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Derivatives Report 17 Aug 2012

Derivatives Report 17 Aug 2012

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Published by Angel Broking

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Published by: Angel Broking on Aug 17, 2012
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08/17/2012

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www.angelbroking.com1
Derivative Report
 
Aug 17, 2012
Comments
 
The Nifty futures open interest decreased by 0.22% whileBankNifty futures open interest is decreased by 1.12% asmarket closed at 5362.95 levels.
 
The Nifty Aug. future closed at premium of 19.05 pointagainst premium of 26.50 points. The Sept. series closedat a premium of 46.60 points.
 
The Implied Volatility of at the money options isincreased from 12.60% to 13.25%.
 
Nifty PCR-OI decreased from 1.21 to 1.18 levels.
 
The total OI of the market is
`
1,44,784/- cr. and thestock futures OI are
`
31,654/- cr
.
 
 
Few of the liquid counters where we have seen highCost-of-Carry are ALOKTEXT, MTNL, COREEDUTEC,RUCHISOYA and VIDEOIND.
 
Nifty Vs OIOI Gainers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)LUPIN
1443000 35.18 556.05 -3.45
ABIRLANUVO
805250 16.37 804.55 3.94
OPTOCIRCUI
4722000 12.48 143.65 -3.10
TECHM
692000 10.63 845.45 3.43
MRF
92375 10.13 10850.30 1.19
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 1.18 1.06BANKNIFTY 0.83 0.94SBIN 0.36 0.41ICICIBANK 0.81 0.46BHARTIARTL 0.21 0.18
View
 
FII’s were net buyers in cash market segment; theywere net buyer’s worth of
`
95/- cr. only. Onderivatives front they were net sellers in index futureshowever the quantum of selling was quite minimal,while in index options also they were net sellers inyesterday’s trade.
 
On options front 5600 call option has seen goodamount of buildup in open interest , while in putoption not much of buildup was observed howeversome unwinding was seen in 5000 strike price inyesterday’s trading session.
 
The recent bounce in INFY was mainly due to shortcovering and the counter has not seen much of thelong positions getting buildup at lower levels. Thecash market volume in this stock for last 3-4 tradingsession has also being quite low indicating lack ofconviction in the recent upside move. We feel thecounter could see some selling pressure at higherlevel which could take the stock to around
`
2220. Goshort with the stop loss of
`
2365
Historical Volatility
SCRIP HV
JISLJALEQS 63.04ITC 28.79ABIRLANUVO 30.79UNIPHOS 27.98DABUR 29.50
OI Losers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)
JETAIRWAYS
1845000 -16.10 380.25 -4.03
RANBAXY
2054500 -10.96 512.10 1.80
APOLLOTYRE
7960000 -10.28 89.15 1.48
VOLTAS
1870000 -9.92 111.75 0.13
INDIANB
170000 -8.60 174.00 0.26
 
 
Derivative Report
Aug 17, 2012
 
www.angelbroking.com2
FII Statistics for 16-August-2012
Detail Buy Sell NetOpen InterestContractsValue Change(
`
in cr.) (%)
INDEXFUTURES758.60 772.75 (14.15) 648277 16753.62 0.59INDEXOPTIONS9506.35 9981.58 (475.24) 1762404 47218.31 1.66STOCKFUTURES1009.30 1350.45 (341.15) 934202 25312.30 (0.12)STOCKOPTIONS993.39 1048.83 (55.44) 83886 2301.38 2.72TOTAL 12267.64 13153.61 (885.97) 3428769 91585.62 0.99
Turnover on 16-August-2012
InstrumentNo. ofContractsTurnover(
`
in cr.)Change(%)
INDEXFUTURES2,49,873 6380.92 -26.03INDEXOPTIONS23,03,937 61917.71 -22.79STOCKFUTURES4,08,926 11596.64 -7.59STOCKOPTIONS2,16,823 6310.97 -16.68TOTAL 31,79,559 86206.24 -20.87
Nifty Spot =5362.95 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy5400 45.1031.15 68.85 5431.15Buy5400 62.8537.30 62.70 5362.70Sell5500 13.95Sell5300 25.55Buy5400 45.1042.00 158.00 5442.00Buy5400 62.8552.65 147.35 5347.35Sell5600 3.10Sell5200 10.20Buy5500 13.9510.85 89.15 5510.85Buy5300 25.5515.35 84.65 5284.65Sell5600 3.10Sell5200 10.20
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Aug. Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis

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