Derivatives Update: June 27 2012

Listless Day: June 27, 2012

Nifty June futures closed higher by 13.95 points at 5139.65 amidst lower activity. Bank Nifty closed higher by 30.2 points at 9999.25. Open Interest in Nifty across all the series saw marginal upward revision by 82 k shares at 2.72 Cr shares. Turnover was lower at Rs 1.48 trillion notwithstanding couple of days to expiry indicating lower activity in the market. Put Call Ratio on consolidated basis for both Index & Stock Options shot up to 1.17 and that for Nifty alone for current series it shot up to 1.94. Volatility as measured by India VIX was pegged at 20.40 almost unchanged and Dollar Rupee pair was trading marginally higher at 57.2. In all it was a listless day ahead of expiry.

Once again Nifty was trading in very narrow band of just 50 points. Such narrow activity can not continue for too long and in coming days we will see this band 0f 5050-5200 be broken on either side. As long as Nifty is trading in this range, it is advisable for positional traders to avoid the trade. As such also tomorrow is expiry day of current series so let us see how it ends. Positional Bulls should built up positions once it clears hurdle of 5230. In my opinion, unless Nifty trades above 5230 it is advisable to short Nifty at every rise with potential stop loss at 5230.

Top five individual stocks which gained today were JSWENERGY 6%, NAGAROIL 6%, TTML 6%, POLARIS 5% and PFC 5%.

Top five individual stocks which lost ground were ANDHRABANK -7%, TATAMTRDVR -3%, TATAMOTORS -3%, EDUCOMP -3% and ABGSHIP -2%.

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

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

Nifty option series where POSITIVE change in open interest was seen were 5100PE (8.11 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4900CE (1.74 LK) 5000CE (2.61 LK) 5100CE (5.56 LK) 5300CE (4.75 LK) 5400CE (1.58 LK) 4700PE (1.65 LK) 4800PE (1.41 LK) 4900 PE (8.53 LK) 5200PE (5.57 LK) 5400PE (1.19 LK) 6000PE (1.06 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.18 Cr shares and that of Put Options stood at 5.73 Cr shares. Outstanding open interest in In the Money Call Options stood at 98.16 LK shares and that of Put Options stood at 40.27 LK shares. Put Call Ratio of current series alone stands at 1.94.

Happy Trading

Atul Doshi