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Derivatives Report, 02 May 2013

Derivatives Report, 02 May 2013

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Published by Angel Broking
2nd May, 2013
2nd May, 2013

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Categories:Types, Business/Law
Published by: Angel Broking on May 02, 2013
Copyright:Attribution Non-commercial

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04/06/2014

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www.angelbroking.com1
Derivative Report
 
May 02, 2013
Comments
 
 The Nifty futures open interest increased by 2.40% whileBankNifty futures open interest is decreased by 1.39% asmarket closed at 5930.20 levels.
 
 The Nifty May future closed at discount of 1.20 pointagainst a premium of 14.10 points. The June seriesclosed at a premium of 8.55 points.
 
 The Implied Volatility of at the money options hasincreased from 13.21% to 13.72%.
 
Nifty PCR-OI has increased from 1.05 to 1.08 levels.
 
 The total OI of the market is Rs. 1,16,438/- cr. and thestock futures OI is Rs.25,912/- cr.
 
Few of the liquid counters where we have seen high costof carry are INDHOTEL, TATACHEM, GSPL, ASHOKLEYand COLPAL.
Nifty Vs OIOI Gainers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)DABUR
1704000 28.90 147.80 0.51
CESC
762000 23.70 285.80 -2.79
COLPAL
163750 16.96 1471.45 5.79
HINDUNILVR
8005000 12.87 583.80 17.27
TATACHEM
1051000 10.86 323.85 1.16
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 1.08 1.28BANKNIFTY 1.46 1.29INFY 0.42 0.44HINDUNILVR 1.31 0.98RELIANCE 0.45 0.41
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FII’s continue to buy in cash market segment; theywere net buyers worth of Rs.877/- cr. On derivativesfront not much of activity was observed by them inindex futures, however significant amount of longbuildup was seen in index options in Tuesday’strading session.
 
On options front 5700-5800 put option has seengood amount of buildup in open interest and withIV’s going up majority of this buildup could be on thelonger side, while in call option 6200 strike has seenmaximum buildup in open interest in Tuesday’strade.
 
Recent bounce in HINDALCO was mainly due toshort covering. The stock in last few trading sessionshas seen some short buildup and also at around
`
100 the counter could face resistance as 100 calloption has highest buildup in open interest and withIV’s of call option going down majority of this buildupcould be on the shorter side. Hence we recommendto go short at around
`
98-99 levels with the stop lossof 
`
101.50 and target of 
`
93.
Historical Volatility
SCRIP HV
HINDUNILVR 84.97COLPAL 35.34BATAINDIA 42.95MCDOWELL-N 53.02SRTRANSFIN 49.06
OI Losers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)
SRTRANSFIN
1581500 -13.77 745.45 5.17
IBREALEST
14580000 -10.95 74.45 -1.09
WIPRO
1755500 -9.72 348.35 1.56
HCLTECH
2747000 -8.57 721.40 2.57
HDFCBANK
8555500 -8.14 682.30 -2.32
 
 
Derivative Report
May 02, 2013
www.angelbroking.com2
FII Statistics for 30-April-2013
Detail Buy Sell NetOpen InterestContractsValue Change(
`
in cr.) (%)
INDEXFUTURES1590.20 1617.82 (27.62) 354564 10563.99 4.09INDEXOPTIONS13396.42 12320.71 1075.71 1496552 44427.33 5.53STOCK FUTURES2262.81 2461.38 (198.57) 850749 23748.67 1.70STOCK OPTIONS1188.36 1271.48 (83.12) 61778 1723.87 26.15 TOTAL 18437.78 17671.37 766.40 2763643 80463.85 4.51
Turnover on 30-April-2013
InstrumentNo. ofContractsTurnover(
`
in cr.)Change(%)
INDEXFUTURES3,17,925 9543.01 76.90INDEXOPTIONS27,87,791 82716.52 86.38STOCK FUTURES5,97,204 17266.10 35.09STOCK OPTIONS3,00,101 8852.31 34.09 TOTAL 40,03,021 118377.94 71.17
Nifty Spot =5930.20 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy5900 106.3547.90 52.10 5947.90Buy5900 82.1532.90 67.10 5867.10Sell6000 58.45Sell5800 49.25Buy5900 106.3578.20 121.80 5978.20Buy5900 82.1553.25 146.75 5846.75Sell6100 28.15Sell5700 28.90Buy6000 58.4530.30 69.70 6030.30Buy5800 49.2520.35 79.65 5779.65Sell6100 28.15Sell5700 28.90
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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