Derivative Report
Sep 26, 2012
Comments
Nifty Vs OI
The Nifty futures open interest increased by 8.30% while
BankNifty futures open interest is decreased by 3.61% as
market closed at 5673.90 levels.
The Nifty Sept. future closed at premium of 9.10 point
against a premium of 12.05 points. The Oct. series
closed at a premium of 34.80 points.
The Implied Volatility of at the money options is
decreased from 17.95% to 16.52%.
Nifty PCR-OI has decreased from 1.23 to 1.22 levels.
The total OI of the market is `1,70,390/- cr. and the
stock futures OI are `36,782/- cr.
Few of the liquid counters where we have seen low
rollovers are FEDERALBNK, PFC, ORIENTBANK, CANBK
and DABUR.
View
OI Gainers
FII’s continue to buy in cash market segment; they
OI
PRICE
were net buyers worth of `5,846/- cr. On derivatives
SCRIP
OI
CHANGE
PRICE
CHANGE
front good amount of long buildup was formed by
(%)
(%)
them in index futures, while in index options some
long unwinding was observed.
CAIRN
21097000
129.81
333.75
-3.78
On options front
5800 call option has seen
PANTALOONR
17680000
38.78
206.55
9.55
significant amount
of buildup in open interest
GODREJIND
1132000
37.21
291.55
7.28
followed by some unwinding in 5400-5500 call
option, while in put option most of the strike price
ULTRACEMCO
855000
20.13
1836.30
0.51
has seen decent unwinding except in 5700 strike
ARVIND
6576000
19.30
79.00
6.30
price where some buildup was observed and 5500
put option has seen maximum unwinding in
yesterday’s trade.
OI Losers
Rollover in Nifty futures is in line at 39%, while that of
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
BankNifty futures the rollover is quite less at
26%
(%)
(%)
compared to its last three month average.
COREEDUTEC
5291000
-29.97
336.30
-0.24
The recent bounce in STER was mainly due to short
covering. The stock in last 3-4 trading session has
ESSAROIL
5472000
-27.54
49.40
-5.18
seen good amount of short positions getting buildup
SREINFRA
1872000
-26.65
25.85
1.77
at higher levels and also majority of the short
positions in this counter formed during the start of
GLAXO
17750
-25.65
1987.20
0.11
this expiry is still intact. Hence we recommend to go
SOBHA
102000
-19.05
351.50
1.68
short on this stock with the target price of `94 and
stop loss at `105.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.22
1.00
BOMDYEING
55.40
BANKNIFTY
1.44
0.92
GODREJIND
50.41
SBIN
1.18
0.79
AUROPHARMA
50.46
ICICIBANK
1.07
0.91
MCDOWELL-N
74.79
INFY
1.03
0.66
RENUKA
55.62
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1
Derivative Report
Sep 26, 2012
FII Statistics for 25-September-2012
Turnover on 25-September-2012
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
5725.49
5080.53
644.96
699820
19479.54
16.07
5,81,156
16170.68
34.78
FUTURES
FUTURES
INDEX
INDEX
16867.76
17526.51
(658.74)
1993634
56570.32
(1.34)
45,37,040
129056.52
9.42
OPTIONS
OPTIONS
STOCK
STOCK
9214.71
9825.02
(610.32)
1108595
32355.97
3.92
12,21,369
36082.59
22.46
FUTURES
FUTURES
STOCK
STOCK
1615.39
1520.25
95.13
82284
2468.79
(3.68)
3,28,327
10252.85
-15.58
OPTIONS
OPTIONS
TOTAL
33423.35
33952.31
(528.96)
3884333
110874.62
2.87
TOTAL
66,67,892
191562.63
11.67
Nifty Spot =5673.90
Lot Size = 50
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
5700
20.00
Buy
5700
34.90
17.20
82.80
5717.20
29.50
70.50
5670.50
Sell
5800
2.80
Sell
5600
5.40
Buy
5700
20.00
Buy
5700
34.90
19.30
180.70
5719.30
33.75
166.25
5666.25
Sell
5900
0.70
Sell
5500
1.15
Buy
5800
2.80
Buy
5600
5.40
2.10
97.90
5802.10
4.25
95.75
5595.75
Sell
5900
0.70
Sell
5500
1.15
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Sept. Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
Sep 26, 2012
Strategy Date
Symbol
Strategy
Status
03-Sep-2012
AXISBANK
Long Call Ladder
Strategy close with no profit no loss on 21-Sep-2012
10-Sep-2012
NIFTY
Long Call
Profit booked on 12-Sep-2012
17-Sep-2012
BHEL
Ratio Call Spread
Strategy close with no profit no loss on 21-Sep-2012
24-Sep-2012
BHARTIARTL
Bull Call Spread
Open
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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