Derivatives Daily Update: July 9 2012

Down Day: July 9, 2012

Nifty July Futures closed at 5279.40 down by 47.80 points. Bank Nifty closed at 10569.15 down by 74.40 points. Open Interest in Nifty across all the series came down by 5.39 cr shares at 2.46 cr shares as Bulls unwounded their positions. Turnover was higher at Rs 868 bn. Put Call Ratio across all the series and for both Index & Stock Options came down to 0.94 indicating participants are bit weary about the market, though PCR for Nifty alone in current series was marginally down at 1.49. Volatility as measured by India VIX was up by 4% at 18.72 and Dollar Rupee pair was also trading higher at 56.05 making Rupee more vulnerable. In all it was a down day with bout of profit booking being witnessed in the market.

My prognosis about the market is still bullish. We are into intermediate uptrend till we remain above 5050. Every dip in the market till the said level is an opportunity to buy albeit with suitable stop loss.

Top five individual stocks which gained today were TVSMOTORS 8%, BFUTILITIE 2%, IGL 2%, EXIDE 1% and DLF 1%.

Top five individual stocks which lost ground were IVRCLINFRA -8%, ORCHIDCHEM -6%, GMRINFRA -6%, JSWENERGY -5% and CHAMBLFERT -5%.

Top five individual stocks which attracted higher volumes were ICICIBANK, SBIN, TATAMOTORS, AXISBANK and LT.

Top five individual options which attracted higher activity today were SBIN 2200CE, SBIN 2250CE, ICICIBANK 940CE, SBIN 2300CE and IFCI 45CE

Nifty option series where POSITIVE change in open interest was seen were 5200CE (2.07 LK) 5300CE (12.89 LK) 5400CE (7.37 LK) 5500CE (1.41 LK) 5200PE (1.65 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5100CE (-1.49 LK) 5600CE (-4.97 LK) 5700CE (-2.55 LK) 5800CE (-1.28 LK) 4700PE (-1.82 LK) 4800PE (-1.62 LK) 4900PE (-3.64 LK) 5400PE (1.09 LK) 5500PE (-1.37 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.71 Cr shares and that of Put Options stood at 4.26 Cr shares. Outstanding open interest in In the Money Call Options stood at 86.38 LK shares and that of Put Options stood at 80.54 LK shares. Put Call Ratio of current series alone stands at 1.49

Happy Trading

Atul Doshi