Derivatives Daily Update: July 10 2012

Resilient Day: July 10, 2012

Nifty July Futures closed at 5358.15 up by 78.75 points. Bank Nifty closed at 10759.50 up by 190.35 points. Open Interest in Nifty across all the series was up by 10 lakh shares at 2.55 Cr shares. Turnover too was higher than yesterday at Rs 1 trillion. Put Call Ratio for both Index & Stock Options across all the series shot up to 1.10 and that for Nifty alone in current series was pegged at 1.47 up from yesterday’s level indicating lot of Put writing coupled with Call unwinding happening in the market which in turn indicates confidence amongst the traders that markets are poised for upward movement. Volatility as measured by India VIX was down by 5% at 17.83 which helped markets to remain buoyant. Dollar Rupee pair also helped in enhancing confidence by falling 50 basis points at 55.53. In all it was a resilient day with lot of confidence and upward bias.

As said in earlier posts, we are in intermediate uptrend as long as we remain above 5050 and potential target is 5500. It is advisable to go long in every dip albeit with suitable stop loss.

Top five individual stocks which gained today were ONMOBILE 10%, PUNJLLOYD 8%, RCOM 6%, KTKBANK 6% and STRTECH 6%.

Top five individual stocks which lost ground were ZEEL -1%, MCDOWELL -1%, HINDPETRO -1%, SUNTV -1% and ACC -1%.

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

Top five individual options which attracted higher activity today were SBIN 2250CE, INFY 2500CE, SBIN 2200CE, SBIN 2300CE and ICICIBANK 940CE.

Nifty option series where POSITIVE change in open interest was seen were 5400CE (2.53 LK) 5500CE (5.48 LK) 5600CE (5.41 LK0 5700CE (2.93 LK) 5000PE (5.32 LK) 5100PE (5.85 LK) 5200PE (8.84 LK) 5300PE (14.03 LK) 5400PE (11.67 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5200CE (2.47 LK) 5300CE (7.50 LK) 4700PE (3.67 LK) 4800PE (2.24 LK0 4900PE (9.03 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.23 Cr shares and that of Put Options stood at 4.88 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.41 CR shares and that of Put Options stood at 50.32 LK shares. Put Call Ratio of current series alone stands at 1.48

Happy Trading

Atul Doshi