Derivatives Daily Update: June 7 2012

Resilient Day: June 7, 2012

Nifty June Futures closed at 5029.35 up by 50.75 points. Bank Nifty closed at 9855.80 up by 184.55 points. Open Interest in Nifty across all the series was smartly up by 9.34 lakh shares at 1.79 Cr shares indicating Bulls have mopped up positions today. Bank Nifty too saw upsurge in Open Interest. Turnover was lower at Rs 900 bn as through out the day we saw resilient market without much of choppiness. Put Call Ratio on consolidated basis for both Index & Stock Options was up at 1.06 again indicating confidence among the traders as they wrote more Puts against the Calls. Put Call Ratio for Nifty alone in current series was ruling at 1.55 slightly down from yesterday’s level. Volatility as measured by India VIX was smartly down by 5% at 23.64 indicating steadiness in the market. Dollar Rupee pair was under pressure and was ruling at 55.17 which again helped market in moving up. In all it was a resilient day and some kind of Bullish build up was seen in the market.

I still hold the same view which was expressed in yesterday’s post that we are in to bear market and this rally can be construed as Pull back which might extend up to 5060 or even up to 5150. Nifty today retraced back exactly from 5059.65. If this rally continues tomorrow which seems to be likely possibility we might touch 5150 but maximum it can go up to 5228. If it crosses 5228 sustain ably and closes above that level for couple of days than intermediate down trend will end. As of now trade the range with negative bias for medium to long term.

Top five individual stocks which gained today were DELTACORP 8%, POLARIS 8%, BAJAJHIND 8%, RENUKA 8% and RELCAPITAL 7%.

Top five individual stocks which lost ground were TATACOMM -3%, IRB -3%, WIPRO -3%, HINDPETRO -2% and IOC -2%.

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

Top five individual options which attracted higher activity today were RELIANCE 740CE, SBIN 2200CE, RELIANCE 720CE, RELIANCE 700PE and RELIANCE 700PE.

Nifty option series where POSITIVE change in open interest was seen were 5100CE (5.37 LK) 5200CE (1.38 LK) 5400CE (9.74 LK) 5500CE (2.07 LK) 4400PE (7.19 LK) 4500PE (2.23 LK) 4600PE (5.18 LK) 4700PE (4.77 LK) 4800PE (3.01 LK) 4900PE (12.56 LK) 5000PE (8.34 LK) 5100PE (1.36 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4800CE (1.96 LK) 5000CE (2.20 LK) 4200PE (2.20 LK) 4300PE (16.18 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.10 Cr shares and that of Put Options stood at 4.80 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.31 CR shares and that of Put Options stood at 48.26 Cr shares. Put Call Ratio of current series alone stands at 1.55

Happy Trading

Atul Doshi