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Derivatives Report 3 Rd August 2011

Derivatives Report 3 Rd August 2011

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Published by Angel Broking

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Published by: Angel Broking on Aug 03, 2011
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Derivative Report
India Research
Aug 03, 2011
SEBI Registration No: INB 010996539
For Private Circulation Only 
1
 Comments
 
The Nifty futures’ open interest increased 4.10% whileMinifty futures’ open interest increased by 17.63% asmarket closed at 5456.55 levels.
 
The Nifty Aug future closed at a premium of 9.95 points,against a premium of 16.15 points in the last tradingsession, while the Sep futures closed at a premium of26.00 points.
 
The Implied Volatility of at the money options increasedfrom 17.50% to 17.70%.
 
The PCR-OI decreased from 1.13 to 1.07 points.
 
The total OI of the market is
`
111,276cr and the stockfutures OI is
`32,295c
r
.
 
Few liquid stocks where CoC is positive areUNIONBANK, WELCORP, NCC, SOUTHBANK and LITL.
Nifty Vs OIOI Gainers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)TTKPRESTIG
59500 20.81 2785.80 -7.17
FEDERALBNK
757000 19.78 404.90 -3.26
SESAGOA
11400000 15.63 262.00 -2.58
CANBK
2564000 15.26 433.20 -4.35
AUROPHARMA
4704000 10.27 163.25 -3.72
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 1.07 0.87RELIANC 0.39 0.43SBIN 0.44 0.41ICICIBANK 0.62 0.51BANKNIFTY 0.66 0.61
View
 
FIIs formed short positions in the Index futures andthe stock futures. They were net sellers of
`
202cr inthe cash market segment.
 
Yesterday, the 5500 and 5600 call options and the5200 and 5300 put options added huge openinterest. Also the 5800 call was showing considerablebuild up.
 
RENUKA may give further downside. Although thestock has corrected from higher levels, we may see acorrection up to
`
65-66. Traders can trade withnegative bias with a stop loss of
`
72.
 
Negative COC of GAIL has been increased. Also thestock is trading around its resistance levels. We maysee a correction in the counter up to
`
440. Tradingwith negative bias is advisable with a stop loss of
`4
68.
Historical Volatility
SCRIP HV
TTKPRESTIG 58.61BALRAMCHIN 44.45FS 55.36KFA 51.38MCLEODRUSS 30.49
OI Losers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)TECHM
320000 -13.86 783.65 0.36
SIEMENS
551500 -13.49 920.05 0.29
BATAINDIA
1936000 -10.12 650.55 -1.98
IDEA
14132000 -8.83 94.85 -3.66
SINTEX
3224000 -8.04 172.55 -3.50
 
 
Derivative Report
|India Research
For Private Circulation Only 
SEBI Registration No: INB 0109965392
 
FII Statistics for 02-Aug-2011
Detail Buy Sell NetOpen InterestContractsValue Change(Rs. in cr.) (%)INDEXFUTURES
1408.612039.42 (630.81)434501 11832.85 6.37
INDEXOPTIONS
7943.227563.05380.17 1248703 34066.03 4.14
STOCKFUTURES
903.981311.88 (407.89)1172364 31293.17 0.95
STOCKOPTIONS
264.35256.987.38 12473 339.85 18.22
TOTAL
10520.1711171.33 (651.16)2868041 77531.90 29.67
Turnover on 02-Aug-2011
 
InstrumentNo. ofContractsTurnover(Rs. in cr.)Change(%)Index Futures
353840 9087.53 -21.26
Stock Futures
424041 11536.72 -21.49
Index Options
1896544 52778.03 -24.94
Stock Options
92234 2623.55 -19.88
Total
2766659 76025.83 -23.84
Nifty Spot = 5456.55 Lot Size = 50Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEPBuy
5500 81.3536.95 63.05 5536.95
Buy
5400 71.2029.75 70.25 5370.25
Sell
5600 44.40
Sell
5300 41.45
Buy
5500 81.3559.80 140.20 5559.80
Buy
5400 71.2048.05 151.95 5351.95
Sell
5700 21.55
Sell
5200 23.15
Buy
5600 44.4022.85 77.15 5622.85
Buy
5300 41.4518.30 81.70 5281.70
Sell
5700 21.55
Sell
5200 23.15
Note: Above mentioned Bullish or Bearish Spreads in Nifty(Aug Series) are given as an information and not as a recommendation
 
Nifty Put-Call Analysi

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