Derivatives Daily Update: June 5 2012

Lackluster Day: June 5, 2012

Nifty June Futures closed mildly up by 5.8 points at 4846.30. Bank Nifty too closed higher by just 55.55 points at 9389.30. Open Interest in Nifty across all the series barely changed and was at 1.70 Cr shares. Turnover too was lower at Rs 732 bn. Put Call Ratio came down to 0.91 levels indicating bit of weariness in the market as more Calls were written against Puts. Volatility as measured by India VIX again shot up by 3% to 26.26 and Dollar Rupee duo too was trading bit higher at 55.88 indicating weakening Rupee resulting in to lack of interest in market.

In my opinion nothing has happened which can change my bearish view. I feel that improvement in prices is not supported by positive built up in positions and hence market gives up all the gain which it manages during the day. Follow up by traders is missing. As long as Nifty manages to remain below 4900 it is advisable to short Nifty with price objective of 4760 and below that 4600. If it crosses 4900 on closing basis than one need to cover up the shorts but should not hurry to build on bullish position until further confirmation of sustainable bottom is seen.

Top five individual stocks which gained today were BFUTILITIE 7%, EXIDEIND 5%, DCB 5%, MCLEODRUSS 4% and SREINFRA 4%.

Top five individual stocks which lost ground were MPHASIS -5%, APOLLOTYRE -4%, VIPIND -4%, TATAMTRDVR -4% and GSPL -3%.

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

Top five individual options which attracted higher activity today were SBIN 2100CE, SBIN 2000PE, SBIN 2200CE, TATAMOTORS 240CE and SBIN 2150CE.

Nifty option series where POSITIVE change in open interest was seen were 4800CE (1.31 LK) 4900CE (4.44 LK) 5000CE (6.39 LK) 5100CE (2.30 LK) 5200CE (1.18 LK) 4300PE (4.89 LK) 4500PE (3.36 LK) 4600PE (1.24 LK) 4700PE (2.11 LK) 4800PE (3.89 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4200PE (3.92 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.73 Cr shares and that of Put Options stood at 3.68 Cr shares. Outstanding open interest in In the Money Call Options stood at 58.50 LK shares and that of Put Options stood at 1.06 Cr shares. Put Call Ratio of current series alone stands at 1.43

Happy Trading

Atul Doshi