Derivatives Daily Update: July 26 2012

Downward Breakout Day: July 26, 2012

Nifty July Futures closed at 5043.25 down by 69.30 points. Bank Nifty closed at 10080.40 down by 208.75 points. Open Interest across all the series was up by 23 lakh shares at 3.11 Cr shares. For August series it was up by 52 lakh shares at 2.05 Cr shares. Turnover was up at Rs 2.08 trillion partly due to rollover activity. Put Call Ratio across all the series was 1.02 and for current series in Nifty it was down to 0.81. Volatility as measured by India VIX was down to 16.37 by 2% and Dollar Rupee pair was trading at 55.88. In all it was a weak expiry.

As anticipated in yesterday’s post, Nifty finally broke 5090 and closed lower at 5043. It has given a downward breakout which now warrants a sell in the market. One should wait for confirmation of trend for tomorrow and act accordingly. As of now it is advisable to go short with stop loss place above 5120 level.

Top five individual stocks which gained today were MTNL 7%, STRTECH 4%, SUNTV 4%, IVRCLINFRA 4% and AMBUJACEM 3%.

Top five individual stocks which lost ground were IOB -10%, SKUMARSYNF -9%, KTKBANK -8%, BAJAJHIND -7% & ORCHIDCHEM -7%.

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

Top five individual options which attracted higher activity today were SBIN 2050PE, SBIN 2050CE, SBIN 2100CE, INFY 2150CE & INFY 2150PE.

Nifty option series where POSITIVE change in open interest was seen were 5100CE (64.65 LK) 5200CE (3.55 LK) 5000PE (24.38 LK)

Nifty option series where NEGATIVE change in open interest was seen were 4000CE (1.29 LK) 4900CE (1.20 LK) 5000CE (2.97 LK) 5300CE (3.14 LK0 5400CE (1.32 LK) 4900PE (1.93 LK) 5100PE (27.07 LK) 5200PE (11.10 LK) 5300PE (3.81 LK) 5400PE (1.90 LK) 5500PE (1.41 LK) 6000PE (2.07 LK) 6400PE (1.04 LK)

Outstanding open interest in Out of the Money Call Options stood at 4.29 Cr shares and that of Put Options stood at 3.02 Cr shares. Outstanding open interest in In the Money Call Options stood at 9.04 LK shares and that of Put Options stood at 53.45 LK shares. Put Call Ratio of current series alone stands at 0.81

Happy Trading

Atul Doshi