1 Derivatives Weekly Review R E S E A R C H & A N A L Y S I S
Your success is our success
Emkay
May 2, 2014
Client Holding above 3% in Open Interest
Company Total Holding No. of clients Remarks AuroPharma 15.37% 4 Number of clients has increased to 4 from 2, stock up by 3% week on week Karnataka Bank 12.27% 3 Number of clients has increased to 3 from 2, stock up by 4% week on week IRB Infra 15.72% 4 No change UCO Bank 21.71% 5 No change
Analysis of Overall Open Interest (OI in million contracts)
FII DII Retail Domestic Prop Long short Long short Long short Long short Index Futures 0.19 0.06 0.01 0.00 0.12 0.23 0.03 0.05 Index Call Options 0.37 0.32 0.20 0.00 0.27 0.47 0.17 0.22 Index Put Options 0.49 0.14 0.00 0.00 0.21 0.53 0.17 0.21 Stock Futures 0.39 0.83 0.01 0.11 0.73 0.20 0.15 0.13 Stock Call Options 0.01 0.01 0.00 0.00 0.12 0.09 0.02 0.06 Stock Put Options 0.01 0.00 0.00 0.00 0.04 0.05 0.03 0.03
Emkay Research May 2, 2014 2 Stock Options Highlights (OI in million shares)
Call May Put May Strike Open Interest Change in Open Interest IV Strike Open Interest Change in Open Interest IV 7000 4.08 0.26 32.89% 6400 3.49 0.96 35.07% 6800 3.22 0.23 33.29% 6200 2.62 0.47 35.68% 7500 2.12 0.14 31.47%
6500 4.10 0.39 34.72%
Open Interest week on week Comparison n RCOM implied volatility moved up by 10% from 49% to 59% Highest open interest of 462 lots is in 140 Call strike. Over 5 days, stock price decreased by 7.80%. n DLF ATM implied volatility moved up by 7% from 60% to 67% Highest open interest of 1172 lots is in 160 Call strike. Over 5 days, stock price decreased by 9.20%. Open Interest week on week comparison (OI in million shares; Value in INR billion)
02/05/2014 25/04/2014 Change Price OI Value Price OI Value Percentage Value Nifty 6694.80 13.82 92.94 6782.75 14.31 97.72 -4.89% -4.78 Bank Nifty 12842.00 1.58 20.46 13034.50 1.35 17.71 15.52% 2.75
02/05/2014 25/04/2014 Change Price OI Value Price OI Value Percentage Value Stock Futures - - 388.94 - - 393.93 -1.27% -4.99 MCDowell-N 2775.05 6.07 3.43 2814.15 6.54 18.56 -81.50% -15.13 TCS 2208.45 9.22 1.38 2085.25 4.05 8.40 -83.61% -7.02 SBIN 2048.20 16.92 5.96 2205.25 4.32 9.59 -37.90% -3.63
Top Open Interest Gainers Top Open Interest Losers
Price OI Change in Open Interest Change in Price
Price OI Change in Open Interest Change in Price IOB 60.10 10.02 89.98% 10.49% PNB 776.05 4.92 -30.99% -3.29% CROMPGREAV 164.85 1.10 54.49% -7.47% GLENMARK 630.60 0.87 -21.67% 4.09% IBREALEST 63.70 24.62 45.35% -5.73% SSLT 180.55 24.24 -16.22% -7.22%
Top Price Gainers Top Price Losers
Price Change in Price OI Change in Open Interest
Price Change in Price OI Change in Open Interest DLF 139.80 19.23% 10.27 -7.96% COAL INDIA 295.3 -15.45% 0.95 41.15% JISLJALEQS 83.05 15.12% 21.12 36.99% JSW STEEL 1090.6 -13.17% 8.76 29.57% IOB 60.10 10.49% 10.02 89.98% TCS 2208.45 -12.89% 9.22 42.71%