Derivatives Daily Update: July 12 2012

Weak Day: July 12, 2012

Nifty July Futures closed lower at 5251.40 down by 71.5 points. Bank Nifty too closed lower at 10632.7 down by 101.20 points. Open Interest in Nifty across all the series was up by 1 lakh shares at 2.55 Cr shares. Turnover was handsomely up at Rs 1.33 trillion which does not augur well particularly in falling market. Put Call Ratio across all the series for both Index and Stock Options came down to 0.93 from 1.10 levels and that for Nifty alone in current series came down to 1.37 which too indicates shaken sentiment amongst the traders as they were writing more Calls against Puts and unwinding more Puts against Calls. Volatility as measured by India VIX was marginally up by 2% at 18.71 and Dollar Rupee pair was also trading bit higher at 55.98. Results season has creped in and first major result of Infosys was not good. In all it was a weak day though Open Interest has not seen major change.

In my opinion, we have witnessed first meaningful correction of intermediate uptrend. It can extend up to 5200. For short term and Intra day traders 5200 should be considered as support and 5340 as resistance. For medium to long term traders as long as we are above 5050 any such correction is good time to shop.

Top five individual stocks which gained today were MCDOWELL 6%, IBREALEST 4%, ONMOBILE 4%, GODREHIND 4% and HINDPETRO 3%.

Top five individual stocks which lost ground were INFY -9%, INDIAINFO -5%, HEXAWARE -5%, ASHOKLEY -4% and IVRCLINFRA -4%.

Top five individual stocks which attracted higher volumes were INFY, SBIN, TCS, ICICIBANK and MCDOWELL.

Top five individual options which attracted higher activity today were INFY 2200PE, INFY 2500CE, INFY 2300CE, INFY 2300PE and INFY 2400CE.

Nifty option series where POSITIVE change in open interest was seen were 5100CE 3.37 LK) 5200CE (8.66 LK) 5300CE (10.42 LK) 5400CE (4.33 LK) 5500CE (1.15 LK) 4900PE (6.68 LK) 5000PE (4.29 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5000CE (1.43 LK) 5600CE (10.76 LK) 5700CE (2.63 LK) 4700PE (1.86 LK) 4800PE (2.61 LK) 5100PE (1.61 LK) 5200PE (5.46 LK) 5300PE (4.26 LK) 5400PE (7.78 LK) 5500PE (1.53 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.81 Cr shares and that of Put Options stood at 4.26 Cr shares. Outstanding open interest in In the Money Call Options stood at 91.07 LK shares and that of Put Options stood at 85.65 LK shares. Put Call Ratio of current series alone stands at 1.37

Happy Trading

Atul Doshi