Derivatives Daily Update: July 30 2012

Day of Bulls: July 30, 2012

Nifty August Futures closed up by 93.15 points at 5216.70. Bank Nifty closed up by 265.75 points at 10472.25. Open Interest in Nifty across all the series saw an increase by 11 lakh shares at 2.35 Cr shares. Turnover was low at Rs 810 bn. Put Call Ratio saw an upward revision at 1.06 indicating more writing of puts than calls which again indicates steadiness & confidence amongst the traders. Volatility as measured by India VIX was 16.60 fairly steady. Dollar Rupee pair was trading at 55.66. In all it was a day of Bulls as they mopped up the positions during the day.

Price behavior indicates we are consolidating at medium to long term averages which are placed around 5100. Today we have comfortably closed above this level which is a good sign for Bulls. If we close higher tomorrow chances are there that we have formed some intermediate bottom around 5100 level and unless we break the recent low of 5032(cash levels) it is advisable to buy with adequate stop loss. Let us see what coming days has in offing for us.

Top five individual stocks which gained today were NAGAROIL 16%, SUZLON 12%, IRB 11%, ORIENTBANK 10% and SREINFRA 10%.

Top five individual stocks which lost ground were BEL -7%, GESHIP -4%, OPTOCIRCUIT -2%, SUNTV -2% and AMBUJACEM -2%.

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, MCDOWELL, BANKBARODA and AXISBANK.

Top five individual options which attracted higher activity today were SBIN 2000CE, SBIN 2100CE, SBIN 2050PE, SBIN 1900PE and SBIIN 1950PE.

Nifty option series where POSITIVE change in open interest was seen were 54400CE (10.12 LK) 5500CE (4.31 LK) 56000CE (1.18 LK) 4700PE (10.67 LK) 4800PE (4.61 LK) 4900PE (2.53 LK) 5000PE (6.73 LK0 5100PE (7.16 LK) 5200PE (10.89 LK) 5300PE (2.24 LK) 5400PE (3.50 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5100PE (2.29 LK) 4600PE (4.79 LK)

Outstanding open interest in Out of the Money Call Options stood at 1.86 Cr shares and that of Put Options stood at 3.55 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.15 Cr shares and that of Put Options stood at 48.95 LK shares. Put Call Ratio of current series alone stands at 1.34.

Happy Trading

Atul Doshi