Derivatives Daily Update: June 6 2012

Short Covering Day: June 6, 2012

Nifty June Futures closed up by 132.3 points at 4978.60. Bank Nifty closed up by 281.95 points at 9671.25. Open Interest in Nifty across all the series came down just marginally by 18 k shares but for the current series it came down by 4 lk shares indicating some short covering happening in the market. Turnover saw an upsurge by 50% and stood at Rs 1.08 trillion. Put Call Ratio moved up to 0.99 from 0.91 on consolidated basis. PCR for the current series for only Nifty was smartly up to 1.62 from 1.43 levels indicating traders are back in the market and fill confident about the market as they wrote more puts against the calls. Volatility as measured by India VIX was down by 5% at 24.90 as we saw steadiness in the market. Dollar Rupee pair too was subdued at 55.56 from 55.88 level easing pressure on rupee which helped the market in general. In all it was a short covering day.

I said in yesterday’s post, shorts should be covered up if Nifty breaches 4900. I still hold a negative view as today’s rally can be construed as pull back rally which might continue till 5060. Those who can and want to punt on bull side probably buy with 4900 as stop with price objective of 5060 in extremely short run as still shorts are yet to be covered up and any increase from current level will invite some short covering which might pull Nifty to 5060 levels or even 5150. If it fails to sustain tomorrow and drifts down than downward trend might continue.

Top five individual stocks which gained today were GMRINFRA 11%, INDIAINFO 8%, APOLLOTYRE 8%, IVRCLINFRA 8% and PANTALOON 7%.

Top five individual stocks which lost ground were BALRAMCHIN -3%, HINDPETRO -2%, IOC -2%, COLPAL -2% and GLAXO -1%.

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

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

Nifty option series where POSITIVE change in open interest was seen were 5100CE (3.18 LK) 5200CE (7.06 LK) 5300CE (5.82 LK) 5400CE (1.34 LK) 4300PE (9.82 LK) 4500PE (5.54 LK) 4600PE (2.65 LK) 4800PE (20.28 LK0 4900PE (14.61 LK) 5000PE (8.85 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4700CE (2.89 LK) 4800CE (3.89 LK) 4900CE (4.64 LK0 4200PE (6.87 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.48 Cr shares and that of Put Options stood at 4.41 Cr shares. Outstanding open interest in In the Money Call Options stood at 85.45 LK shares and that of Put Options stood at 1.13 Cr shares. Put Call Ratio of current series alone stands at 1.66

Happy Trading

Atul Doshi