Derivatives Daily Update: July 27 2012

Better August Opening: July 27, 2012

Nifty August Futures closed higher by 80.30 points at 5123.55 on first day of series. Bank Nifty closed higher by 126.10 points at 10206.50 points. Open Interest in Nifty across all the series was 2.24 Cr shares. Turnover was at Rs 1.06 trillion. Put Call Ratio across all the series for both Index & Stock Options was 0.90. Volatility as measured by India VIX was marginally up at 16.44 and Dollar Rupee pair was trading lower at 55.38. In all it was a better opening of new series though it gave away some gain after opening higher than yesterday.

We are trading at crucial juncture as we are trading almost at the medium to long term averages which are placed around 5100 level. For markets to go up it is required that we close comfortably above this level. In the last series we traded above this level for better part of the series but in last couple of days we broke below this level which does not augur well for the market. Since we broke this level and are still trading in vicinity of this area chances are there that we will drift further lower. Caution is advised to trader. It is better to trade in options market till a clear trend is established.

Top five individual stocks which gained today were GMDC 5%, COREEDUTEC 5%, STER 5%, TATASTEEL 4% and TATAMTRDVR 4%.

Top five individual stocks which lost ground were SUNTV 11%, UNIONBANK -8%, ORIENTBANK -6%, CENTRALBK -6% and BANKINDIA -6%.

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

Top five individual options which attracted higher activity today were SBIN 2100CE, ICICIBANK 940CE, SBIN 1900PE, SBIN 2000PE and SBIN 2050CE.

Nifty option series where POSITIVE change in open interest was seen were 5000CE (3.19 LK) 5100CE (1.84 LK) 5200CE (2.81 LK) 5300CE (4.64 LK) 5400CE (10.67 LK) 5500CE (12.42 LK) 5600CE (3.21 LK) 4600PE (5.40 LK) 4700PE (6.94 LK) 4800PE (4.82 LK) 4900PE (3.95 LK) 5100PE (8.24 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5400PE (1 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.12 Cr shares and that of Put Options stood at 2.97 Cr shares. Outstanding open interest in In the Money Call Options stood at 77.31 LK shares and that of Put Options stood at 63.74 LK shares. Put Call Ratio of current series alone stands at 1.25.

Happy Trading

Atul Doshi