Derivatives Daily Update: July 24 2012

Day of Consolidation: July 24, 2012

Nifty July Futures closed at 5135.35 up by 14.95 points. Bank Nifty closed at 10328.05 up by 21.40 points. Open Interest in Nifty across all the series was up by 1.37 lakh shares at 2.88 Cr shares. Turnover was more or less same at Rs 1.51 trillion. Put Call Ratio across all the series for both Index & Stock Options was pegged at 0.88 slightly up from yesterday’s level. Volatility as measured by India VIX was down 9% at 16.97 and Dollar Rupee pair was trading at 56.19. In all it was a day of consolidation.

In my Opinion, for extremely short term traders Nifty is trading in a broad range and are advised to buy around 5100 level with stop below 5050 and sell around 5200 with stop loss above 5250. Long term traders can continue to hold their longs until 5075 is broken on lower side on closing basis.

Top five individual stocks which gained today were HINDUNILVR 8%, ONMOBILE 7%, TATAGLOBAL 6%, BAJAJHIND 5% and ADANIPORTS 5%.

Top five individual stocks which lost ground were HDIL -5%, PATELENG -3%, IRB -3%, RCOM -3% and WIPRO -3%.

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, INFY, HINDUNILVR and LT.

Top five individual options which attracted higher activity today were SBIN 2100PE, SBIN 2100CE, LT 1400CE, SBIN 2150CE and HINDUNILVR 480CE.

Nifty option series where POSITIVE change in open interest was seen were 5200CE (1.25 LK) 5100PE (8.97 LK) 5200PE (1.81 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5300CE (11.70 LK) 5400CE (2.51 LK) 5500CE (1.29 LK) 4900PE (1.95 LK) 5000PE (2.09 LK) 5300PE (2.59 LK)

Outstanding open interest in Out of the Money Call Options stood at 3.39 Cr shares and that of Put Options stood at 3.51 Cr shares. Outstanding open interest in In the Money Call Options stood at 54.36 LK shares and that of Put Options stood at 71.75 LK shares. Put Call Ratio of current series alone stands at 1.07.

Happy Trading

Atul Doshi