Derivative Report
India Research
Feb 02, 2012
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 1.26% while
Minifty futures open interest increased by 4.34% as
market closed at 5235.70 levels.
The Nifty Jan. future closed at a Premium of 26.45 point
against a Premium of 24.10 points. The February Series
closed at a Premium of 54.90 points.
The Implied Volatility of at the money options is
increased from 20.48% to 21.03%.
The PCR-OI has being increased from 1.28 to 1.29
points.
The total OI of the market is `1,12,669/-cr. and the
stock futures OI are `29,571/-cr.
Few of the liquid counters where we have seen high cost-
of-carry are ABGSHIP, JPPOWER, VIDEOIND, LITL and
GVKPIL.
OI Gainers
View
OI
PRICE
Good amount of buying was visible by FII’s in cash
SCRIP
OI
CHANGE PRICE CHANGE
(%)
(%)
market segment; they were net buyer’s worth of
`1677/- cr. in yesterday’s trading session. On
SUNTV
2676000
39.09
320.20
4.97
derivatives front they were net sellers in index futures,
while in index options they were net buyers.
IOC
1381000
32.79
271.50
-5.99
On options front 5400 and 5500 call option have
OIL
80250
25.88
1196.05
-1.27
seen maximum buildup in open interest, while in put
BIOCON
2445000
24.49
265.70
0.26
option out-of-the money and in-the-money strike
price ranging from 5000-5300 have seen descent
CHAMBLFERT
2894000
23.99
87.95
3.65
buildup of open interest in yesterday’s trading
session.
OI Losers
We have seen good amount of buildup in 27.50 and
OI
PRICE
30 strike price call option in the counter of UNITECH
SCRIP
OI
CHANGE
PRICE
CHANGE
and also off late the counter has seen good amount
(%)
(%)
of long buildup in the futures segment. Hence we
BRFL
599000
-30.67
268.05
2.45
recommend to go long on this stock with the target
price of `31 and stop loss at `25.
HAVELLS
594000
-17.73
483.25
0.48
TATAGLOBAL
9032000
-15.75
109.15
1.30
BOSCHLTD
2125
-15.00
7249.10
-0.01
ARVIND
2840000
-12.45
95.10
-1.45
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.29
0.91
ABGSHIP
43.60
BANKNIFTY
1.72
1.32
OFSS
37.73
SBIN
0.69
0.52
IOC
42.98
RELIANCE
0.80
0.60
CROMPGREAV
72.67
ICICIBANK
0.72
0.55
JINDALSTEL
52.04
SEBI Registration No: INB 010996539
For Private Circulation Only
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Derivative Report | India Research
FII Statistics for 01-Feb-2012
Turnover on 01-Feb-2012
Open Interest
No. of
Turnover
Change
Instrument
Detail
Buy
Sell
Net
Contracts
(Rs. in cr.)
(%)
Contracts
Value
Change
(Rs. in cr.)
(%)
INDEX
INDEX
465944
11407.69
-4.09
1353.57
1780.75
(427.18)
443924
11605.64
-1.66
FUTURES
FUTURES
INDEX
INDEX
2441330
63948.69
18.58
11649.00
11154.89
494.11
1243820
32542.65
3.12
OPTIONS
OPTIONS
STOCK
STOCK
602951
16594.76
1.88
1625.12
1964.85
(339.73)
971277
27105.08
0.32
FUTURES
FUTURES
STOCK
STOCK
649.14
647.64
1.50
38116
1049.90
3.52
171909
4880.46
-1.78
OPTIONS
OPTIONS
Total
15276.82
15548.13
(271.30)
2697137
72303.28
1.29
Total
3682134
96831.61
11.20
Nifty Spot =5235.70
Lot Size = 50
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
5300
84.80
Buy
5200
80.55
38.65
61.35
5338.65
29.75
70.25
5170.25
Sell
Sell
5400
46.15
5100
50.80
Buy
5300
84.80
Buy
5200
80.55
62.40
137.60
5362.40
49.70
150.30
5150.30
Sell
5500
22.40
Sell
5000
30.85
Buy
5400
46.15
Buy
5100
50.80
23.75
76.25
5423.75
19.95
80.05
5080.05
Sell
5500
22.40
Sell
5000
30.85
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Feb. Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
For Private Circulation Only
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Derivative Report | India Research
Strategy Date
Scrip
Strategy
Status
30-01-2012
NIFTY
Long Call Ladder
Open
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