Derivatives Report 15th February 2012
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Transcript of Derivatives Report 15th February 2012
8/3/2019 Derivatives Report 15th February 2012
http://slidepdf.com/reader/full/derivatives-report-15th-february-2012 1/3
Derivative ReportIndia Research
Feb 15, 2012
SEBI Registration No: INB 010996539 For Private Circulation Only 1
Comments
The Nifty futures open interest decreased by 0.23% whileMinifty futures open interest increased by 4.57% as
market closed at 5416.05 levels.
The Nifty Feb. future closed at a Premium of 24.30 point
against a Premium of 27.80points. The March seriesclosed at a Premium of 56.55 points.
The Implied Volatility of at the money options is
decreased from 19.60% to 18.90%.
The PCR-OI has being increased from 1.42 to 1.47
points.
The total OI of the market is `1,40,985/-cr. and the
stock futures OI are `34,582/-cr. Few of the liquid counters where we have seen high cost-
of-carry are ABGSHIP, HINDOILEXP, TTML, GVKPIL andVIDEOIND.
Nifty Vs OI
OI Gainers
SCRIP OIOI
CHANGE(%)
PRICEPRICE
CHANGE(%)
VOLTAS 4618000 51.71 94.60 -3.12
SOUTHBANK 13150000 50.11 27.55 5.56
HAVELL 907000 29.57 507.65 4.41
MCDOWELL-N 1897750 28.16 675.85 3.98
INDIAINFO 3044000 27.68 71.35 4.85
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 1.47 1.07
BANKNIFTY 1.85 1.34
SBIN 1.03 0.73
RELIANCE 0.95 0.55
ICICIBANK 0.84 0.70
View
Good amount of buying was visible by FII’s inyesterday’s trading session; they were net buyersworth of ` 1030/ - cr. On Derivatives front they werenet buyers in index futures, while in index optionsthey were net sellers.
On Options front not much of buildup was seen incall option, however some unwinding was seen in5400 strike price, while in put option 5400 strikeprice have seen maximum buildup of open interest in
yesterday’s trading session. The counter of JPASSOCIAT has seen good amount
of buildup in open interest in yesterday’s tradingsession. The stock has also seen good amount ofaccumulation in the past few trading session andhave given closing above its resistance of ` 78-79.Hence we recommend to go long on this stock withthe target price of `86 and stop loss at ` 76.
Historical Volatility
SCRIP HV
LITL 96.17
CIPLA 39.22
TATACOMM 47.57
AREVAT&D 52.25
ANDHRABANK 51.65
OI Losers
SCRIP OIOI
CHANGE(%)
PRICEPRICE
CHANGE(%)
HOTELEELA 2024000 -13.95 35.95 -2.18
JINDALSAW 1566000 -10.21 154.55 0.82
ARVIND 4020000 -7.63 101.45 -1.60
MRPL 2000000 -7.06 72.40 -0.34
HEROMOTOCO 1839500 -5.66 2081.80 3.43
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Derivative Report | India Research
For Private Circulation Only SEBI Registration No: INB 010996539 2
FII Statistics for 14-Feb-2012
Detail Buy Sell Net
Open Interest
Contracts Value Change(Rs. in cr.) (%)
INDEXFUTURES
1548.89 1357.96 190.93 561833 15219.19 -0.91
INDEXOPTIONS
13483.42 13836.83 (353.41) 1563328 42324.29 -0.79
STOCK
FUTURES2451.84 2896.73 (444.89) 1067130 31318.80 1.17
STOCK
OPTIONS793.78 828.71 (34.94) 62499 1811.96 5.33
Total 18277.93 18920.23 (642.30) 3254790 90674.25 -0.07
Turnover on 14-Feb-2012
InstrumentNo. of
ContractsTurnover(Rs. in cr.)
Change(%)
INDEX
FUTURES361700 9305.68 -13.91
INDEX
OPTIONS2562352 69163.42 -11.32
STOCKFUTURES
616051 18496.96 4.06
STOCKOPTIONS
204080 6289.06 -10.13
Total 3744183 103255.13 -9.08
Nifty Spot = 5416.05 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5400 82.6547.70 52.30 5447.70
Buy 5400 47.0026.60 73.40 5373.40
Sell 5500 34.95 Sell 5300 20.40
Buy 5400 82.6571.95 128.05 5471.95
Buy 5400 47.0038.50 161.50 5361.50
Sell 5600 10.70 Sell 5200 8.50
Buy 5500 34.9524.25 75.75 5524.25
Buy 5300 20.4011.90 88.10 5288.10
Sell 5600 10.70 Sell 5200 8.50
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
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Derivative Report | India Research
For Private Circulation Only SEBI Registration No: INB 010996539 3
Strategy Date Scrip Strategy Status
30-01-2012 NIFTY Long Call Ladder Open
06-02-2012 SBIN Short Strangle Open
13-02-2012 ICICIBANK Ratio Call Spread Open
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Derivative Research Team
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