3.61 LK) 4900 CE (2.74 LK) 5000 CE (1.52 LK) 5200 CE (3.71 LK0 4200 PE (2.64 LK) 4300 PE (6.50 LK) 4400 PE (3.11 LK) 4500 CE (1.53 LK) 4600 PE (5.76 LK) 4700 PE (8.81 LK) 4800 PE (3.12 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5400 CE (-1.54 LK) 4900 PE (-3.38 LK) 5100 PE (-1.25 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.63 Cr shares and that of Put Options stood at 3.65 Cr shares. Outstanding open interest in In the Money Call Options stood at 57.58 LK shares and that of Put Options stood at 1 Cr shares. Put Call Ratio of current series alone stands at 1.47

Happy Trading

Atul Doshi