Derivative Report India Research March 1, 2012 S E B I R egis trati on N o: INB 010 996 539 For Private Circulation Only1 Comments The Nifty futures open interest increased by 2.25% while Minifty futures open interest in decreased by 1.15% as market closed at 5385.20 levels. The Nifty March future closed at a premium of 54.3 point against a premium of 66 points. The April series closed at a premium of 89.60 points. The Implied Volatility of at the money options is increased from 24.50% to 25.37%. T he P CR -O I has being i ncreas ed from 1.30 to 1.31 points. The total OI of the market is `1,14,959/-cr . and the stock futures OI are `31,603/-cr.Few of the liquid counters where we have seen high cost- of-car ry ar e SR E IIN FR A, JS WIS P AT, TAT ACO FE E, MTNL and ABGSHIP. Nifty Vs OI OI Gainers SCR IP OI OI CHANGE (% ) PRICE PRICE CHANGE (% ) BGRE NER GY 1345000 37.81 368.95 9.61 R OLTA 2264000 34.76 105.10 7.08 B E L 106750 28.61 1617.95 3.40 ANDHRA B ANK 1706000 28.08 130.90 8.50 TATAGLOBA L 8616000 24.01 125.55 4.02 Put-Call Ratio S CRIP P CR-OI P CR-VOL NIFT Y 1.3 1 1. 02 S BIN 0.6 5 0. 55 B ANKNIF TY 0.8 6 0. 80 R E LIA NCE 0. 51 0. 56 ICICIB ANK 1.1 3 0.81 ViewDes pite of hig h volati lity in ye st erday’s tra ding ses sion FII’s have being net buyers in cash market segment; they were net buyers worth of ` 580/ -cr. However on derivatives front they were net sellers in both index futures and in index options. On options front not much of buildup was visible in both call and put options in yesterday’s trading session and most of the buildup was quite scattered. In call option 5600 strike price have seen maximum buildup; while in put option 5000 and 5300 strike price have seen maximum buildup of open interest in yesterday’s trading session. We have seen some amount of consolidation in the counter of IDBI at around ` 110-111 in past few trading sessions. The counter is light in open interest and we have seen some short buildup in yesterday’s trading session and also the stock is finding difficult to cross its resistance level of ` 115-116. Hence we recommend to go short with the target price of ` 100 and stop loss at ` 115. Historical Volatility SCRIP HV ONGC 31.78 ANDHRABANK 65.22 UNIP HO S 54. 49 IGL 58.39 HINDPETRO 44.85 OI L osers SCR IP OI OI CHANGE (% ) PR IC E PR IC E CHANGE (% ) GMDCLTD 1018000 -17.64 205.20 -1.42 MTNL 26992000 -13.46 32.15 1.26 INDIACEM 2952000 -11. 40 100.85 5.38 P F C 3324000 -10. 21 199.05 2.39 RE CLTD 3748000 -9.03 215.70 1.08
