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Derivative ReportIndia Research

Feb 15, 2012

SEBI Registration No: INB 010996539 For Private Circulation Only  1

 

Comments

  The Nifty futures open interest decreased by 0.23% whileMinifty futures open interest increased by 4.57% as

market closed at 5416.05 levels.

  The Nifty Feb. future closed at a Premium of 24.30 point

against a Premium of 27.80points. The March seriesclosed at a Premium of 56.55 points.

  The Implied Volatility of at the money options is

decreased from 19.60% to 18.90%.

  The PCR-OI has being increased from 1.42 to 1.47

points.

  The total OI of the market is `1,40,985/-cr. and the

stock futures OI are `34,582/-cr.   Few of the liquid counters where we have seen high cost-

of-carry are ABGSHIP, HINDOILEXP, TTML, GVKPIL andVIDEOIND.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

VOLTAS 4618000 51.71 94.60 -3.12

SOUTHBANK 13150000 50.11 27.55 5.56

HAVELL 907000 29.57 507.65 4.41

MCDOWELL-N 1897750 28.16 675.85 3.98

INDIAINFO 3044000 27.68 71.35 4.85

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.47 1.07

BANKNIFTY 1.85 1.34

SBIN 1.03 0.73

RELIANCE 0.95 0.55

ICICIBANK 0.84 0.70

View 

  Good amount of buying was visible by FII’s inyesterday’s trading session; they were net buyersworth of ` 1030/ - cr. On Derivatives front they werenet buyers in index futures, while in index optionsthey were net sellers.

  On Options front not much of buildup was seen incall option, however some unwinding was seen in5400 strike price, while in put option 5400 strikeprice have seen maximum buildup of open interest in

yesterday’s trading session.  The counter of JPASSOCIAT has seen good amount

of buildup in open interest in yesterday’s tradingsession. The stock has also seen good amount ofaccumulation in the past few trading session andhave given closing above its resistance of ` 78-79.Hence we recommend to go long on this stock withthe target price of `86 and stop loss at ` 76.

Historical Volatility

SCRIP HV

LITL 96.17

CIPLA 39.22

TATACOMM 47.57

AREVAT&D 52.25

ANDHRABANK 51.65

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

HOTELEELA 2024000 -13.95 35.95 -2.18

JINDALSAW 1566000 -10.21 154.55 0.82

ARVIND 4020000 -7.63 101.45 -1.60

MRPL 2000000 -7.06 72.40 -0.34

HEROMOTOCO 1839500 -5.66 2081.80 3.43

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FII Statistics for 14-Feb-2012

Detail Buy Sell Net

Open Interest

Contracts Value Change(Rs. in cr.) (%)

INDEXFUTURES

1548.89 1357.96 190.93 561833 15219.19 -0.91

INDEXOPTIONS

13483.42 13836.83 (353.41) 1563328 42324.29 -0.79

STOCK

FUTURES2451.84 2896.73 (444.89) 1067130 31318.80 1.17

STOCK

OPTIONS793.78 828.71 (34.94) 62499 1811.96 5.33

Total 18277.93 18920.23 (642.30) 3254790 90674.25 -0.07

Turnover on 14-Feb-2012 

InstrumentNo. of

ContractsTurnover(Rs. in cr.)

Change(%)

INDEX

FUTURES361700 9305.68 -13.91

INDEX

OPTIONS2562352 69163.42 -11.32

STOCKFUTURES

616051 18496.96 4.06

STOCKOPTIONS

204080 6289.06 -10.13

Total 3744183 103255.13 -9.08

Nifty Spot = 5416.05 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 5400 82.6547.70 52.30 5447.70

Buy 5400 47.0026.60 73.40 5373.40

Sell 5500 34.95 Sell 5300 20.40

Buy 5400 82.6571.95 128.05 5471.95

Buy 5400 47.0038.50 161.50 5361.50

Sell 5600 10.70 Sell 5200 8.50

Buy 5500 34.9524.25 75.75 5524.25

Buy 5300 20.4011.90 88.10 5288.10

Sell 5600 10.70 Sell 5200 8.50

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

30-01-2012 NIFTY Long Call Ladder Open

06-02-2012 SBIN Short Strangle Open

13-02-2012 ICICIBANK Ratio Call Spread Open

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Email Id : - derivatives.desk@angelbroking.com