Derivatives Report 30th January 2012

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Derivative ReportIndia Research

Jan 30, 2012

SEBI Registration No: INB 010996539 For Private Circulation Only  1

Comments

  The Nifty futures open interest decreased by 28.91%while Minifty futures open interest decreased by 24.91%

as market closed at 5204.70 levels.

  The Nifty Jan. future closed at a Premium of 8.10 point

against a Premium of 23.25 points. The February Seriesclosed at a Premium of 33.25 points.

  The Implied Volatility of at the money options is

increased from 19.28% to 19.93%.

  The PCR-OI has being decreased from 1.85 to 1.30

points.

  The total OI of the market is `99,073/-cr. and the stock

futures OI are `27,606/-cr.   Few of the liquid counters where we have seen high cost-

of-carry are ABGSHIP, LITL, TATAGLOBAL, HCC andALOKTEXT.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

IOB 1366000 28.14 88.50 -2.96

NATIONALUM 2080000 15.30 59.45 4.57

RANBAXY 2132500 6.20 443.90 -6.45

SUNTV 1712000 4.14 296.95 4.82

DISHTV 14208000 3.92 63.35 3.09

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.30 1.21

BANKNIFTY 2.14 1.11

SBIN 0.52 0.44

RELIANCE 0.79 0.61

ICICIBANK 0.58 0.57

View 

  FII’s were net buyers in cash market segment; theywere net buyer’ s worth of ` 1240/- cr. on Friday’strading session. On derivatives front they were netbuyers in both index futures and index options.

  On options front 5300 and 5400 call option haveseen good amount of buildup of open interest, whilein put option 5000-5200 strike price have seenmaximum buildup of open interest on Friday’strading session.

  We have seen good amount of consolidation in thecounter of POWERGRID at around ` 100 levels. Thestock has seen fresh long position getting buildup inthe past few trading session which could take thecounter to around `111. Hence we suggest to golong with the stop loss of ` 98.

Historical Volatility

SCRIP HV

RANBAXY 47.00

PRAJIND 62.12

VIDEOIND 32.82

GVKPIL 75.19

FORTIS 58.48

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

TATACOFFEE 66750 -93.03 905.35 1.22

GESHIP 231000 -54.88 233.40 -6.15

TECHM 267000 -54.78 637.35 1.33

VIDEOIND 5574000 -53.62 178.20 -4.40

IRB 1474000 -46.86 174.10 3.45

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FII Statistics for 27-Jan-2012

Detail Buy Sell Net

Open Interest

Contracts Value Change(Rs. in cr.) (%)

INDEXFUTURES

1666.86 1502.14 164.72 477398 12363.59 2.72

INDEXOPTIONS

7297.28 6776.10 521.18 1108076 28817.81 9.48

STOCK

FUTURES1905.09 1382.92 522.16 952032 26076.23 0.35

STOCK

OPTIONS561.39 590.26 (28.87) 23885 659.94 125.29

Total 11430.61 10251.42 1,179.19 2561391 67917.57 5.14

Turnover on 27-Jan-2012 

InstrumentNo. of

ContractsTurnover(Rs. in cr.)

Change(%)

INDEX

FUTURES368269 8986.57 -49.12

INDEX

OPTIONS1674790 43235.60 -67.97

STOCKFUTURES

512110 13860.64 -57.40

STOCKOPTIONS

140814 3875.87 -41.02

Total 2695983 69958.68 -63.52

Nifty Spot = 5204.70 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 5200 117.2047.20 52.80 5247.20

Buy 5200 107.0537.35 62.65 5162.65

Sell 5300 70.00 Sell 5100 69.70

Buy 5200 117.2080.05 119.95 5280.05

Buy 5200 107.0563.30 136.70 5136.70

Sell 5400 37.15 Sell 5000 43.75

Buy 5300 70.0032.85 67.15 5332.85

Buy 5100 69.7025.95 74.05 5074.05

Sell 5400 37.15 Sell 5000 43.75

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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Strategy Date Scrip Strategy Status

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