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Derivatives Report 13 Sept 2013

Derivatives Report 13 Sept 2013

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Published by Angel Broking
13th September 2013
13th September 2013

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Categories:Types, Business/Law
Published by: Angel Broking on Sep 13, 2013
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10/08/2013

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 www.angelbroking.com1
Derivative Report
 
Sept 13, 2013
CommentsCommentsCommentsComments
 
The Nifty futures open interest decreased by 0.21% whileBankNifty futures open interest is decreased by 0.17% asmarket closed at 5850.70 levels.
 
The Nifty September future closed at premium of 9.75point against a premium of 26.50 points. The Octoberseries closed at a premium of 50.20 points.
 
The Implied Volatility of at the money options hasincreased from 28.75% to 29.20%.
 
Nifty PCR-OI has decreased from 1.33 to 1.32 levels.
 
The total OI of the market is Rs. 1,47,790/- cr. and thestock futures OI is Rs. 29,889/- cr.
 
Few of the liquid counters where we have seen high costof carry are DISHTV, PETRONET, MRF, SRTRANSFIN,RPOWER.
Nifty Vs OIOI Gainers
SCRIPSCRIPSCRIPSCRIP OIOIOIOIOIOIOIOICHANGECHANGECHANGECHANGE(%)(%)(%)(%)PRICEPRICEPRICEPRICEPRICEPRICEPRICEPRICECHANGECHANGECHANGECHANGE(%)(%)(%)(%)RPOWER RPOWER RPOWER RPOWER 37108000 14.62 67.75 -1.65TECHMTECHMTECHMTECHM 2889750 13.38 1311.35 -1.58DISHTV DISHTV DISHTV DISHTV 24284000 12.82 45.30 4.10ULTRACEMCOULTRACEMCOULTRACEMCOULTRACEMCO 1051750 12.44 1758.85 0.63BHELBHELBHELBHEL 31608000 9.13 134.90 -4.77
Put-Call Ratio
SCRIPSCRIPSCRIPSCRIP PCR PCR PCR PCR----OIOIOIOI PCR PCR PCR PCR----VOL VOL VOL VOLNIFTY 1.32 1.05BANKNIFTY 1.18 0.85SBIN 0.82 0.65RELIANCE 0.76 0.66 AXISBANK 1.12 0.72
 View View View View
 
FII's were net buyer in cash market segment, they were net buyer worth of Rs. 930/- cr. On derivativesfront some short buildup was seen in index future. Inindex options they continue adding short positions inyesterday’s trading session.
 
In options front good amount of buildup was seen in6200 call option. In put option we have hardly seenany buildup, maximum buildup was seen in 5900strike in yesterday’s trading session.
Historical Volatility 
SCRIPSCRIPSCRIPSCRIP HV HV HV HV TATACOMM 49.60SIEMENS 73.08JPASSOCIAT 119.99DISHTV 46.82MARUTI 43.46
OI Losers
SCRIPSCRIPSCRIPSCRIP OIOIOIOIOIOIOIOICHANGECHANGECHANGECHANGE(%)(%)(%)(%)PRICEPRICEPRICEPRICEPRICEPRICEPRICEPRICECHANGECHANGECHANGECHANGE(%(%(%(%))))
IDFCIDFCIDFCIDFC 21720000 -19.02 94.85 2.20CANBK CANBK CANBK CANBK 5533500 -15.51 224.65 0.42RAYMONDRAYMONDRAYMONDRAYMOND 3246000 -12.25 218.45 -4.85PFCPFCPFCPFC 6952000 -10.62 124.55 -1.80 ALBK  ALBK  ALBK  ALBK 4174000 -10.12 77.45 1.24
 
 
Derivative ReportDerivative ReportDerivative ReportDerivative Report
Sept 13, 2013
 www.angelbroking.com2
FII Statistics for 12-Sept-2013
DetailDetailDetailDetail Buy Buy Buy Buy SellSellSellSell NetNetNetNetOpen InterestOpen InterestOpen InterestOpen InterestContraContraContraContractsctsctscts Value Value Value Value ChangeChangeChangeChange((((
````
in cr.)in cr.)in cr.)in cr.) (%)(%)(%)(%)INDEX FUTURES1895.45 2239.02 (343.58) 481928 13780.89 5.09INDEX OPTIONS17669.46 18451.07 (781.62) 2370272 69097.48 3.97STOCK FUTURES2158.04 2468.30 (310.26) 1041939 28462.11 0.52STOCK OPTIONS807.37 784.26 23.11 62958 1744.07 5.76TOTAL 22530.31 23942.65 (1412.34) 3957097 113084.55 3.20
Turnover on 12-Sept-2013
InstrumentInstrumentInstrumentInstrumentNo. ofNo. ofNo. ofNo. ofContractsContractsContractsContractsTurnoverTurnoverTurnoverTurnover((((
````
in cr.)in cr.)in cr.)in cr.)ChangeChangeChangeChange(%)(%)(%)(%)INDEX FUTURES4,55,591 12915.94 -15.19INDEX OPTIONS32,12,025 93945.78 -13.82STOCK FUTURES6,98,192 17537.10 -1.55STOCK OPTIONS2,95,599 7544.01 -7.12TOTAL 46,61,407 131942.83 -12.14
Nifty Spot =5850.70 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
 Action Action Action Action StrikeStrikeStrikeStrike PricePricePricePrice RiskRiskRiskRisk RewardRewardRewardReward BEPBEPBEPBEP Action Action Action Action StrikeStrikeStrikeStrike PricePricePricePrice RiskRiskRiskRisk RewardRewardRewardReward BEPBEPBEPBEPBuy 5900 112.0542.90 57.10 5942.90Buy 5800 110.3031.10 68.90 5768.90Sell6000 69.15Sell5700 79.20Buy 5900 112.0574.10 125.90 5974.10Buy 5800 110.3055.40 144.60 5744.60Sell6100 37.95Sell5600 54.90Buy 6000 69.1531.20 68.80 6031.20Buy 5700 79.2024.30 75.70 5675.70Sell6100 37.95Sell5600 54.90
Note: Above mentioned Bullish or BearishNote: Above mentioned Bullish or BearishNote: Above mentioned Bullish or BearishNote: Above mentioned Bullish or Bearish Spreads in Nifty (Spreads in Nifty (Spreads in Nifty (Spreads in Nifty (SeptSeptSeptSept Series) areSeries) areSeries) areSeries) are given agiven agiven agiven assss an information and not as a recommendationan information and not as a recommendationan information and not as a recommendationan information and not as a recommendation....
Nifty Put-Call Analysis

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