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Derivative ReportIndia Research

Aug 25, 2011

SEBI Registration No: INB 010996539 For Private Circulation Only  1

 

Comments

  The Nifty futures’ open interest increased 16.50% whileMinifty futures’ open interest increased by 7.25% as

market closed at 4888.90 levels.

  The Nifty Aug future closed at a discount of 5.09 pointagainst a discount of 1.50 points, while the Sep futures

closed at a premium of 2.90 points.

  The Implied Volatility of at the money options increasedfrom 29.50% to 30.00% for Aug. series, and for Sep.

series it is 25.50%.

  The PCR-OI has decreased from 0.97 to 0.95 points.

  The total OI of the market is `150,841cr and the stock

futures OI is `30,687cr.

  Rollover for Nifty futures is 54.90% and for Minifty it is48.66%. The market wide rollover is 61.08%.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

COALINDIA 2631000 56.61 373.90 -4.71

VOLTA 3880000 16.73 114.90 0.52

TATAPOWE 1190000 15.90 1038.30 -4.42

VIPIND 654500 15.84 838.50 -1.57

SUNPHARMA 2968500 14.35 465.45 -1.28

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 0.95 0.95

RELIANC 0.35 0.57

SBIN 0.32 0.51

BANKNIFTY 0.90 0.85

TATAMOTOR 0.23 0.39

View

  FIIs continued their selling in the cash marketsegment. They were net sellers of `883cr in the cash.They formed some long positions in the Index futuresand the stock futures.

  In the last trading session, considerable build up wasobserved in the 4900 and 5000 call. On the otherhand, unwinding was observes in the 4900 and5000 Put options. In September series the 5000 calland most of the puts added considerable openinterest.

  Yesterday, major rollover has been witnessed andNifty added a considerable open interest. Few liquidstocks where rollover is less are NATIONALUM, SAIL,BHARTIARTL, TITAN and ITC.

 LT is showing some strength. Continuous build upwas also observed. We may see a positive move upto `1600-1610. Traders can trade with positive biaswith a stop loss of `1537.

Historical Volatility

SCRIP HV

DCHL 72.17

MUNDRAPORT 47.20

COALINDIA 41.63

DISHTV 45.50

PANTALOONR 60.76

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

GMDCLTD 622000 -29.95 179.05 -0.47

NEYVELILIG 1728000 -22.72 83.70 -0.65

M&M 2919000 -18.82 697.45 -1.66

CHAMBLFERT 8976000 -14.35 102.45 -3.12

FSL 34488000 -13.09 12.40 -0.40

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FII Statistics for 24-Aug-2011

Detail Buy Sell Net

Open Interest

Contracts Value Change

(Rs. in cr.) (%)

INDEXFUTURES

8004.62 7666.01 338.61 687176 16634.50 20.76

INDEX

OPTIONS8197.87 6788.08 1,409.79 2165646 52925.23 1.72

STOCK

FUTURES7832.24 7665.29 166.96 1272775 30315.16 0.07

STOCK

OPTIONS83.94 60.34 23.60 26428 598.58 -10.23

TOTAL 24118.67 22179.72 1,938.95 4152025 100473.47 12.32

Turnover on 24-Aug-2011 

Instrument

No. of

Contracts

Turnover

(Rs. in cr.)

Change

(%)

Index Futures 958140 22562.07 13.84

Stock Futures 1117168 27074.23 6.20

Index Options 5076832 126556.67 4.14

Stock Options 130143 3335.57 -2.64

Total 7282283 179528.54 5.44

Nifty Spot = 4888.90 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP

Buy 4900 146.7049.10 50.90 4949.10

Buy 4800 121.6029.95 70.05 4770.05

Sell 5000 97.60 Sell 4700 91.65

Buy 4900 146.7084.65 115.35 4984.65

Buy 4800 121.6051.90 148.10 4748.10Sell 5100 62.05 Sell 4600 69.70

Buy 5000 97.6035.55 64.45 5035.55

Buy 4700 91.6521.95 78.05 4678.05

Sell 5100 62.05 Sell 4600 69.70

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Sep Series) are given as an information and not as a recommendation 

Nifty Put-Call Analysi

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Strategy Date Scrip Strategy Status

01-Aug-2011 HINDALCO Bull Call Spread Loss booked on 09-Aug-2011

08-Aug-2011 NIFTY Short Strangle Loss booked on 09-Aug-2011

16-Aug-2011 M&M Long Put Continue

22-Aug-2011 LICHSGFIN Long Call Continue

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