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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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