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Derivatives Report 23rd December 2011

Derivatives Report 23rd December 2011

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Published by Angel Broking

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Published by: Angel Broking on Dec 23, 2011
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Derivative Report
India Research
Dec 23, 2011
SEBI Registration No: INB 010996539
For Private Circulation Only 
1
 Comments
 
The Nifty futures open interest increased by 1.89% whileMinifty futures open interest increased by 1.65% asmarket closed at 4733.85 levels.
 
The Nifty Dec. future closed at a Premium of 15.05 pointagainst a Premium of 18.35 points. The January Seriesclosed at a Premium of 34.65 points.
 
The Implied Volatility of at the money options isincreased from 25.37% to 25.93%.
 
The PCR-OI has being unchanged to 0.91 points.
 
The total OI of the market is
`1,36,837.10cr
. and thestock futures OI are
`28,149/-
cr
.
 
 
Stocks were cost of carry is positive are ABGSHIP,RUCHISOYA, GITANJALI, ALOKTEXT and LT.
Nifty Vs OIOI Gainers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)SRTRANSFIN
1054500 21.77 447.50 -3.00
INDIANB
363000 15.97 185.90 4.73
STER
33636000 14.65 91.90 0.71
ALOKTEXT
78838000 14.65 18.10 -0.28
HINDUNILVR
11542000 14.59 408.40 1.72
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 0.91 0.82SBIN 0.43 0.50BANKNIFTY 0.92 0.70ICICIBANK 0.49 0.60RELIANCE 0.57 0.56
View
 
 
FII’s were net sellers in cash market segment; theywere net seller’s worth of
`
236/- cr. in yesterday’strading session. On Derivatives front they were netbuyers in index futures, while in index options theywere net sellers.
 
On Options front deep-out-of the money put optionof 4300 strike price have seen some unwinding andNifty 4800 put option have seen some buildup inopen interest, while in call option in-the-money calloption of 4500 strike price have seen someunwinding and Nifty 4800 call option have seensome buildup in open interest.
 
In resent downside we have not seen huge formationof short positions in TATASTEEL. However mediumterm short positions are still standing and we expectshort covering and some formation of short termlong position in this counter which may take thecounter to around
`
372. So go long with the stoploss of
`
341.
Historical Volatility
SCRIP HV
PUNJLLOYD 155.21ASHOKLEY 71.12CUMMINSIND 37.97BAJAJHIND 66.85GLAXO 28.62
OI Losers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)PUNJLLOYD
25444000 -22.08 39.95 4.86
ABAN
2741000 -16.71 336.45 0.84
TATACHEM
418000 -13.64 320.55 0.87
BEML
120500 -12.36 463.45 -1.39
PETRONET
2428000 -8.45 161.10 0.69
 
 
Derivative Report
|India Research
For Private Circulation Only 
SEBI Registration No: INB 0109965392
 
FII Statistics for 22-Dec-2011
Detail Buy Sell NetOpen InterestContractsValue Change(Rs. in cr.) (%)INDEXFUTURES
2646.312348.12298.19 479490 11193.73 -0.21
INDEXOPTIONS
23361.9223477.96(116.04)2082072 49240.95 -0.81
STOCKFUTURES
4414.034745.96(331.92)1231824 26929.68 1.43
STOCKOPTIONS
533.07517.0316.04 51634 1126.65 -0.12
Total
30955.3331089.07(133.74)3845020 88491.01 -0.02
Turnover on 22-Dec-2011
 
InstrumentNo. ofContractsTurnover(Rs. in cr.)Change(%)Index Futures
723190 15623.09 -4.44
Index Options
4919227 116943.36 5.51
Stock Futures
857236 18149.84 9.51
Stock Options
189174 4198.27 15.06
Total
6688827 154914.57 5.09
Nifty Spot =4733.85 Lot Size = 50Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEPBuy
4800 44.6527.25 72.75 4827.25
Buy
4700 47.1526.55 73.45 4673.45
Sell
4900 17.40
Sell
4600 20.60
Buy
4800 44.6538.20 161.80 4838.20
Buy
4700 47.1538.30 161.70 4661.70
Sell
5000 6.45
Sell
4500 8.85
Buy
4900 17.4010.95 89.05 4910.95
Buy
4600 20.6011.75 88.25 4588.25
Sell
5000 6.45
Sell
4500 8.85
Note: Above mentioned Bullish or Bearish Spreads in Nifty(Dec. Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis

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