www.angelbroking.com 1 Derivative ReportNov 30, 2012 Comments The N ifty fut ures open i nterest decreased b y 9.7 2% while BankNifty futures open interest is decreased by 10.57% as market closed at 5825.00 levels. The Nifty Dec. future closed at premium of 44.35 point against a premium of 41.85 points. The Jan. series clos ed at a premium of 73 .80 p o i n t s. The Implied Volatility of at the money options is increas ed from 11 .63% to 13.50 %. N ifty P C R -O I has decreas ed from 1.1 7 to 1 .06 levels. The t otal O I of the market is Rs.1,08,011/- cr. and the stock futures O I are Rs.31,240/- cr . Few of the liquid counters where we have seen high C ost-of -C ar ry are TATAM TR D VR , JP PO W ER , G VKP IL, DIVISLAB and GRASIM. Ni fty Vs OI OI Gainers SCRIP OI OI CHANGE (%) PRIC E PRIC E CHANGE (%) HDIL 26584000 10.95 112.60 7.08 M RF 121000 9.50 10517.00 4.41 ABIR LAN UVO 1323500 4.36 1063.15 0.76 HINDZINC 1756000 3.66 137.90 1.38 CIPLA 11880000 0.75 404.55 3.56 Put-Call Ratio SCRIP PCR-O I PCR-VO L NIFTY 1.06 0.89 BANKNIFTY 0.95 1.06 SBIN 0.54 0.36 REL IA N CE 0.55 0.48 TATAST EEL 0. 46 0. 46 View FII’s continues to buy in cash market segment in big way; in yesterday’s trade also they were net buyer’s worth of ` 1,5 80 / - cr. O n derivatives front they were net buyers in ind ex f utures and in in dex options. O n op tions front in new series we have observed significant amount of buildup in 5900-6200 call option. While in put option 5600-6000 strike price has seen decent amount of buildup in yesterday’s trade. Highest buildup of open interest is in 5600 put option and 600 0 call opt ion. R ollover i n N IFTY future was bit on the higher side at 72 %, whi le that of BAN KNIFT Y fut ure it was in line at 68%. BHEL has seen good amount of short positions getting buildup at higher levels and also the rollover of (82%) was bit on hi gher side indicating m ost of the short positions has being carried forward. The stock has seen taking support at around ` 218-220 levels, hence we feel short covering b ounce could be seen i n this stock which could take the counter to around ` 238. Go long with the stop loss of ` 214. Historical Volatility SCRIP HV TATACHEM 24.88 MRF 26.82 INDUSINDBK 36.55 BAJ AJ-AUTO 30.94 ASIANPAI NT 32.4 4 OI Losers SCRIP OI O I CHANGE (% ) PRICE PRICE CHANGE (%) AN DH RABAN K 1542000 -52.44 108.35 3.31 BH ARTIARTL 9142000 -38.00 330.35 1.22 CANBK 1334500 -37.46 443.80 1.04 EX IDEIN D 1972000 -36.26 143.35 -0.89 AXIS BAN K 3836500 -35.44 1310.20 1.40
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The N ifty futures open i nterest decreased b y 9.7 2% whileBankNifty futures open interest is decreased by 10.57%
as market closed at 58 25 .00 levels.
The Nifty Dec. future closed at premium of 44.35 pointagainst a premium of 41.85 points. The Jan. seriesclosed at a premium of 73 .80 p oints.
The Implied Volatility of at the money options is
increased from 11 .63% to 13.50 %.
N ifty PC R-O I has decreased from 1.1 7 to 1 .06 levels.
The total O I of the market is Rs.1,08,011/- cr . and the
stock futures O I are Rs.31,240/ - c r. Few of the liquid counters where we have seen high
C ost-of -C ar ry are TATAM TRD VR, JPPO WER, G VKPIL,
DIVISLAB and GRASIM.
Ni fty Vs OI
OI Gainers
SCRIP O IO I
C H A N G E(%)
PRIC EPRIC E
C H A N G E(%)
HDI L 26584000 10.95 112.60 7 .08
M RF 121000 9 .50 10517.00 4 .41
ABIRLAN U VO 1323500 4 .36 1063.15 0 .76
HI NDZ I NC 1756000 3 .66 137.90 1 .38
CIPLA 11880000 0 .75 404.55 3 .56
Put-Call Ratio
SCRIP PCR-O I PCR-VO L
NIFTY 1.06 0.89
BANKNIFTY 0.95 1.06
SBIN 0.54 0.36
RELIAN CE 0.55 0.48
TATASTEEL 0. 46 0. 46
View
FII’s continues to buy in cash market segment in bigway; in yesterday’s trade also they were net buyer’sworth of ` 1,5 80 / - cr. O n derivatives front they werenet buyers in ind ex futures and in in dex options.
O n op tions front in new series we have observedsignif icant amount of buildup in 5900-6200 callopt ion. While in put opt ion 5600-6000 str ike pricehas seen decent amount of buildup in yesterday’strade. Highest buildup of open interest is in 5600 put
option and 600 0 call option. Rollover i n N IFTY future was bit on the higher side at
72 %, whi le that of BAN KNIFTY future it was in line at68%.
BHEL has seen good amount of short positionsgetting buildup at higher levels and also the rolloverof (82%) was bit on hi gher side indicating m ost of theshort positions has being carried forward. The stockhas seen taking support at around ` 218-220 levels,hence we feel short covering b ounce could be seen i nthis stock which could take the counter to around` 238. Go long with the stop loss of `214.
0 5- N ov-201 2 TATAM O TO RS Long Put Ladd er Profit booked on 19 -N ov-2 01 2
1 2- N ov-201 2 D LF Bear Put Spread Profit booked on 19 -N ov-2 01 2
1 9 -N ov-20 1 2 AXISBAN K Long Put Loss on expiry
2 6- N ov-201 2 RELIANC E Long C all Profit on expiry
Derivat ive Research Team
Ema il Id : - derivatives.desk@ an gelbroking.com
For Private Circulation O nly
SEBI Registration No: INB 010996539
Research Team Tel: 022 - 393 578 00 E-m ail: research@ang elbroking.com Website: www.angelbroking .com
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