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Deirvatives Report 3rd Jan

Deirvatives Report 3rd Jan

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Published by Angel Broking
Angel Broking's Derivatives Report for 3rd Jan
Angel Broking's Derivatives Report for 3rd Jan

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Categories:Types, Business/Law
Published by: Angel Broking on Jan 03, 2013
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11/03/2013

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www.angelbroking.com1
Derivative Report
 
Jan 03, 2013
Comments
 
The Nifty futures open interest increased by 1.75% whileBankNifty futures open interest is increased by 5.32% asmarket closed at 5993.25 levels.
 
The Nifty Jan. future closed at premium of 42.40 pointagainst a premium of 56.65 points. The Feb. seriesclosed at a premium of 82.15 points.
 
The Implied Volatility of at the money options isdecreased 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 thestock futures OI are Rs.37,107 /- cr
.
Few of the liquid counters where we have seen high costof carry are NHPC, ADANIPORTS, RPOWER, ASHOKLEYand DISHTV.
Nifty Vs OIOI Gainers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)COLPAL
172500 14.05 1527.05 -1.68
SAIL
23636000 12.45 96.00 3.92
UNIONBANK
4410000 12.21 278.60 -1.13
SYNDIBANK
3092000 12.03 133.00 0.07
TATAGLOBAL
21844000 10.37 166.65 3.44
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 0.99 0.91BANKNIFTY 0.78 0.78SBIN 0.98 0.71RELIANCE 0.49 0.44INFY 0.73 0.62
View
 
Good amount of buying was observed by FII’s incash market segment; they were net buyers worth of
`
1,108/- cr. On derivatives front they formed goodamount of long buildup in both index futures and inindex options in yesterday’s trading session.
 
On options front significant amount of buildup wasseen in 6200-6400 call option followed by someunwinding in 6000 strike price which was mainly dueto short covering. While in put option 6100 strikeprice saw maximum buildup in open interest inyesterday’s trade.
 
CROMPGREAV has seen significant amount of shortpositions standing since last few expiries. After someshort covering bounce in October series the counterhas again seen decent amount of short buildup inNovember series at around
`
122-124 levels which isnow acting as stiff resistance. However in yesterday’strade the stock has seen crossing this level withbuildup in open interest and also with the help oflong buildup seen in this counter in last few tradingsession we feel the stock could resume its uptrend onback of short covering. Go long with the stop loss of
`
117 and target of
`
136.
Historical Volatility
SCRIP HV
BAJAJ-AUTO 28.82SAIL 35.06BATAINDIA 24.77MARUTI 25.69SIEMENS 18.58
OI Losers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)
ALBK
5752000 -13.01 177.70 1.08
JINDALSTEL
5184000 -9.83 466.15 0.47
AMBUJACEM
6852000 -8.49 204.25 0.98
DLF
20867000 -7.84 235.20 -0.21
PNB
2755500 -7.72 905.50 0.80
 
 
Derivative Report
Jan 03, 2013
www.angelbroking.com2
FII Statistics for 02-January -2013
Detail Buy Sell NetOpen InterestContractsValue Change(
`
in cr.) (%)
INDEXFUTURES1423.18 1049.29 373.89 258541 7815.08 2.25INDEXOPTIONS11481.29 8933.87 2547.43 1272726 38234.22 8.46STOCKFUTURES765.08 924.24 (159.16) 969802 31836.85 1.18STOCKOPTIONS741.50 767.22 (25.72) 51061 1544.47 13.19TOTAL 14411.06 11674.63 2736.43 2552130 79430.61 5.03
Turnover on 02-January-2013
InstrumentNo. ofContractsTurnover(
`
in cr.)Change(%)
INDEXFUTURES2,15,556 6433.08 20.10INDEXOPTIONS22,00,295 66391.76 26.61STOCKFUTURES4,51,870 15770.06 29.69STOCKOPTIONS2,00,490 6797.17 37.54TOTAL 30,68,211 95392.06 27.36
Nifty Spot =5993.25 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy6000 102.9047.30 52.70 6047.30Buy6000 67.3531.80 68.20 5968.20Sell6100 55.60Sell5900 35.55Buy6000 102.9076.40 123.60 6076.40Buy6000 67.3549.60 150.40 5950.40Sell6200 26.50Sell5800 17.75Buy6100 55.6029.10 70.90 6129.10Buy5900 35.5517.80 82.20 5882.20Sell6200 26.50Sell5800 17.75
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

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