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Derivative ReportIndia Research

Aug 18, 2011

SEBI Registration No: INB 010996539 For Private Circulation Only  1

 

Comments

  The Nifty futures’ open interest decreased 4.16% whileMinifty futures’ open interest decreased by 1.97% as

market closed at 5056.60 levels.

  The Nifty Aug future closed at a premium 10.15 pointagainst a discount of 8.10 points, while the Sep futures

closed at a premium of 20.95 points.

  The Implied Volatility of at the money options decreased

from 28.00% to 25.25%.

  The PCR-OI has increased from 1.03 to 1.07 points.

  The total OI of the market is `139,905cr and the stock

futures OI is `29,930cr.

  Few liquid stocks where CoC is positive are KSOILS,TTML, SKUMARSYNF, GTOFFSHORE and DCHL.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

AXISBANK 2924000 17.83 1169.80 -3.52

CANBK 2357500 16.39 432.50 -3.35

JETAIRWAYS 1325500 16.07 304.55 -12.96

JUBLFOOD 364500 13.91 947.25 4.45

INDUSINDBK 3867000 13.57 246.05 -4.09

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.06 1.00

RELIANC 0.31 0.41

SBIN 0.54 0.80

ICICIBANK 0.40 0.52

BANKNIFTY 0.96 1.55

View

  FIIs formed some long positions in the Stock futuresand unwound some of their longs in the Indexfutures. They were net sellers of `408cr in the cashmarket segment.

  In the last trading session, the 4800 Put option addedhighest open interest and some unwinding wasobserved in the 5000 Put option. However, there wasnot much change observed in call options.

  IDFC has significant short positions and stock istrading around very low levels. Yesterday, the cost ofcarry has turned from negative to positive. We maysee a positive move up to `118-120. Traders cantrade with positive bias with a stop loss of `109.

  BAJAJHIND has corrected significantly but significantshort build up was not observed in the counter.

Yesterday some buying was observed and cost ofcarry has increased significantly. We may see apositive move up to `58. Trading with positive bias isadvisable with a stop loss of `52.

Historical Volatility

SCRIP HV

JETAIRWAYS 89.41

BEL 29.91

BFUTILITIE 83.63

ASHOKLEY 49.70

DCB 56.00

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

COLPAL 214500 -9.78 931.90 2.55

KSOILS 33512000 -9.35 7.95 -8.09

SUZLON 90152000 -7.01 37.10 -3.39

SAIL 9876000 -6.19 106.55 1.43

ARVIND 2496000 -6.02 72.20 -0.82

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FII Statistics for 17-Aug-2011

Detail Buy Sell Net

Open Interest

Contracts Value Change

(Rs. in cr.) (%)

INDEXFUTURES

2627.00 2766.78 (139.78) 582196 14670.63 -1.23

INDEX

OPTIONS12840.24 13080.88 (240.63) 1918303 48496.52 0.08

STOCK

FUTURES2346.44 2156.08 190.36 1209107 29297.02 0.33

STOCK

OPTIONS397.56 384.44 13.12 24740 573.95 4.27

TOTAL 18211.25 18388.18 (176.93) 3734346 93038.11 3.45

Turnover on 17-Aug-2011 

Instrument

No. of

Contracts

Turnover

(Rs. in cr.)

Change

(%)

Index Futures 698669 16557.13 38.50

Stock Futures 576185 14155.89 15.16

Index Options 4104209 105228.41 21.56

Stock Options 147821 3660.98 -6.12

Total 5526884 139602.40 21.70

Nifty Spot = 5056.60 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 5100 61.7535.00 65.00 5135.00

Buy 5000 53.6525.10 74.90 4974.90

Sell 5200 26.75 Sell 4900 28.55

Buy 5100 61.7551.60 148.40 5151.60

Buy 5000 53.6538.90 161.10 4961.10Sell 5300 10.15 Sell 4800 14.75

Buy 5200 26.7516.60 83.40 5216.60

Buy 4900 28.5513.80 86.20 4886.20

Sell 5300 10.15 Sell 4800 14.75

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Aug 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

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