You are on page 1of 3

Derivative Report

Jan 03, 2013

Comments
The Nifty futures open interest increased by 1.75% while

Nifty Vs OI

BankNifty futures open interest is increased by 5.32% as market closed at 5993.25 levels.
The Nifty Jan. future closed at premium of 42.40 point

against a premium of 56.65 points. The Feb. series closed at a premium of 82.15 points.
The Implied Volatility of at the money options is

decreased from 12.47% to 12.45%.


Nifty PCR-OI has decreased from 1.02 to 0.99 levels. The total OI of the market is Rs.1,26,301/- cr. and the

stock futures OI are Rs.37,107 /- cr. Few of the liquid counters where we have seen high cost of carry are NHPC, ADANIPORTS, RPOWER, ASHOKLEY and DISHTV. View OI Gainers
SCRIP COLPAL SAIL UNIONBANK SYNDIBANK TATAGLOBAL OI 172500 23636000 4410000 3092000 21844000 OI CHANGE (%) 14.05 12.45 12.21 12.03 10.37 PRICE 1527.05 96.00 278.60 133.00 166.65 PRICE CHANGE (%) -1.68 3.92 -1.13 0.07 3.44 Good amount of buying was observed by FIIs in

cash market segment; they were net buyers worth of `1,108/- cr. On derivatives front they formed good amount of long buildup in both index futures and in index options in yesterdays trading session.
On options front significant amount of buildup was

seen in 6200-6400 call option followed by some unwinding in 6000 strike price which was mainly due to short covering. While in put option 6100 strike price saw maximum buildup in open interest in yesterdays trade.
CROMPGREAV has seen significant amount of short

OI Losers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)

ALBK JINDALSTEL AMBUJACEM DLF PNB

5752000 5184000 6852000 20867000 2755500

-13.01 -9.83 -8.49 -7.84 -7.72

177.70 466.15 204.25 235.20 905.50

1.08 0.47 0.98 -0.21 0.80

positions standing since last few expiries. After some short covering bounce in October series the counter has again seen decent amount of short buildup in November series at around `122-124 levels which is now acting as stiff resistance. However in yesterdays trade the stock has seen crossing this level with buildup in open interest and also with the help of long buildup seen in this counter in last few trading session we feel the stock could resume its uptrend on back of short covering. Go long with the stop loss of `117 and target of `136.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE INFY PCR-OI 0.99 0.78 0.98 0.49 0.73 PCR-VOL 0.91 0.78 0.71 0.44 0.62

Historical Volatility
SCRIP BAJAJ-AUTO SAIL BATAINDIA MARUTI SIEMENS HV 28.82 35.06 24.77 25.69 18.58

www.angelbroking.com

Derivative Report
Jan 03, 2013

FII Statistics for 02-January -2013


Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 7815.08 38234.22 31836.85 1544.47 79430.61 Change (%) 2.25 8.46 1.18 13.19 5.03

Turnover on 02-January-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1423.18 11481.29 765.08 741.50

1049.29 8933.87 924.24 767.22

373.89 2547.43 (159.16) (25.72) 2736.43

258541 1272726 969802 51061 2552130

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,15,556 22,00,295 4,51,870 2,00,490 30,68,211

6433.08 66391.76 15770.06 6797.17 95392.06

20.10 26.61 29.69 37.54 27.36

14411.06 11674.63

Nifty Spot =5993.25

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 6100 6000 6200 6100 6200 Price 102.90 55.60 102.90 26.50 55.60 26.50 29.10 70.90 6129.10 76.40 123.60 6076.40 Risk 47.30 Reward 52.70 BEP 6047.30

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 5900 6000 5800 5900 5800 Price 67.35 35.55 67.35 17.75 35.55 17.75 17.80 82.20 5882.20 49.60 150.40 5950.40 Risk 31.80 Reward 68.20 BEP 5968.20

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

Nifty Put-Call Analysis

www.angelbroking.com

Derivative Report
Jan 03, 2013

Strategy Date 31-Dec-2012

Symbol RELINFRA

Strategy Long Call Ladder

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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 reliable sources 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 this document is for general guidance only. Angel Broking Limited or any of its affiliates/ group companies shall not be in any way responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this report. Angel Broking 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. While Angel Broking Limited endeavors to update on a reasonable basis the information discussed in this material, there may be regulatory, 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. Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section). Also, please refer to the latest update on respective stocks for the disclosure status in respect of those stocks. Angel Broking Limited and its affiliates may have investment positions in the stocks recommended in this report.

Derivative Research Team


Email Id : - derivatives.desk@angelbroking.com For Private Circulation Only

SEBI Registration No: INB 010996539

www.angelbroking.com

You might also like