Derivatives Daily Update: July 17 2012

Lackluster Day: July 17, 2012

Nifty July Futures closed at 5198.65 down by 8 points. Bank Nifty closed at 10560.45 down by 17.95 points. Open Interest in Nifty across all the series increased by 7.45 lakh shares at 2.76 Cr shares. Turnover was higher at Rs 1.08 trillion. Put Call Ratio drastically came down to 0.79 across all the series for both Index & Stock Options. It came down to 1.25 for Nifty alone in current series. Volatility as measured by India VIX was down by 5% at 17.78. Dollar Rupee pair was trading at 55.17 slightly down from yesterday’s level. In all markets were trading listless with downward bias.

In my opinion Nifty has broken short term trading range of 5200-5325 on down side. It does not augur well as it has opened the probability of market touching 5070. Trading statistics shows mix trend. While VIX and Dollar Rupee movement was favorable for Bulls, increase in Open Interest on a down day as well as poor PCR does not augur well for Bulls. For short term traders new range is 5100-5225. Long term positional traders can continue to hold their long till 5070 is breached.

Top five individual stocks which gained today were MCLEODRUSS 3%, TATAGLOBAL 2%, WIPRO 2%, DABUR 2% and DRREDDY 2%.

Top five individual stocks which lost ground were ADANIENT -9%, AIL -6%, ADANIPOWER -6%, BAJAJHIND -6% and RENUKA -5%.

Top five individual stocks which attracted higher volumes were AXISBANK, SBIN, TATAMOTORS, INFY and TCS.

Top five individual options which attracted higher activity today were INFY 2200CE, AXISBANK 1050CE, AXISBANK 1000PE, INFY 2250CE and AXISBANK 1100CE.

Nifty option series where POSITIVE change in open interest was seen were 5200CE (3.68 LK) 5300CE (9.35 LK) 5000PE (1.28 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5400CE (1.32 LK) 5500CE (4.52 LK) 4700PE (1.08 LK) 5100PE (2.32 LK0 5300PE (7.03 LK0 5400PE (3.16 LK)

Outstanding open interest in Out of the Money Call Options stood at 3.46 Cr shares and that of Put Options stood at 3.55 Cr shares. Outstanding open interest in In the Money Call Options stood at 45.48 LK shares and that of Put Options stood at 1.13 CR shares. Put Call Ratio of current series alone stands at 1.25.

Happy Trading

Atul Doshi