Derivatives Daily Update: August 1 2012

Resilient Day: August 1, 2012

Nifty August Futures closed at 5256.3 up by 15.75 points. Bank Nifty closed at 10465.55 up by 30.25 points. Open Interest in Nifty across all the series was up by 1.59 lakh shares at 2.38 Cr shares. Turnover was lower at Rs 815 bn. Put Call Ratio was placed at 1.07 slightly up from yesterday’s level. PCR for current series in Nifty alone too was higher at 1.40. Volatility as measured by India VIX was up by 3% at 16.45. Dollar Rupee pair was trading higher at 55.78. In all it was a resilient day with upward bias.

As can be seen from the data of previous couple of days, we are consolidating around this level and it seems that we have made some kind of intermediate bottom around 5100 level which coincides with medium to long term moving averages. As long as we are able to hold this level, first target can be placed at 5350 levels and beyond that 5500. My advice is to ride on your longs with suitable stop loss.

Top five individual stocks which gained today were CENTURYTEX 6%, RECLTD 6%, VIPIND 5%, AIL 5% and BEL 5%.

Top five individual stocks which lost ground were COALINDIA -3%, VOLTAS -2%, ONGC -2%, SKUMARSYNF -2% and SESAGOA -2%.

Top five individual stocks which attracted higher volumes were SBIN, ICICIBANK, TATAMOTORS, CENTURYTEX & JPASSOCIAT.

Top five individual options which attracted higher activity today were SBIN 2100CE, SBIN 2000PE, SBIN 2050CE, SBIN 2000CE and RELIANCE 760CE.

Nifty option series where POSITIVE change in open interest was seen were 5300CE (1.14 LK) 5400CE (3.51 LK) 5500CE (10.33 LK) 5600CE (1.82 LK) 4800PE (9.92 LK) 5000PE (3.04 LK) 5100PE (5.27 LK) 5200PE (11.47 LK) 5300PE (2.49 LK)

Nifty option series where NEGATIVE change in open interest was seen were 5100CE (2.88 LK) 5200CE (1.22 LK) 5700CE (1.39 LK)

Outstanding open interest in Out of the Money Call Options stood at 2.10 Cr shares and that of Put Options stood at 3.92 Cr shares. Outstanding open interest in In the Money Call Options stood at 1.09 Cr shares and that of Put Options stood at 53.01 LK shares. Put Call Ratio of current series alone stands at 1.40.

Happy Trading

Atul Doshi