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Derivative Strategies 11112009

Derivative Strategies 11112009

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Published by: richard8887 on Dec 09, 2009
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DERIVATIVE STRATEGIES
11 Nov 2009
INDEX FUTURES – INDIA
 
Symbol%Change inOpen Interest% Change inPrice
Nifty -5.34 -0.58Bank Nifty 7.47 0.16Cnx IT -9.92 -1.12
BASIS IN FUTURESSymbol Spot PriceFuturesPriceBasis
Nifty 4881.7 4874.7 -7Bank Nifty 9179.5 9138.3 -41Cnx IT 5064.9 5066.4 2
NIFTY - OPTIONS INDICATORS
 
Implied VolatilityDatePC Ratio(OI)Call Put
04 Nov 1.04 27.5 28.4605 Nov 1.15 27.45 28.0706 Nov 1.19 26.74 27.7309 Nov 1.49 25.81 26.6410 Nov 1.33 26.94 27.95
ACTIVE INDEX CALL OPTIONS
 
StrikePriceExpiry DateClosingPrice% Changein OpenInterest
4900 26 Nov 09 98.00 36.68%5000 26 Nov 09 56.50 22.31%5100 26 Nov 09 30.00 14.48%5200 26 Nov 09 14.80 4.29%4800 26 Nov 09 154.25 4.97%5300 26 Nov 09 6.70 -0.65%
ACTIVE INDEX PUT OPTIONSStrikePriceExpiry DateClosingPrice% Changein OpenInterest
4800 26 Nov 09 84.40 -14.45%4900 26 Nov 09 125.95 2.66%4700 26 Nov 09 56.95 0.93%4600 26 Nov 09 37.70 -3.50%4500 26 Nov 09 24.85 -3.27%4400 26 Nov 09 16.75 -0.57%
Devarajan. SJanet Alice Rani
 F&O MARKET – SNAPSHOTS
The market opened on a firm note on higher Asian stocks and overnight solid rally inUS stocks. Finally markets ended volatile session on a flat note as gains in metalsand were offset by realty stocks. On the F&O front, the open interest of NIFTYNovember futures declined by 5.34% coupled negative cost of carry suggesting longpositions closed at higher levels. The PC RATIO is declined to 1.33 from 1.49indicating upside sustainable movement can be expected from current levels. TheNIFTY call and put options suggests that the index may not hold 4,900 levels in thecoming days and may slip below 4,800. Index futures saw a trading volume ofRs.16991.35 crores arising out of 718367 contracts and Index option saw 1634370contracts getting traded at a notional value of Rs.40209.88 crores. The total turnoverof the Futures & Options segment of the Exchange was around Rs.81008.35 crores.Among stock F&O part, RELIANCE & BHARTIARTL were the most active futures andoptions contracts on individual securities. Out of 179 securities, options on 106 andfutures on 178 underlying securities got traded. SBIN: The outlook of the stock islikely to remain bullish and it can be expected to trade above 2400 levels. FIIs wereNET BUYERS of Rs. 657.38 Crores in the futures and options market.
 NIFTY VIEW:
For the day, NIFTY may open flat to positive and it can be expected to tradesideways. NIFTY will face strong resistance at 4930 and 4947 levels. If NIFTY tradesabove this level, it could test at 4970. Alternatively, if NIFTY falls below 4860 levelsthen fresh short positions can be expected which could test at 4820 and 4790 levels.The upsides stop loss for the short holders would be ideally at 4950..
 
 
OPEN INTEREST GAINERS Symbol % Change
ASIANPAINT 48.53%EDUCOMP 37.05%COLPAL 26.53%NAGARCONST 22.60%SUNTV 19.73%
OPEN INTEREST LOSERS Symbol % Change
ITC -19.40%TECHM -17.77%HOTELEELA -14.74%HDIL -12.47%HINDZINC -12.35%
GROWTH IN DERIVATIVES MARKET Product% Change inVolume% Change inTurnover
Index Futures 10.19% 10.85%Stock Options 18.42% 20.85%Index Options 2.19% 3.60%Stock Options 20.52% 23.26%
FII ACTIVITY%Change in number of contractsProductBuy SellOpenInterest
Index Futures -2.72% 37.53% -4.32%Index Options 66.89% 47.57% 2.94%Stock Futures 7.97% 18.14% -0.24%Stock Options 17500.00% 530.99% 3.66%Net Buy/Sell (Rs. in Crores) 657.38
VOLUME ANALYSIS – NIFTY
100300500700900
   N o  v   0  8   D  e  c   0  8  J  a  n   0  9   F  e   b   0  9   M  a  r   0  9  A  p  r   0  9   M  a  y   0  9  J  u  n   0  9  J  u   l   0  9  A  u  g    0  9  S  e  p   0  9  O  c   t   0  9
   V  o   l  u  m  e   (   i  n   L  a   k   h  s   )
 
ACTIVE STOCK OPTIONS
S NoSymbol Strike Price Option Type% Change in OpenInterestClosing Price
1 RELIANCE 2100 CA 140.46 43.402 TATASTEEL 520 CA 28.47 14.903 IFCI 55 CA 20.80 1.704 TATAMOTORS600 CA 44.72 25.305 UNITECH 90 CA 13.83 3.606 DLF 400 CA 20.92 13.807 ICICIBANK 900 CA 29.03 31.008 SBIN 2400 CA 29.56 62.709 RNRL 80 CA 0.71 2.80
WATCH -STOCK OPTIONS
S.No Symbol Strike PriceOptionTypeClosingPriceTheoreticalPriceOvervalued/UndervaluedOptions
1 RELIANCE 2100 CA 43.40 95.18 Under Valued2 TATASTEEL 520 CA 14.90 21.08 Under Valued3 IFCI 55 CA 1.70 1.41 Over Valued
VOLATILITY (TOP TRADED STOCK FUTURES)
Symbol Previous Day Current Day % Change
RELIANCE 2.61 2.54 -2.55%SBIN 2.82 2.76 -2.20%TATAMOTORS2.61 2.58 -0.85%ICICIBANK 3.00 2.92 -2.73%TATASTEEL 3.35 3.26 -2.74%UNITECH 4.63 4.56 -1.58%DLF 4.22 4.18 -0.86%JINDALSTEL 3.08 2.98 -3.03%RELINFRA 3.20 3.13 -2.30%HDIL 4.80 4.67 -2.67%SESAGOA 4.65 4.55 -2.10%
BULLISH & BEARISH TRENDS
S.No Symbol% Change inOpenInterest% Change inPriceTrend
1 RELIANCE -6.17% 1.05% Sideways2 SBIN 9.56% 1.49% Positive3 TATAMOTORS5.28% 2.23% Positive
 
4 ICICIBANK -10.05% 0.97% Positive
 
5 TATASTEEL -3.47% -1.05% Positive
 
6 UNITECH -10.09% -3.15% Weak
 
7 DLF 6.39% -3.50% Weak
 
8 JINDALSTEL -4.97% -0.21% Positive
 
9 RELINFRA 7.39% -1.56% Weak
 
10 HDIL -12.47% -1.66% Sideways
 

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