Derivatives Daily Update: July 18 2012

Day of Consolidation: July 18, 2012

Nifty July Futures closed at 5233.55 up by 24.90 points. Bank Nifty closed at 10628.10 up by 67.65 points. Open Interest in Nifty across all the series was down by 1.50 lakh shares at 2.74 Cr shares. Turnover was up at Rs 1.14 trillion. Put Call Ratio was higher at 0.91. Volatility as measured by India VIX was down by 2% at 17.44. Dollar Rupee pair was trading at 55.47 slightly higher. In all it was a day of consolidation.

In my opinion in short term markets have become extremely range bound and short term traders are advised to trade a range. In medium to long term Nifty is still holding make or break point of 5070. As long as this level is survived every dip in price is opportunity to buy.

Top five individual stocks which gained today were PANTALOON 7%, TATACOMM 6%, FINANTECH 6%, CENTURYTEX 6% and BAJAJAUTO 5%.

Top five individual stocks which lost ground were PNB -3%, UNIONBANK -3%, JINDALSAW -3%, TATATMTRDVR -3% and ORIENTBANK -2%.

Top five individual stocks which attracted higher volumes were SBIN, BAJAJAUTO, ICICIBANK, ADANIENT and TATAMOTORS.

Top five individual options which attracted higher activity today were SBIN 2200CE, BAJAJAUTO 1500CE, INFY 2200CE, BAJAJAUTO 1400PE and BAJAJAUTO 1450CE.

Nifty option series where POSITIVE change in open interest was seen were 5400CE (1.08 LK) 5100PE (2.78 LK) 5200PE (1.10 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5100CE (-1.37 LK) 5200CE (5.38 LK) 5300CE (1 LK) 5500CE (2.30 LK) 5000PE (2.13 LK) 5400PE (1.50 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.93 Cr shares and that of Put Options stood at 4.95 Cr shares. Outstanding open interest in In the Money Call Options stood at 86.85 LK shares and that of Put Options stood at 55.97LK shares. Put Call Ratio of current series alone stands at 1.22.

Happy Trading

Atul Doshi