Derivative Report
May 30, 2013
Comments
Nifty Vs OI
The Nifty futures open interest increased by 2.78% while
BankNifty futures open interest is decreased by 3.99% as
market closed at 6104.30 levels.
The Nifty May future closed at discount of 14.05 point
against a discount of 1.85 points. The June series closed
at a premium of 6.10 points.
The Implied Volatility of at the money options has
decreased from 19.14% to 18.10%.
Nifty PCR-OI has decreased from 1.25 to 1.24 levels.
The total OI of the market is Rs. 1,77,358/- cr. and the
stock futures OI is Rs.37,564/- cr.
Few of the large cap stocks where we have seen low
rollover are
AMBUJACEM, DLF,
M&M, ACC and
ICICIBANK.
View
OI Gainers
FII’s continue to buy in cash market segment; they
OI
PRICE
were net buyers worth of Rs.644/- cr. On derivatives
SCRIP
OI
CHANGE
PRICE
CHANGE
front good amount of long buildup was observed by
(%)
(%)
them in index futures, while in index options some
SUNTV
2788500
60.03
428.30
4.62
short covering was seen by them in yesterday’s
trading session.
CIPLA
10083000
12.13
401.70
1.04
On options front 6200 call option has seen good
HDIL
32332000
11.12
47.95
-7.16
amount of buildup in open interest, while in put
MRF
102000
11.02
15141.05
-1.38
option not much of buildup was observed except in
5900 strike price saw maximum buildup of 8000
PNB
4880500
9.45
802.10
-1.22
contracts in yesterday’s trade.
OI Losers
Rollover in NIFTY and in BANKNIFTY future is in line
OI
PRICE
at 46% and 44% respectively.
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
TATAPOWER has seen good amount of short
buildup in this series and is now very much heavy in
COLPAL
117000
-15.68
1483.20
0.70
terms of open interest. The stock has very strong
FINANTECH
676250
-8.55
838.35
-1.19
support at around Rs.87-88 and hence we feel the
counter could see some short covering bounce from
CESC
811000
-7.74
336.15
-0.43
current levels. Hence we recommend to go long in
GODREJIND
756000
-7.01
305.90
2.93
June future at around Rs.90 with the target price of
Rs.96 and stop loss at Rs.87.
DISHTV
16332000
-6.97
67.70
1.65
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.24
1.11
SUNPHARMA
49.28
BANKNIFTY
1.45
0.94
SUNTV
46.46
SBIN
0.38
0.56
GSPL
35.15
HINDUNILVR
1.15
0.67
GRASIM
30.47
INFY
0.56
0.42
GODREJIND
33.32
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Derivative Report
May 30, 2013
FII Statistics for 29-May-2013
Turnover on 29-May-2013
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Value
Change
Contracts
(` in cr.)
(%)
INDEX
INDEX
4,51,162
13887.85
-15.95
5119.07
4703.23
415.84
634261
19389.69
6.76
FUTURES
FUTURES
INDEX
INDEX
47,90,203
146397.13
-18.15
22247.00
21943.68
303.32
1934774
59168.53
(0.76)
OPTIONS
OPTIONS
STOCK
STOCK
10,13,639
28775.04
-7.55
8612.05
8673.14
(61.09)
1221228
35110.31
4.57
FUTURES
FUTURES
STOCK
STOCK
3,60,477
10442.10
1.97
1381.68
1325.93
55.75
158171
4507.60
(9.16)
OPTIONS
OPTIONS
TOTAL
66,15,481
199502.12
-15.73
TOTAL
37359.80
36645.98
713.82
3948434
118176.13
1.61
Nifty Spot =6104.30
Lot Size = 50
Bull-Call Spreads
Bear-Put Spreads
Action
Strike Price
Risk
Reward BEP
Action
Strike
Price
Risk Reward
BEP
Buy
6100
21.20
Buy
6100
30.30
19.25
80.75
6119.25
26.10
73.90
6073.90
Sell
6200
1.95
Sell
6000
4.20
Buy
6100
21.20
Buy
6100
30.30
20.85
179.15
6120.85
29.80
170.20
6070.20
Sell
6300
0.35
Sell
5900
0.50
Buy
6200
1.95
Buy
6000
4.20
1.60
98.40
6201.60
3.70
96.30
5996.30
Sell
6300
0.35
Sell
5900
0.50
Note: Above mentioned Bullish or Bearish Spreads in Nifty (May. Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
May 30, 2013
Strategy Date
Symbol
Strategy
Status
29-Apr-2013
TCS
Bull Call Spread
Profit booked on 02-May-2013
06-May-2013
DLF
Bull Call Spread
Profit booked on 16-May-2013
13-May-2013
RELIANCE
Ratio Put Spread
Position squared off
20-May-2013
NIFTY
Ratio Call Spread
Open
27-May-2013
BANKNIFTY
Long Call
Open
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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