Derivatives Daily Update: July 23 2012.

Weak Day: July 23, 2012

Nifty July Futures closed at 5120.4 down by 96.20 points. Bank Nifty closed at 10306.65 down by 203.20 points. Open Interest across all the series was up by 5.37 lakh shares at 2.87 Cr shares indicating fresh shorts being created in the market. Turnover was up at Rs 1.53 trillion partly due to carry over activity as we are nearing expiry. Put Call Ratio drastically came down to 0.84 as traders were weary about the market and they wrote call options and squared off their short positions in Put options. Volatility as measured by India VIX shot up by 11% at 18.66 helping markets to fall further. Dollar Rupee pair too played a spoil sport by closing higher at 55.98. In all it was a weak day.

We are fast approaching medium term to long term averages which are placed at 5087 and 5099. If we succeed in holding this level and does not close below this level structure of Nifty is yet not vitiated. If fall below this level and close below it for couple of days than we might see lower levels. We are at crucial juncture hence it is advisable to play very carefully.

Top five individual stocks which gained today were SRTRANSFIN 4%, MTNL 3%, BAJAJHIND 2%, BALRAMCHIN 2% and ULTRACEMCO 2%.

Top five individual stocks which lost ground were CROMGREAV -10%, PANTALOON -8%, HDIL -7%, IVRCLINFRA -6% and GODREJIND -6%.

Top five individual stocks which attracted higher volumes were LT, SBIN, ICICIBANK, MARUTI and TATASTEEL.

Top five individual options which attracted higher activity today were LT 1400CE, LT 1350PE, SBIN 2100PE, SBIN 2150CE, LT 1450CE.

Nifty option series where POSITIVE change in open interest was seen were 5100CE (21.25 LK) 5200CE (24.06 LK) 4800PE (3.23 LK) 4900PE (2.24 LK) 5000PE (5.78 LK) 5100PE (2.04 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4800CE (1.41 LK) 5400CE (11.56 LK) 5500CE (3.77 LK) 5200PE (22.28 LK) 5300PE (8.33 LK) 5400PE (1.83 LK)

Outstanding open interest in Out of the Money Call Options stood at 3.54 Cr shares and that of Put Options stood at 3.46 Cr shares. Outstanding open interest in In the Money Call Options stood at 56.16 LK shares and that of Put Options stood at 75.65 LK shares. Put Call Ratio of current series alone stands at 1.02

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Happy Trading

Atul Doshi