Derivatives Report 12 Jul 2012

7/31/2019 Derivatives Report 12 Jul 2012

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Derivative ReportJuly 12, 2012

Comments

The Nifty futures open interest decreased by 1.02% whileBankNifty futures open interest is decreased by 0.42% as

market closed at 5306.30 levels.

The Nifty July future closed at premium of 16.60 pointagainst premium of 12.80 points. The August seriesclosed at a premium of 42.35 points.

The Implied Volatility of at the money options isincreased from 15.50% to 16.20%.

Nifty PCR-OI has decreased from 1.21 to 1.20 levels. The total OI of the market is `1,32,275/-cr. and the

stock futures OI are `32,035/ -cr. Few of the liquid counters where we have seen high

Cost-of-Carry are ALOKTEXT, MTNL, VIDEOIND, WIPROand ONMO BILE.

Ni fty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

FEDERALBNK 474000 28.28 438.00 -1.28

WIPRO 4223500 26.26 376.90 -2.65

GESHIP 177000 25.53 265.45 3.14

KTKBANK 7204000 20.39 101.05 2.01

MPHASIS 307500 19.19 384.75 -0.29

Put-Call Ratio

SCRIP PCR-O I PCR-VOL

NIFTY 1.20 1.12

INFY 1.01 0.83

BANKNIFTY 1.07 1.15

SBIN 0.66 0.51

RELIANCE 0.41 0.32

View

There was muted performance by FIIs in cash marketsegment; they were net buyers of ` 84/-cr. only inyesterdays trading session. On derivatives front theywere net sellers in index futures, while in indexoptions they continue to be net buyers, however inopen interest front the activity was quite flat.

On options front not much of buildup was observedin both call and put option except 5100 put optionwhich have seen maximum buildup in yesterdaystrading session. However decent unwinding was seenin 4900 and 5300 put option.

The recent bounce back in the counter ofTATAMOTORS was mainly due to short covering. Thestock has decent short positions and also on calloptions front the 240-260 strike price continues toadd significant amount of buildup and its much ofthe short buildup as the IV is quite low. Hence thestock could see some selling pressure at higher levelswhich could take the counter to around ` 225. Goshort with the stop loss of ` 246.

Historical Volatility

SCRIP HV

WIPRO 24.63

NMDC 38.66

CUMMINSIND 34.41

GESHIP 34.27

RELIANCE 24.72

OI Losers

SCRIP OIO I

CHANGE

(%)

PRICEPRICE

CHANGE

(%)

FINANTECH 1376500 -15.63 776.40 3.07

JETAIRWAY 2610000 -8.10 380.15 -1.45

TVSMO TOR 8400000 -7.49 41.15 3.27

SYNDIBANK 936000 -6.02 106.10 -3.85

STRTECH 5928000 -5.61 36.40 -0.55


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FII Statistics for 11-July-2 012

Detail Buy Sell Net

Open Interest

Contracts Value Change( in cr.) (%)

INDEXFUTURES

990.61 1141.13 (150.52) 561173 14408.16 0.49

INDEXOPTIONS

8346.35 8019.97 326.38 1614001 42826.17 0.39

STOCKFUTURES

892.65 1314.82 (422.17) 965208 26208.86 1.28

STOCK

OPTIONS1282.75 1388.91 (106.16) 57986 1699.88 29.75

TOTAL 11512.36 11864.83 (352.46) 3198368 85143.07 1.09

Turno ver on 11-July-2012

InstrumentNo. of

Contracts

Turnover

(` in cr.)

Change

(%)

INDEX

FUTURES2,96,135 7461.80 -25.66

INDEX

OPTIONS22,53,406 59991.72 -17.87

STOCKFUTURES

4,12,437 11699.07 -5.89

STOCKOPTIONS

2,77,020 8473.02 73.68

TOTAL 32,38,998 87625.60 -12.72

Nifty Spot = 5306.30 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 5300 80.8544.35 55.65 5344.35

Buy 5300 58.2531.20 68.80 5268.80

Sell 5400 36.50 Sell 5200 27.05

Buy 5300 80.8568.15 131.85 5368.15

Buy 5300 58.2546.60 153.40 5253.40

Sell 5500 12.70 Sell 5100 11.65

Buy 5400 36.5023.80 76.20 5423.80

Buy 5200 27.0515.40 84.60 5184.60

Sell 5500 12.70 Sell 5100 11.65

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

Nifty Put-Call Analysis


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Strategy Date Symbol Strategy Status

02-July-2012 INFY Long Strangle Profit booked on 11-July-2012

02-July-2012 NIFTY Long Call Open

09-July-2012 ICICIBANK Long Call Ladder Open

Derivat ive Research Team

Email Id : - [email protected]

For Private Circulation Only

SEBI Registration No: INB 010996539

Research Team Tel: 022 - 39357800 E-mai l: [email protected] Website: www.angelbroking.com

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Derivatives Report 12 Jul 2012