8/3/2019 Daily Dvt 05 Dec 2011

1/2

Derivatives DailyMonday, December 05, 2011

ty Snapshot

Close Prv Cl. Ab chg % chg

Spot 5,050.15 4936.85 113.30 2.29

utures 5080.70 4963.75 116.95 2.36

I (mn) 23.91 23.50 0.41 1.74

ol (lots) 455011 449876 5135 1.1

COC 30.55 26.90 3.65 13.6

CROI 1.31 1.21 0.10 8.26

ty Futures Price v/s OI

ty Futures Price v/s Change in OI

ption IVs

Calls Puts

ike IV IV Chg IV IV Chg

00 26.1 -1.2 29.9 1.0

00 25.4 0.3 28.5 1.0

00 26.1 1.3 27.0 0.9

00 24.6 1.0 25.2 0.800 22.9 0.6 23.5 0.7

00 21.6 0.1 21.9 0.4

00 20.8 0.1 20.5 0.0

00 20.1 -0.1 19.2 -0.2

00 19.5 -0.3 18.3 0.3

00 19.3 -0.7 15.7 2.5

00 19.6 -1.0 15.8 -15.5

Market Summary:

Indian Markets has reported its best weekly gains in last 2.5 year, for the last week. The ma

rallied more than 2.00% for the second consecutive day on Friday, tracking positive global c

Bank, Power, Metal & Technology stocks were among the major gainers. Nifty futures clos

5080.70 (up 116.95 pts) adding open interest by 1.74% which currently stands at 23.91 mn

FIIs were net buyers in cash as well as Index Futures to the tune of 596.9Cr & 63

respectively.

Overseas, DOW closed flat at 12019.42 (down 0.67 pts), European markets closed in green

FTSE, CAC & DAX up 1.13%, 1.11%, 0.74% respectively.

India VIX has decreased by 4.12% to close at 23.99 touching an intra-day high of 24.90.

Open Interest in Nifty Options:

Addition in put OI at 4900, 5000, 5100 level indicates reversal of trend in the markets.5200 l

call OI build up to the tune of 5.60 mn may act as immediate resistance for the markets.

Highest OI build-up is seen at 5000 Call and 4700 strike Put, to the tune of 6.35 mn and

respectively.

Outlook on Nifty:

Markets are likely to open half a percent in red following the mix global cues. Nifty Fut is liktake support between 5030-5045 for the targets of 5150-5200 for the days to come.

Technical Pivot (Intraday):

S2 S1 Close R1 R2

Nifty 4980 5030 5080 5130 515

Bank Nifty 8910 9050 9207 9410 960

31.6

2

34.0

8

35.7

4

37.2

9

22.23

23.0

6

22.6

6

23.62

23.3

5

23.50

23.91

10

15

20

25

30

35

40

500

600

700

800

900

000

100

200

18-Nov

21-Nov

22-Nov

23-Nov

24-Nov

25-Nov

28-Nov

29-Nov

30-Nov

01-Dec

02-Dec

O

peninterestinmillions

OI Ni fty F utures

0.0

1

2.4

6

1.6

6

1.5

5

-15.0

6

0.8

3

-0.4

0

0.9

6

-0.2

7

0.1

5

0.4

1

-2.0

-1.6

-1.2

-0.8

-0.4

0.0

0.4

0.8

1.2

1.6

2.0

4,500

4,600

4,700

4,800

4,900

5,000

5,100

5,200

1

-Nov

21-Nov

2

-Nov

2

-Nov

2

-Nov

2

-Nov

2

-Nov

2

-Nov

3

-Nov

01-Dec

0

-Dec

Openinterestinmillions

OI c hg Ni fty Futur es

0.53 0.46

1.57

3.043.95

6.35 6.255.60

5.14

3.19 3.

7.76

5.34

8.98

6.37

5.165.78

4.28

1.23 1.100.45

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

8.00

9.00

10.00

4 50 0.0 0 4 60 0.0 0 4 70 0. 00 4 80 0.0 0 4 90 0. 00 5 00 0.0 0 5 10 0. 00 5 20 0. 00 5 30 0. 00 5 40 0. 00 5

Open Interest in Nifty Options (in million units) C

-0.02 -0.08

-0.66-0.55

-0.20

-0.71 -0.63

0.50

1.41

0.31 0.0.24

0.760.57

0.34

1.29

1.55 1.53

0.110.04 0.02

-1.00

-0.50

0.00

0.50

1.00

1.50

2.00

4500.00 4600.00 4700.00 4800.00 4900.00 5000.00 5100.00 5200.00 5300.00 5400.00 55

Change in Open Interest in Nifty Options (in million units)C

8/3/2019 Daily Dvt 05 Dec 2011

2/2

Derivatives DailyMonday, December 05, 2011

stitutional Activity in previous trading session

Rs cr.) Buy Sell Net

ex Futures 2415.7 1784.5 631.3

ex Options 14901.5 14126.0 775.6

ock Futures 1005.6 1399.6 -394.0

ock Options 402.7 402.4 0.4

Cash 2588.4 1991.5 596.9

Cash 838.1 945.7 -107.5

t FII Activity (in Rs cr.)

Date Idx Fut Stk Fut Idx Opt Cash

-Dec 631.3 -394.0 775.6 596.9

-Dec 1035.9 311.9 1559.5 687.3

-Nov 363.1 608.2 -200.7 34.1

-Nov 245.5 266.0 -781.0 -320.9

-Nov 531.1 529.6 910.7 -302.6

-Nov -232.3 52.0 498.6 -805.0

Disclaimer

his Document has been prepared by Nirmal Bang

esearch (A Division of Nirmal Bang Securities PVT LTD).

he information, analysis and estimates contained herein

re based on Nirmal Bang Research assessment and have

een obtained from sources believed to be reliable. This

ocument is meant for the use of the intended recipient

nly. This document, at best, represents Nirmal Bang

esearch opinion and is meant for general information

nly. Nirmal Bang Research, its directors, officers or

mployees shall not in anyway be responsible for the

ontents stated herein. Nirmal Bang Research expressly

sclaims any and all liabilities that may arise from

formation, errors or omissions in this connection. This

ocument is not to be considered as an offer to sell or a

olicitation to buy any securities. Nirmal Bang Research, its

ffiliates and their employees may from time to time hold

ositions in securities referred to herein. Nirmal Bang

esearch or its affiliates may from time to time solicit from

r perform investment banking or other services for any

ompany mentioned in this document.

Stock Ideas for today:

SBIN & Tata Steel at strikes 1900 and 420 were amongst the most active Calls whereas SB

Tata Motors at strikes 1800 and 170 were amongst most active Puts.

Technically, Sail and Petronet looks good whereas Bajaj Auto and Pantaloon look weak on

day basis.

(Price is in Rs; OI is in million units; Price chg and OI chg are in percentage)

Long build-up seen in: Short build-up seen in:

Scrip PricePrice

chgOI

OI

ChgScrip Price

Price

chgOI

ACC 1220.6 3.9 1.0 9.7 UNIPHOS 138.5 -1.6 3.6

TCS 1177.5 3.3 6.0 8.8 HEROMOTOC 2095.7 -0.01 1.3

JETAIRWAYS 262.0 2.9 1.0 8.8

Short Covering seen in: Long Unwinding seen in:

Scrip PricePrice

chgOI

OI

ChgScrip Price

Price

chgOI

IDEA 96.4 4.8 13.7 -6.5 RUCHISOYA 102.1 -0.3 27.7

TITAN 192.2 2.8 11.0 -2.5

ICICIBANK 790.1 3.1 12.3 -2.1

Technical Pivot (Intraday):

Script Name S2 S1 Pivot R1 R2

ACC 1190 1204 1220 1232 124UNIPHOS 132 135 138.5 142 14

IDEA 92 94 96.2 98 10

RUCHISOYA 99 100 102 103.5 10

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1,050

1,100

1,150

1,200

1,250

18-Nov 25-Nov 2-Dec

Openinterestinmn

FuturesPrice

OI ACC Futures

115

120

125

130

135

140

145

18 -Nov -11 25-N ov-11 2-D ec -

FuturesPrice

OI UNIPHOS Futures

0.00

5.00

10.00

15.00

20.00

88

90

92

94

96

98

100

18-N ov -11 25-N ov -11 2-D ec -11

Openinterestinmn

FuturesPrice

OI IDEA Futures

80

85

90

95

100

105

110

18-N ov -11 25-N ov -11 2-D ec -1

FuturesPrice

OI RUCHISOYA Futures