Derivatives Daily Update: July 25 2012

Lackluster Day: July 25, 2012

Nifty July Futures closed at 5112.55 down by 22.80 points. Bank Nifty closed at 10289.15 down by 38.90 points. Open Interest in Nifty came down by 1 lakh shares at 2.87 Cr shares. Turnover was up at Rs 1.82 trillion due to rollover activity. Put Call Ratio across all the series for both Index & Stock Options on consolidated basis was almost unchanged at 0.89 though for Nifty alone in current series it came down to 1.02. Volatility as measured by India VIX was down by 1% at 16.75 and Dollar Rupee pair was trading at 56.24. In all it was a lackluster day.

Nifty is trying to break lower support level which is placed at 5090-5100 level. During the day it broke this level but managed to close above 5100. In my opinion if we close below this level for couple of days than momentum that we saw in this month will be vitiated and we might drift further. Tomorrow is expiry so let us see what market has in offing for us in coming days.

Top five individual stocks which gained today were HCLTECH 7%, ZEEL 5%, MTNL 4%, HEXAWARE 4% and AMBUJACEM 4%.

Top five individual stocks which lost ground were EDUCOMP -10%, LITL -9%, JSWISPAT -7%, STRTECH -7% and PRAJIND -5%.

Top five individual stocks which attracted higher volumes were SBIN, TATASTEEL, ICICIBANK, INFY and TATAMOTORS.

Top five individual options which attracted higher activity today were SBIN 2100CE, SBIN 2100PE, SBIN 2050PE, SBIN 2150CE and LT 1350CE.

Nifty option series where POSITIVE change in open interest was seen were 5100CE (3.12 LK) 5200CE (11.66 LK) 5000PE (5.26 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5300CE (7.30 LK) 5400CE (2.87 LK) 5500CE (1.36 LK) 5100PE (4.21 LK) 5200PE (11.11 LK) 5300PE (2.40 LK) 5400PE (1.15 LK) 5500PE (1.45 LK)

Outstanding open interest in Out of the Money Call Options stood at 3.36 Cr shares and that of Put Options stood at 3.47 Cr shares. Outstanding open interest in In the Money Call Options stood at 55.28 LK shares and that of Put Options stood at 51.44 LK shares. Put Call Ratio of current series alone stands at 1.02.

Happy Trading

Atul Doshi