Derivatives Daily Update: July 3 2012

Resilient Day: July 3, 2012

Nifty July Futures closed higher by 10.15 points at 5305.75. Bank Nifty too closed higher by 76 points at 10487.75. Open Interest across all the series was up by 7 lakh shares at 2.41 Cr shares. Turnover was up from yesterday’s level at Rs 846 bn. Put Call Ratio for both Index Options and Stock Options was almost unchanged at 0.99. Volatility as measured by India VIX was 18.56 down by 2% from yesterday’s level. Dollar Rupee too was under pressure at 54.99. In all it was a resilient day with not much of fanfare and volatility.

We are heading for 5500 as we are trading comfortably around 5300 level for couple of days with out giving away gains. Buy in every dip with potential target of 5500 and with adequate stop loss.

Top five individual stocks which gained today were MRPL 7%, SUNTV 7%, NBAJAJHIND 6%, BALRAMCHIN 6% and ESSAROIL 6%.

Top five individual stocks which lost ground were NCC -3%, PTC -2%, APOLLOTYRE -2%, SREINFRA -2% and GMRINFRA -2%.

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, RELCAPITAL, AXISBANK and JSWSTEEL.

Top five individual options which attracted higher activity today were SBIN 2200CE, SBIN 2250CE, SBIN 2100PE, ICICIBANK 900CE and IFCI 45CE.

Nifty option series where POSITIVE change in open interest was seen were 5300CE (5.58 LK) 5400CE (6.02 LK0 5500CE (2.46 LK) 5600CE (5.02 LK0 4900PE (5.84 LK) 5000PE (2.17 LK) 5200PE (3.52 LK) 5300PE (5.31 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5200CE (-0.76 LK)

Outstanding open interest in Out of the Money Call Options stood at 1.69 Cr shares and that of Put Options stood at 4.29 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.48 CR shares and that of Put Options stood at 37 LK shares. Put Call Ratio of current series alone stands at 1.47

Happy Trading

Atul Doshi