derivatives report 9th august 2011

8/6/2019 Derivatives Report 9th August 2011

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Derivative ReportIndia Research

Aug 09, 2011

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures’ open interest increased 4.47% whileMinifty futures’ open interest decreased by 0.60% as

market closed at 5118.50 levels.

The Nifty Aug future closed at a premium of 7.70 pointsagainst at par in the last trading session, while the Sepfutures closed at a premium of 19.40 points.

The Implied Volatility of at the money options increasedfrom 24.50% to 28.85%.

The PCR-OI increased from 0.93 to 0.96 points.

The total OI of the market is `124,480cr and the stock

futures OI is `30,753cr.

Few liquid stocks where CoC is positive are SUZLON,

MTNL, INDIAINFO, UCOBANK and PFC.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

DHANBANK 524000 291.04 89.40 -8.96

COALINDIA 1252000 37.89 392.25 -0.17

GUJFLUO RO 74500 29.57 448.75 -2.92

OIL 32500 26.21 1347.20 1.96

JETAIRWAYS 1007500 12.51 430.50 -1.57

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 0.96 1.08

RELIANC 0.32 0.36

SBIN 0.45 0.30

ICICIBANK 0.45 0.31

BANKNIFTY 0.64 0.72

View

FIIs formed some long positions in the Index futuresand covered some of their short positions in the stockfutures though they continued their cash base selling.They were net sellers of `1,386cr in the cash marketsegment in last trading session.

Global cues are negative. US markets closed downmore than 5% and SGX Nifty is suggesting openingaround 4900 levels.

Yesterday, significant unwinding was observed from5200 and above Put options and significant build upwas observed from the 4600 to 4800 Put options.Amongst call options, the 5100 and 5200 strikeadded huge open interest.

IV has increased significantly to 28.85% it meansparticipants are buying cover for their open positions.Although the IV is suggesting that the market is in

oversold zone, global cues are suggesting furthersubstantial downside quite likely.

Historical Volatility

SCRIP HV

MOSERBAER 67.04

SREINFRA 74.12

DHANBANK 58.63

TATAMOTORS 48.60

TULIP 35.33

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

TRIVENI 2382000 -10.72 30.75 1.65

CENTRALBK 4100000 -9.69 107.80 0.65

VOLTAS 3492000 -8.54 133.15 1.25

VIJAYABANK 10292000 -8.53 59.65 -0.17

ESCORTS 4700000 -7.70 84.40 -4.20



Derivative Report | India Research

For Private Circulation O nly SEBI Registration No: INB 010996539 2

FII Statistics for 08-Aug-2011

Detail Buy Sell Net

Open Interest

Contracts Value Change

(Rs. in cr.) (%)

INDEXFUTURES

4003.65 3876.66 126.99 545444 13934.87 3.41

INDEX

OPTIONS20253.47 19706.82 546.65 1684556 43111.93 10.01

STOCK

FUTURES2251.69 1720.04 531.66 1189100 29805.67 -0.81

STOCK

OPTIONS142.70 144.50 (1.80) 18377 453.47 9.38

TOTAL 26651.51 25448.01 1,203.49 3437477 87305.93 21.99

Turnover on 08-Aug-2011

Instrument

No. of

Contracts

Turnover

(Rs. in cr.)

Change

(%)

Index Futures 833424 20142.19 -6.44

Stock Futures 589774 15472.97 -4.41

Index Options 4950811 129326.81 -19.85

Stock Options 141373 3960.03 -16.43

Total 6515382 168902.00 -17.13

Nifty Spot = 5118.50 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 5200 89.7037.60 62.40 5237.60

Buy 5100 119.5033.60 66.40 5066.40

Sell 5300 52.10 Sell 5000 85.90

Buy 5200 89.7062.20 137.80 5262.20

Buy 5100 119.5058.80 141.20 5041.20Sell 5400 27.50 Sell 4900 60.70

Buy 5300 52.1024.60 75.40 5324.60

Buy 5000 85.9025.20 74.80 4974.80

Sell 5400 27.50 Sell 4900 60.70

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Aug Series) are given as an information and not as a recommendation

Nifty Put-Call Analysi



Derivative Report | India Research

For Private Circulation O nly SEBI Registration No: INB 010996539 3

Strategy Date Scrip Strategy Status

01-Aug-2011 HINDALCO Bull Call Spread Continue

08-Aug-2011 NIFTY Short Strangle Continue

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derivatives report 9th august 2011

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