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Derivative Report 15th May 2012

Derivative Report 15th May 2012

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Published by Angel Broking

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Categories:Business/Law, Finance
Published by: Angel Broking on May 15, 2012
Copyright:Attribution Non-commercial

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05/15/2012

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www.angelbroking.com1
Derivative Report
 
May 15, 2012
Comments
 
The Nifty futures open interest increased by 2.90% whileMinifty futures open interest is increased by 4.32% asmarket closed at 4907.80 levels.
 
The Nifty May future closed at a discount of 19.55 pointagainst a premium of 2.45 points. The June series closedat a discount of 3.65 points.
 
The Implied Volatility of at the money options isincreased from 21.05% to 22.03%.
 
The PCR-OI has being decreased from 0.95 to 0.93points.
 
The total OI of the market is
`1,19,631/-cr
. and thestock futures OI are
`24,631/-
cr
.
 
 
Few of the liquid counters where we have seen high cost-of-carry are ABGSHIP, TTML, GMRINFRA, LITL and HCC.
 
Nifty Vs OIOI Gainers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)COLPAL
109750 28.36 1215.80 2.94
EDUCOM
3430000 13.92 155.50 -7.27
BPCL
1113000 13.22 713.85 1.93
NCC
5532000 12.62 34.00 -4.90
JUBLFOOD
851250 12.15 1148.30 1.52
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 0.93 0.89BANKNIFTY 0.60 0.75SBIN 0.42 0.39RELIANCE 0.43 0.43INFY 0.40 0.53
View
 
FII’s were net buyers in cash market segment; theywere net buyer’s worth of
`
355/- cr. On derivativesfront they were net sellers in index futures with decentbuildup in open interest indicating some shortsbuildup by them, while in index options there wasmuted performance by them.
 
On options front buildup in call option was quitescattered; there was some buildup seen in 4900,5000 and 5200 call option however 5700 call optionhave seen some unwinding. While in put option 5000strike price have seen decent unwinding in openinterest in yesterday’s trading session.
 
The recent fall in the counter of MARUTI was due tolong unwinding followed by some fresh shorts seen inthe stock in last few trading sessions. We feel thedownward trend could continue in this counter as ithas breached its crucial support of
`
1260-1265 andthe cost-of-carry is also negative. Hence werecommend to go short with the target price of
`
1175 and stop loss at
`
1280.
Historical Volatility
SCRIP HV
ORCHIDCHEM 84.31DIVISLAB 41.74PRAJIND 66.32BOMDYEING 72.51IVRCLINFRA 87.78
OI Losers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)
TTKPRESTIG
62875 -16.17 3026.25 4.57
CIPLA
2476000 -11.48 320.40 0.47
BOSCHLTD
7000 -9.68 9004.30 0.05
DIVISLAB
837500 -9.21 881.85 7.29
IVRCLINFRA
21372000 -8.76 45.20 -11.63
 
 
Derivative Report
May 15, 2012
 
www.angelbroking.com2
FII Statistics for 14-May-2012
Detail Buy Sell NetOpen InterestContractsValue Change(
`
in cr.) (%)
INDEXFUTURES596.53 923.59 (327.06) 480881 11285.24 4.26INDEXOPTIONS9149.06 9149.03 0.03 1594353 39101.13 (0.03)STOCKFUTURES1162.64 883.94 278.70 889232 20679.50 0.87STOCKOPTIONS625.22 612.12 13.10 46670 1120.65 5.95TOTAL 11533.45 11568.68 (35.23) 3011136 72186.53 0.99
Turnover on 14-May-2012
InstrumentNo. ofContractsTurnover(
`
in cr.)Change(%)
INDEXFUTURES324851 7464.02 -41.04INDEXOPTIONS2040494 51229.63 -45.99STOCKFUTURES386695 9151.38 -21.08STOCKOPTIONS148005 3750.95 -16.93TOTAL 2900045 71595.97 -42.09
Nifty Spot =4907.80 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy4900 87.2541.05 58.95 4941.05Buy4900 231.3074.70 25.30 4825.30Sell5000 46.20Sell4800 156.60Buy4900 87.2565.35 134.65 4965.35Buy4900 231.30 129.0071.00 4771.00Sell5100 21.90Sell4700 102.30Buy5000 46.2024.30 75.70 5024.30Buy4800 156.6054.30 45.70 4745.70Sell5100 21.90Sell4700 102.30
Note: Above mentioned Bullish or Bearish Spreads in Nifty (May. Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis

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