-
8/2/2019 Derivatives Report 27th March 2012
1/3
Derivative ReportIndia Research
March 27, 2012
SEBI Registration No: INB 010996539 For Private Circulation Only
1
Comments
The Nifty futures open interest increased by 1.81% whileMinifty
futures open interest in increased by 5.74% as
market closed at 5184.25 levels.
The Nifty March future closed at a premium of 7.05 pointagainst
a premium of 7.15 points. The April series closedat a premium of
51.15 points.
The Implied Volatility of at the money options isincreased from
22.75% to 27.52%.
The PCR-OI has being decreased from 1.09 to 1.03points.
The total OI of the market is `1,49,551/-cr. and thestock
futures OI are `31,972/-cr.
Few of the liquid counters where we have seen high cost-of-carry
are JSWISPAT, ALOKTEXT, JPPOWER, VOLTASand ASIANPAINT.
Nifty Vs OI
OI Gainers
SCRIP OIOI
CHANGE(%)
PRICEPRICE
CHANGE(%)
TITAN 8062000 25.97 228.85 -1.46
OIL 163750 20.63 1256.30 1.32
TTKPRESTIG 91875 17.98 2926.65 -5.42
UNITECH 47840000 14.98 28.30 -4.87
PATNI 440000 14.88 505.40 -1.23
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 1.03 0.99
SBIN 0.41 0.57
BANKNIFTY 0.58 0.71
RELIANCE 0.33 0.40
ICICIBANK 0.62 0.61
View
FIIs were net sellers in cash market segment; theywere net
sellers worth of ` 135/- cr. in yesterdaystrading session. On
derivatives front they were netsellers in index futures indicating
some shorts buildupby them, while in index options they were net
buyers.
On options front 5200 and 5300 call option haveseen good amount
of buildup in open interest, whilein put option 5200 and 5300
strike price have seen
significant amount of unwinding and 5100 putoption have seen
decent buildup in open interest inyesterdays trading session.
The recent correction in the counter of JISLJALEQSwas mainly due
to long unwinding and we have notseen much of the shorts getting
buildup into thisstock. However some amount of long positions
hasbeing seen into this counter at higher levels and alsothe stock
has decent support at around ` 95. Hencewe recommend to go long on
this counter with thetarget price of `105 and stop loss at `
93.
Historical Volatility
SCRIP HV
OPTOCIRCUI 51.63
CIPLA 33.66
BRFL 40.49
TVSMOTOR 49.46
NTPC 36.31
OI Losers
SCRIP OIOI
CHANGE(%)
PRICEPRICE
CHANGE(%)
JETAIRWAY 1113000 -10.75 329.85 -1.76
DISHTV 15960000 -10.40 59.50 2.50
WIPRO 3526000 -9.03 423.10 -0.51
ALSTOMT&D 167000 -8.74 197.50 2.84
SUNTV 685000 -8.67 305.05 -2.85
-
8/2/2019 Derivatives Report 27th March 2012
2/3
Derivative Report | India Research
For Private Circulation Only SEBI Registration No: INB 010996539
2
FII Statistics for 26-March-2012
Detail Buy Sell Net
Open Interest
Contracts Value Change(Rs. in cr.) (%)
INDEXFUTURES
3101.51 4536.10 (1,434.58) 678381 17560.70 6.90
INDEXOPTIONS
22681.73 22047.65 634.08 2067006 53575.64 4.22
STOCK
FUTURES5129.10 5288.84 (159.74) 1080190 30181.69 0.92
STOCK
OPTIONS610.19 602.55 7.64 52619 1443.85 -3.73
TOTAL 31522.54 32475.13 (952.59) 3878196 102761.88 3.61
Turnover on 26-March-2012
InstrumentNo. of
ContractsTurnover(Rs. in cr.)
Change(%)
INDEX
FUTURES738109 18286.42 1.63
INDEX
OPTIONS5021341 132702.67 4.58
STOCKFUTURES
764293 21347.61 7.77
STOCKOPTIONS
151062 4259.41 -17.03
TOTAL 6674805 176596.11 3.98
Nifty Spot = 5184.25 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk
Reward BEP
Buy 5200 52.2034.05 65.95 5234.05
Buy 5200 62.2034.20 65.80 5165.80
Sell 5300 18.15 Sell 5100 28.00
Buy 5200 52.2046.80 153.20 5246.80
Buy 5200 62.2049.95 150.05 5150.05
Sell 5400 5.40 Sell 5000 12.25
Buy 5300 18.1512.75 87.25 5312.75
Buy 5100 28.0015.75 84.25 5084.25
Sell 5400 5.40 Sell 5000 12.25
Note: Above mentioned Bullish or Bearish Spreads in Nifty
(March. Series) are given as an information and not as a
recommendation.
Nifty Put-Call Analysis
-
8/2/2019 Derivatives Report 27th March 2012
3/3
Derivative Report | India Research
For Private Circulation Only SEBI Registration No: INB 010996539
3
Strategy Date Scrip Strategy Status
27-02-2012 NIFTY Ratio Bull Call Spread Open
05-03-2012 HINDALCO Long Put Ladder Book Profit
12-03-2012 DLF Covered Call Open
19-03-2012 M&M Long Call Ladder Open
26-03-2012 TATAMOTORS Ratio Put Spread Open
DISCLAIMER
This document is solely for the personal information of the
recipient, and must not be singularly used as the basis of any
investment
decision. Nothing in this document should be construed as
investment or financial advice. Each recipient of this document
should
make such investigations as they deem necessary to arrive at an
independent evaluation of an investment in the securities of
the
companies referred to in this document (including the merits and
risks involved), and should consult their own advisors to
determine
the merits and risks of such an investment.
Angel Broking Limited, its affiliates, directors, its
proprietary trading and investment businesses may, from time to
time, make
investment decisions that are inconsistent with or contradictory
to the recommendations expressed herein. The views contained in
this
document are those of the analyst, and the company may or may
not subscribe to all the views expressed within.
Reports based on technical and derivative analysis center on
studying charts of a stock's price movement, outstanding positions
and
trading volume, as opposed to focusing on a company's
fundamentals and, as such, may not match with a report on a
company's
fundamentals.
The information in this document has been printed on the basis
of publicly available information, internal data and other
reliablesources believed to be true, but we do not represent that
it is accurate or complete and it should not be relied on as such,
as thisdocument is for general guidance only. Angel Broking or any
of its affili ates/ group companies shall not be in any way
responsiblefor any loss or damage that may arise to any person from
any inadvertent error in the information contained in this report .
AngelBroking Limited has not independently verified all the
information contained within this document. Accordingly, we cannot
testify, normake any representation or warranty, express or
implied, to the accuracy, contents or data contained within this
document. WhileAngel Broking Limited endeavours to update on a
reasonable basis the information discussed in this material, there
may beregulatory, compliance, or other reasons that prevent us from
doing so.
This document is being supplied to you solely for your
information, and its contents, information or data may not be
reproduced,
redistributed or passed on, directly or indirectly.
Angel Broking Limited and its affiliates may seek to provide or
have engaged in providing corporate finance, investment banking
or
other advisory services in a merger or specific transaction to
the companies referred to in this report, as on the date of this
report or
in the past.
Neither Angel Broking Limited, nor its directors, employees or
affiliates shall be liable for any loss or damage that may arise
from or
in connection with the use of this information.
No te: Please refer to the im portant ` Stock Holdi ng
Disclosure' repor t on the Angel w ebsite (Research Section).
Derivative Research Team
Email Id : - [email protected]
