Derivative Report
India Research
Aug 29, 2011
SEBI Registration No: INB 010996539
For Private Circulation Only
1
Comments
The Nifty futures’ open interest decreased 20.19% whileMinifty futures’ open interest decreased by 19.68% asmarket closed at 4747.80 levels.
The Nifty Sep future closed at a premium of 0.90 pointagainst a discount of 2.90 points, while the Oct. futuresclosed at a premium of 10.05 points.
The Implied Volatility of at the money options increasedfrom 25.50% to 27.20%.
The PCR-OI has increased from 0.95 to 1.27 points.
The total OI of the market is
`
103,004cr and the stockfutures OI is
`
24,816cr.
Few liquid stocks where cost of carry is positive areTRIVENI, MLL, HINDZINC, HCLTECH and GVKPIL.
Nifty Vs OIOI Gainers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)COALINDIA
3228000 2.93 359.40 -4.10
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- - - -
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- - - -
-
- - - -
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- - - -
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 1.27 1.13RELIANC 0.63 0.51SBIN 0.51 0.58BANKNIFTY 1.64 0.76TATAMOTORS 0.45 0.34
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FIIs formed some long positions in the Index futuresthough they formed some short positions in the stockfutures. They were net sellers of
`
226cr in the cashmarket segment.
In the last trading session, most of the call and putoptions added significant open interest. The 5000call and the 4600 put have highest open interest inthe September series.
Due to high volatility in the market it is still notadvisable to take aggressive positions. Global cuesare positive. SGX Nifty is suggesting an openingaround 4790 levels.
AXISBANK is looking attractive for a small positivetrading move. Traders can trade with positive bias forthe target of
`
1,030. Keep a stop loss of
`
985.
Historical Volatility
SCRIP HV
IDBI 64.28RELCAPITAL 88.74BPCL 29.06BRFL 12.61IFCI 66.60
OI Losers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)COREPROTEC
1049000 -81.06 300.20 -4.58
CHAMBLFERT
3204000 -65.61 97.30 -5.90
MRF
29500 -47.09 6228.80 -2.16
INDIAINFO
2792000 -45.34 71.70 -1.51
FEDERALBNK
670000 -38.59 333.85 -4.48
Derivative Report
|India Research
For Private Circulation Only
SEBI Registration No: INB 0109965392
FII Statistics for 26-Aug-2011
Detail Buy Sell NetOpen InterestContractsValue Change(Rs. in cr.) (%)INDEXFUTURES
3307.912713.68594.24 524799 12368.59 13.38
INDEXOPTIONS
11849.0410525.571,323.46 1753838 41628.42 19.40
STOCKFUTURES
1588.971715.27(126.30)1106225 25195.22 1.50
STOCKOPTIONS
261.22286.00(24.78)12992 280.90 262.91
TOTAL
17007.1415240.521,766.62 3397854 79473.13 297.18
Turnover on 26-Aug-2011
InstrumentNo. ofContractsTurnover(Rs. in cr.)Change(%)Index Futures
661859 14887.98 -38.21
Stock Futures
493871 11519.78 -61.84
Index Options
2985408 72639.59 -56.61
Stock Options
98171 2328.24 -43.15
Total
4239309 101375.59 -55.10
Nifty Spot =4747.80 Lot Size = 50Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEPBuy
4800 142.2546.45 53.55 4846.45
Buy
4700 155.7534.05 65.95 4665.95
Sell
4900 95.80
Sell
4600 121.70
Buy
4800 142.2581.85 118.15 4881.85
Buy
4700 155.7561.75 138.25 4638.25
Sell
5000 60.40
Sell
4500 94.00
Buy
4900 95.8035.40 64.60 4935.40
Buy
4600 121.7027.70 72.30 4572.30
Sell
5000 60.40
Sell
4500 94.00
Note: Above mentioned Bullish or Bearish Spreads in Nifty(Sep Series) are given as an information and not as a recommendation
Nifty Put-Call Analysi
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Derivatives Report 29th August 2011
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