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Derivative ReportIndia Research
Dec 09, 2011
SEBI Registration No: INB 010996539 For Private Circulation Only 1
Comments
The Ni fty futures’ open interest decreased by 4.89% whileMinifty futures’ open interest decreased by 7.34% as
market closed at 4943.65 levels.
The Nifty Dec. future closed at a Premium of 12.95 point
against a Premium of 23.50 points. The January Seriesclosed at a Premium of 32.35 points.
The Implied Volatility of at the money options is
increased from 24.65% to 27.16%.
The PCR-OI has decreased from 1.23 points to 1.14
points.
The total OI of the market is `1,20,982.20cr. and the
stock futures OI are `27,147.36cr. Stocks were cost of carry is positive are GITANJALI,
COREEDUTEC, UNIONBANK, ROLTA and NHPC.
Nifty Vs OI
OI Gainers
SCRIP OIOI
CHANGE(%)
PRICEPRICE
CHANGE(%)
CESC 670000 20.29 241.80 -7.23
IBREALEST 10648000 18.52 52.65 -6.81
VIPIND 3401250 10.65 103.80 -9.34
LUPIN 1117500 10.64 443.95 -1.45
ASHOKLEY 22368000 9.39 25.70 -4.28
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 1.14 1.01
SBIN 0.88 0.87
BANKNIFTY 0.83 0.70
RELIANCE 0.66 0.75
ICICIBANK 0.47 0.61
View
FII’s were net buyers in cash market segment, but thequantum of buying was quite minimal; they were netbuyers of worth ` 26/ - cr. On Derivatives front theywere net sellers in index futures indicating some longunwinding by them, while in index options they werenet buyers.
On Options front at-the-money and out-of-themoney call options of 4900-5200 strike price haveseen some buildup in open interest, while in put
options most of the strike price have seen someunwinding but amongst them 5000-5100 put optionhave seen maximum unwinding in yesterday’strading session.
There was a significant build of long position in TCSwhich resulted a good upside in recent past. We feel`1200 could act as the resistance for this stock andcan expect some more long unwinding in thiscounter. Hence we recommend to go short with thetarget price of `1110 and stop loss at ` 1201.
Historical Volatility
SCRIP HV
NATIONALUM 49.68
DHANBANK 69.80
GMRINFRA 64.29
LT 45.63
GSPL 38.87
OI Losers
SCRIP OIOI
CHANGE(%)
PRICEPRICE
CHANGE(%)
BRFL 2844000 -14.36 234.10 3.33
RCOM 21618000 -13.95 75.70 -5.73
SREINFRA 5104000 -12.60 28.30 3.47
DABUR 2174000 -12.55 97.55 1.19
INDIANB 252000 -10.95 197.95 -1.79
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FII Statistics for 08-Dec-2011
Detail Buy Sell Net
Open Interest
Contracts Value Change(Rs. in cr.) (%)
INDEXFUTURES
1687.71 2768.25 (1,080.55) 515868 12589.83 -6.35
INDEXOPTIONS
20221.05 20118.32 102.73 1887635 46656.92 1.94
STOCK
FUTURES1167.41 1480.81 (313.40) 1120596 25546.71 0.39
STOCK
OPTIONS455.95 456.62 (0.67) 30420 714.05 5.50
Total 23532.11 24824.00 (1,291.89) 3554519 85507.50 0.20
Turnover on 08-Dec-2011
InstrumentNo. of
ContractsTurnover(Rs. in cr.)
Change(%)
Index Futures 749473 17197.46 25.27
Stock Futures 500546 11548.03 1.70
Index Options 3869283 97725.73 16.98
Stock Options 155423 3677.52 22.66
Total 5274725 130148.74 16.60
Nifty Spot = 4943.65 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5000 106.6040.35 59.65 5040.35
Buy 4900 106.2032.35 67.65 4867.65
Sell 5100 66.25 Sell 4800 73.85
Buy 5000 106.6068.65 131.35 5068.65
Buy 4900 106.2054.95 145.05 4845.05
Sell 5200 37.95 Sell 4700 51.25
Buy 5100 66.2528.30 71.70 5128.30
Buy 4800 73.8522.60 77.40 4777.40
Sell 5200 37.95 Sell 4700 51.25
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Dec. Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Strategy Date Scrip Strategy Status
28-11-2011 RELINFRA Long Call Did not triggered
05-12-2011 TATAMOTORS Long Put Open
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