Derivatives Daily Update: July 2 2012

Low Volume Day: July 2, 2012

Nifty July Futures closed at 5295.60 marginally down by 1.75 points. Bank Nifty closed at 10411.75 up by 65.20 points. Open Interest in Nifty across all the series was up by 4.61 lakh shares at 2.34 Cr shares. Turnover was lower than yesterday at Rs 781 bn. Put Call Ratio across all the series for both Index & Stock Options on consolidated basis came down to 1 and of Nifty alone for current series was at 1.50 down from yesterday’s level. Volatility as measured by India VIX was almost unchanged at 19.01. Dollar Rupee pair was also trading lower than yesterday at 55.78. In all it was a low activity day with bias on Bull side.

We broke the trading range on previous day and today for better part of the day we were trading above 5300 level. In my opinion we are heading for 5500 level. Every dip is an opportunity to buy with a caveat that VIX should not shoot up drastically. VIX is trading at its trough level and any serious reversal will play a spoil sport as VIX is in general inversely correlated to price movement. Another spanner in the wheel is PCR. If PCR, falls below 1 than it is not conducive for bullish market. Any way as of know as long as Nifty remains stable for couple of days, said target is achievable.

Top five individual stocks which gained today were PANTALOONR 6%, UNITECH 6%, ADANIENT 5%, SKUMARSYNF 5% and NMDC 5%.

Top five individual stocks which lost ground were ITC -4%, JINDALSTEL -3%, TVSMOTORS -2%, TATAMTRDVR -2% and MAX -2%.

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, ADANIENT, TATASTEEL and AXISBANK.

Top five individual options which attracted higher activity today were SBIN 2200CE, SBIN 2100PE, ICICIBANK 900CE, SBIN 2200PE and SBIN 2250CE.

Nifty option series where POSITIVE change in open interest was seen were 5300CE (7.58 LK) 5400CE (7.05 LK) 5500CE (8.02 LK) 5600CE (4.14 LK) 6000CE (1.11 LK) 4800PE (5.52 LK0 4900PE (3.65 LK) 5100PE (8.38 LK0 5200PE (9.44 LK) 5300PE (3.62 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5700CE (6.15 LK) 4600PE (1.19 LK) 4700PE (5.91 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.09 Cr shares and that of Put Options stood at 3.91 Cr shares. Outstanding open interest in In the Money Call Options stood at 93 LK shares and that of Put Options stood at 61 LK shares. Put Call Ratio of current series alone stands at 1.50.

Happy Trading

Atul Doshi