Derivatives Daily Update: July 11 2012

Lackluster Day: July 11, 2012

Nifty July Futures closed at 5322.90 down by 35.25 points. Bank Nifty closed at 10733.90 down by 25.60 points. Open Interest across all the series was down by 1 lakh shares at 2.54 Cr shares. Turnover was lower than yesterday at Rs 876 bn. Put Call Ratio was unchanged at 1.10. Volatility as measured by India VIX was up by 3% at 18.39 and Dollar Rupee pair was trading slightly up at 55.66. In all it was a lackluster day without much of fanfare.

In my opinion we are into intermediate uptrend as long as it remains above 5050. Every dip in the market is an opportunity to buy with adequate stop loss.

Top five individual stocks which gained today were NAGAROIL 4%, TVSMOTOR 3%, FINANTECH 3%, GESHIP 3% and CHAMBLFERT 3%.

Top five individual stocks which lost ground were SYNDIBANK -4%, NMDC -4%, HINDALCO -3%, CUMMINSIND -3% and IBREALEST -3%.

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

Top five individual options which attracted higher activity today were INFY 2600CE, INFY 2500CE, INFY 2700CE, INFY 2300PE and INFY 2400PE.

Nifty option series where POSITIVE change in open interest was seen were 5300CE (1.75 LK) 5400CE (2.74 LK) 5000PE (1.62 LK) 5100PE (4.63 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5200CE (-1.16 LK) 5500CE (1.44 LK) 5600 CE (1.39 LK) 4700PE (1.06 LK) 4900PE (5.56 LK) 5200PE (1.57 LK) 5300PE (4.49 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.20 Cr shares and that of Put Options stood at 4.77 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.40 CR shares and that of Put Options stood at 48.84 LK shares. Put Call Ratio of current series alone stands at 1.46

Happy Trading

Atul Doshi