Derivative Report India Research Sep 19, 2011 S E B I R egis tratio n N o: INB 010 996 539 For Private Circulation Only1 Comments The Nifty futures’ open interest decreased 0.49% while Minifty futures’ open interest decreased by 1.74% as market closed at 5084.25 levels. The Nifty Sep future closed at a premium of 3.35 point against a premium of 5.50 points. The October Series closed at a Premium of 17.45 points. The Implied Volatility of at the money options is decreased from 28.28% to 25.05%. The PCR-OI has increased from 1.49 to 1.51 points. The total OI of the market is ` 1, 39,065.20 cr. and the stock futures OI is `30,217.32c r. Stocks where cost of carry is positive are STRTECH, NHPC, DHANBANK, SOBHA and INDIACEM. Nifty Vs OI OI Gainers SCR IP OI OI CHANGE (% ) PRICE PR IC E CHANGE (% ) NATIONALUM 1604000 18.29 65.65 0.08 BHEL 3137250 18.17 1681.45 -1.87 OIL 36000 18.03 1373.25 4.94 BA JAJ HL DNG 113000 14.14 742.10 -0.51 FINANTE CH 955000 12.35 861.60 10.37 Put-Call Ratio S CRIP P CR-OI P CR-VOL NIFT Y 1.5 1 1. 01 S BIN 0.5 1 0. 45 B ANKNIF TY 1.9 1 0. 90 R E LIA NCE 1. 24 0. 72 INF Y 0.52 0.86 ViewSome cash base buying was visible by FII's on Friday however the net activity in derivatives segment was muted des pite hi gh volumes as we ll as high vola tility. 5000 put saw huge addition in open interest and surprisingly this has happened despite market coming down from higher levels and IV's too has come down. MPHASIS has consolidated in the range of ` 335-345 for some time now. It has seen addition of OI with positive CoC. We suggest to go long in it around ` 342-344 with target price of ` 372 and stop loss of ` 331/-. Keep eye on NATIONALUM. It has added significant open interest with CoC turning from negative to positive. Also we have seen huge volumes in cash market segment. Historical Volatility SCRIP HV OIL 28.99 FINANTECH 63.91 ONGC 40.40 NMDC 50.27 NTPC 34.46 OI L osers SCR IP OI OI CHANGE (% ) PRICE PRICE CHANGE (% ) ONGC 24168000 -21.21 274.70 5.41 TECHM 376500 -14.53 650.45 2.24 GESHIP 342000 -11.17 252.80 3.16 S IEMENS 462500 -10.54 869.75 1.93 BGRE N ER GY 1148000 -8.16 361.20 -1.69
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SEBI Registration No: INB 010996539 For Private Circulation Only 1
Comments
The Nifty futures’ open interest decreased 0.49% whileMinifty futures’ open interest decreased by 1.74% as
market closed at 5084.25 levels.
The Nifty Sep future closed at a premium of 3.35 pointagainst a premium of 5.50 points. The October Series
closed at a Premium of 17.45 points.
The Implied Volatility of at the money options is
decreased from 28.28% to 25.05%.
The PCR-OI has increased from 1.49 to 1.51 points.
The total OI of the market is `1, 39,065.20 cr. and the
stock futures OI is `30,217.32cr.
Stocks where cost of carry is positive are STRTECH,
NHPC, DHANBANK, SOBHA and INDIACEM.
Nifty Vs OI
OI Gainers
SCRIP OIOI
CHANGE(%)
PRICEPRICE
CHANGE(%)
NATIONALUM 1604000 18.29 65.65 0.08
BHEL 3137250 18.17 1681.45 -1.87
OIL 36000 18.03 1373.25 4.94
BAJAJHLDNG 113000 14.14 742.10 -0.51
FINANTECH 955000 12.35 861.60 10.37
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 1.51 1.01
SBIN 0.51 0.45
BANKNIFTY 1.91 0.90
RELIANCE 1.24 0.72
INFY 0.52 0.86
View
Some cash base buying was visible by FII's on Fridayhowever the net activity in derivatives segment wasmuted despite high volumes as well as high volatility.
5000 put saw huge addition in open interest andsurprisingly this has happened despite marketcoming down from higher levels and IV's too hascome down.
MPHASIS has consolidated in the range of ` 335-345for some time now. It has seen addition of OI withpositive CoC. We suggest to go long in it around`342-344 with target price of `372 and stop loss of`331/-.
Keep eye on NATIONALUM. It has added significantopen interest with CoC turning from negative topositive. Also we have seen huge volumes in cashmarket segment.
For Private Circulation Only SEBI Registration No: INB 010996539 3
Strategy Date Scrip Strategy Status
29-Aug-2011 ITC Covered Call Writing Continue
05-Sep-2011 NIFTY Ratio Put Spread Continue
09-Sep-2011 BANKNIFTY Short Straddle Continue
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