derivatives report 30th decmber 2011
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8/3/2019 Derivatives Report 30th Decmber 2011
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Derivative ReportIndia Research
Dec 30, 2011
SEBI Registration No: INB 010996539 For Private Circulation Only 1
Comments
The Ni fty futures open interest increased by 11.44% whileMinifty futures open interest decreased by 2.67% as
market closed at 4646.25 levels.
The Nifty Jan. future closed at a Premium of 26.85 point
against a Premium of 26.05 points. The February Seriesclosed at a Premium of 46.15 points.
The Implied Volatility of at the money options is
decreased from 30.44% to 24.65%.
The PCR-OI has being decreased from 0.88 to 0.80
points.
The total OI of the market is `1,42,079/-cr. and the
stock futures OI are `28,443/-cr. Stocks were cost of carry is positive are GVKPIL,
RUCHISOYA, TTML, GITANJALI and MTNL.
Nifty Vs OI
OI Gainers
SCRIP OIOI
CHANGE(%)
PRICEPRICE
CHANGE(%)
ALBK 3329000 36.66 115.45 -1.74
INDIAINFO 2468000 27.74 44.40 -5.13
TTML 29616000 25.94 11.95 -7.36
CUMMINSIND 323300 24.73 342.20 -0.18
IFCI 91720000 23.94 23.65 -6.71
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 0.80 0.80
SBIN 0.34 0.71
BANKNIFTY 0.76 0.93
RELIANCE 0.43 0.58
ICICIBANK 0.39 0.63
View
Yesterday FII’s sold significantly in cash marketsegment; they were net sellers worth of ` 1016/- cr.On Derivatives front they were net sellers in indexfutures, while in index options they were net buyers.
On Options front deep out-of-the money put optionof 4200 strike have seen some buildup in openinterest, while in call option 4600 and 4700 strikeshave seen maximum buildup in open interest.
We are seeing significant amount of short positionsgetting buildup in AXISBANK counter in Decemberseries and rollover is also quite significant at around79%. ` 780-800 level is the strong support for thestock and hence we recommend to go long on thiscounter for an upside till ` 865 on back of shortcovering and keeping stop loss at ` 778.
Historical Volatility
SCRIP HV
TTML 57.18
TULIP 55.74
SKUMARSYNF 82.34
COLPAL 24.98
PIRHEALTH 28.80
OI Losers
SCRIP OIOI
CHANGE(%)
PRICEPRICE
CHANGE(%)
FSL 7500000 -41.86 5.75 -10.85
MRF 33625 -27.30 6920.25 4.64
HOTELEELA 2904000 -23.09 28.95 -1.86
HAVELLS 739000 -17.89 384.75 -0.25
TRIVENI 892000 -15.21 12.85 -5.86
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Derivative Report | India Research
For Private Circulation Only SEBI Registration No: INB 010996539 2
FII Statistics for 29-Dec-2011
Detail Buy Sell Net
Open Interest
Contracts Value Change(Rs. in cr.) (%)
INDEXFUTURES
3465.26 3570.82 (105.55) 401304 9194.21 -28.67
INDEXOPTIONS
13859.64 13366.05 493.60 908931 21081.49 -52.89
STOCK
FUTURES5096.03 5228.29 (132.26) 967025 22209.12 -19.85
STOCK
OPTIONS173.57 175.57 (1.99) 9190 243.61 -79.67
Total 22594.52 22340.72 253.80 2286450 52728.44 -38.93
Turnover on 29-Dec-2011
InstrumentNo. of
ContractsTurnover(Rs. in cr.)
Change(%)
Index Futures 797753 17495.68 21.79
Index Options 5701644 135673.85 15.40
Stock Futures 1048698 22327.69 23.72
Stock Options 168230 3680.61 23.04
Total 7716325 179177.83 17.13
Nifty Spot = 4646.25 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 4700 111.1541.25 58.75 4741.25
Buy 4600 96.8031.15 68.85 4568.85
Sell 4800 69.90 Sell 4500 65.65
Buy 4700 111.1570.05 129.95 4770.05
Buy 4600 96.8053.60 146.40 4546.40
Sell 4900 41.10 Sell 4400 43.20
Buy 4800 69.9028.80 71.20 4828.80
Buy 4500 65.6522.45 77.55 4477.55
Sell 4900 41.10 Sell 4400 43.20
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Jan. Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report | India Research
For Private Circulation Only SEBI Registration No: INB 010996539 3
Strategy Date Scrip Strategy Status
28-11-2011 RELINFRA Long Call Did not triggered
05-12-2011 TATAMOTORS Long Put Profit on Expiry
12-12-2011 NIFTY Short Strangle Book Profit
19-12-2011 NIFTY Long Call Did not triggered
26-12-2011 TATASTEEL Long Call Loss on Expiry
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