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Derivatives Report, 30th April 2013

Derivatives Report, 30th April 2013

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Published by Angel Broking
30th April, 2013
30th April, 2013

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Categories:Types, Business/Law
Published by: Angel Broking on Apr 30, 2013
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04/11/2014

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www.angelbroking.com1
Derivative Report
 
Apr 30, 2013
Comments
 
 The Nifty futures open interest increased by 2.27% whileBankNifty futures open interest is increased by 6.52% asmarket closed at 5904.10 levels.
 
 The Nifty May. future closed at premium of 14.10 pointagainst a premium of 16.30 points. The Jun series closedat a premium of 25.05 points.
 
 The Implied Volatility of at the money options hasincreased from 13.10% to 13.21%.
 
Nifty PCR-OI has remained unchanged at 1.05 levels.
 
 The total OI of the market is Rs. 1,11,564/- cr. and thestock futures OI is Rs.25,763/- cr.
 
Few of the liquid counters where we have seen high costof carry are GMRINFRA, GSPL, PUNJLLOYD, DABUR and TATACOMM.
Nifty Vs OIOI Gainers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)UNIONBANK 
2967000 21.50 245.60 4.43
INDALSTEL
8641000 19.37 301.30 -4.59
IOB
7272000 18.59 63.60 -5.21
HINDUNILVR
7092500 17.02 497.35 6.96
APOLLOTYRE
4192000 16.83 95.15 4.25
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 1.05 1.11BANKNIFTY 1.34 1.14INFY 0.44 0.39RELIANCE 0.48 0.45SBIN 0.61 0.68
View
 
FII’s have being buying continuously in cash marketsegment; in yesterday’s trade also they were netbuyers worth of Rs.620/- cr. On derivatives front notmuch of activity was observed by them in indexfutures, however good amount of short buildup wasseen by them in index options and stock futures inyesterday’s trade.
 
On options front the activity in call option has beingseen in 6100 strike price where some buildup wasobserved, while in put option 5700 and 5900 strikessaw maximum buildup in open interest in yesterday’strading session.
 
HINDUNILVR has seen significant amount of longbuildup in yesterday’s trade post its positive result. The counter has good amount of short positions therein this stock which is still intact. Hence we feel thestock could see some short covering bounce fromcurrent level which could take the counter to aroundRs.532. Go long with the stop loss of Rs.484.
Historical Volatility
SCRIP HV
HINDUNILVR 41.20IOB 40.63SIEMENS 55.65INDHOTEL 35.89APOLLOTYRE 42.58
OI Losers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)
SUNTV
1839000 -8.55 422.95 0.46
EXIDEIND
2136000 -8.40 134.95 -3.79
LICHSGFIN
10625000 -7.38 252.10 1.57
HEROMOTOCO
1441000 -7.27 1648.80 3.36
INDIACEM
3380000 -4.41 83.05 1.83
 
 
Derivative Repor
Apr 30, 2013
www.angelbroking.com2
FII Statistics for 29-April-2013
Detail Buy Sell NetOpen InterestContractsValue Change(
`
in cr.) (%)
 
INDEXFUTURES870.31 862.88 7.44 340618 10137.71 3.13INDEXOPTIONS5537.17 5852.54 (315.37) 1418161 41906.83 2.73STOCK FUTURES1345.32 1733.24 (387.91) 836515 23255.08 2.07STOCK OPTIONS733.95 754.29 (20.34) 48971 1356.99 26.66 TOTAL 8486.76 9202.95 (716.19) 2644265 76656.62 2.93
 Turnover on 29-April-2013
InstrumentNo. of Contracts Turnover(
`
in cr.)Change(%)
INDEXFUTURES1,79,278 5394.48 -27.22INDEXOPTIONS14,96,477 50295.34 0.00STOCK FUTURES4,50,958 12781.38 -19.45STOCK OPTIONS2,29,715 6601.80 -22.65 TOTAL 23,56,428 82109.86 0.00
Nifty Spot =5904.10 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy5900 98.9044.65 55.35 5944.65Buy5900 82.2534.35 65.65 5865.65Sell6000 54.25Sell5800 47.90Buy5900 98.9073.05 126.95 5973.05Buy5900 82.2555.50 144.50 5844.50Sell6100 25.85Sell5700 26.75Buy6000 54.2528.40 71.60 6028.40Buy5800 47.9021.15 78.85 5778.85Sell6100 25.85Sell5700 26.75
Note: Above mentioned Bullish or Bearish Spreads in Nifty (May. Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis

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