Derivatives Report 31st October 2011

8/3/2019 Derivatives Report 31st October 2011

http://slidepdf.com/reader/full/derivatives-report-31st-october-2011 1/3

Derivative ReportIndia Research

Oct 31, 2011

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures’ open interest increased by 3.97% whileMinifty futures’ open interest decreased by 11.14% as

market closed at 5360.70 levels.

The Nifty Nov. future closed at a Premium of 24.80 pointagainst a Premium of 30.25 points. The December Series

closed at a Premium of 47.80 points.

The Implied Volatility of at the money options is

decreased from 21.05% to 19.05%.

The PCR-OI is decreased from 1.56 to 1.41 points.

The total OI of the market is ` 1,09,626.90cr. and the

stock futures OI are `31,414.72cr. Stocks were cost of carry is positive are KSOILS, GVKPIL,

LITL, SOUTHBANK and TULIP.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

SUNTV 1332500 36.46 253.75 0.34

BFUTILITIE 440000 34.56 486.05 6.18

AREVAT&D 1517000 30.55 218.35 -2.11

BHUSANSTL 511500 24.15 342.35 5.11

GESHIP 394000 22.74 237.25 0.87

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.41 1.18

SBIN 0.40 0.34

INFY 0.91 0.81

RELIANCE 0.86 0.81

LT 0.92 0.65

View

FII’s have bought in cash markets segment they werenet buyers of worth ` 2166/- cr in Friday’s trade. OnDerivatives front they were net buyers in index futureand open interest went up by 2.5%, while in indexoptions also they were net buyers.

On Options front some buildup was seen in Nifty5500-5700 call options, while in put options 5200-5400 strike prices have seen the maximum buildup.We believe it’s more of buying of options as impliedvolatility is very low.

Some of the liquid counters which addedconsiderable open interest in Friday’s trade areLUPIN, MARUTI, INDHOTEL, JETAIRWAYS andBALRAMCHIN .

Historical Volatility

SCRIP HV

NHPC 31.62

OPTOCIRCUI 79.17

GMRINFRA 52.47

HINDALCO 70.09

DRREDDY 32.17

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

IRB 2988000 -28.92 169.25 4.19

EXIDEIND 2752000 -18.72 119.85 6.63

TECHM 375500 -11.96 587.50 3.78

PRAJIND 3372000 -11.08 84.95 4.49

HINDALCO 25550000 -9.19 142.30 10.96



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 28-Oct-2011

Detail Buy Sell Net

Open Interest

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

INDEXFUTURES

3367.88 2149.47 1,218.42 582122 15540.22 2.29

INDEXOPTIONS

11327.71 9779.19 1,548.52 1350340 36198.01 11.75

STOCK

FUTURES2483.83 2010.95 472.88 1118158 28226.85 0.47

STOCK

OPTIONS317.38 306.04 11.34 16018 416.43 123.78

Total 17496.80 14245.64 3,251.16 3066638 80381.52 5.84

Turnover on 28-Oct-2011

InstrumentNo. of

ContractsTurnover(Rs. in cr.)

Change(%)

Index Futures 475618 11991.20 343.50

Stock Futures 523543 13169.93 411.79

Index Options 2525421 66880.19 345.54

Stock Options 112310 2896.89 544.91

Total 3636892 94938.21 357.82

Nifty Spot = 5360.70 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 5400 100.1542.95 57.05 5442.95

Buy 5300 76.3527.35 72.65 5272.65

Sell 5500 57.20 Sell 5200 49.00

Buy 5400 100.1571.05 128.95 5471.05

Buy 5300 76.3544.90 155.10 5255.10

Sell 5600 29.10 Sell 5100 31.45

Buy 5500 57.2028.10 71.90 5528.10

Buy 5200 49.0017.55 82.45 5182.45

Sell 5600 29.10 Sell 5100 31.45

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

Nifty Put-Call Analysis



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 3

Strategy Date Scrip Strategy Status

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, nor

make 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' report on the Angel website (Research Section).

Derivative Research Team

Email Id : - [email protected]

Documents

Derivatives Report 31st October 2011