Welcome to Scribd. Sign in or start your free trial to enjoy unlimited e-books, audiobooks & documents.Find out more
Download
Standard view
Full view
of .
Look up keyword
Like this
1Activity
0 of .
Results for:
No results containing your search query
P. 1
Derivatives Report 22 MAY 2012

Derivatives Report 22 MAY 2012

Ratings: (0)|Views: 8|Likes:
Published by Angel Broking
Derivative Report
May 22, 2012

Comments
 The Nifty futures open interest decreased by 1.03% while

Nifty Vs OI

Minifty futures open interest is increased by 1.06% as market closed at 4906.05 levels.
 The Nifty May future closed at a discount of 12.15 point

against a discount of 2.50 points. The June series closed at a premium of 5.40 points.
 The Implied Volatility of at the money options is

increased from 21.35% to 22.30%.
 The PCR-OI has being increased from 0.91 to 0.92

points.
 The
Derivative Report
May 22, 2012

Comments
 The Nifty futures open interest decreased by 1.03% while

Nifty Vs OI

Minifty futures open interest is increased by 1.06% as market closed at 4906.05 levels.
 The Nifty May future closed at a discount of 12.15 point

against a discount of 2.50 points. The June series closed at a premium of 5.40 points.
 The Implied Volatility of at the money options is

increased from 21.35% to 22.30%.
 The PCR-OI has being increased from 0.91 to 0.92

points.
 The

More info:

Categories:Types, Business/Law
Published by: Angel Broking on May 22, 2012
Copyright:Attribution Non-commercial

Availability:

Read on Scribd mobile: iPhone, iPad and Android.
download as PDF, TXT or read online from Scribd
See more
See less

12/16/2013

pdf

text

original

 
 
www.angelbroking.com1
Derivative Report
 
May 22, 2012
Comments
 
The Nifty futures open interest decreased by 1.03% whileMinifty futures open interest is increased by 1.06% asmarket closed at 4906.05 levels.
 
The Nifty May future closed at a discount of 12.15 pointagainst a discount of 2.50 points. The June series closedat a premium of 5.40 points.
 
The Implied Volatility of at the money options isincreased from 21.35% to 22.30%.
 
The PCR-OI has being increased from 0.91 to 0.92points.
 
The total OI of the market is
`1,28,391/-cr
. and thestock futures OI are
`25,730/-
cr
.
 
 
Few of the liquid counters where we have seen high cost-of-carry are ABGSHIP, VIDEOIND, BALRAMCHIN,COREEDUTEC and TTML.
 
Nifty Vs OIOI Gainers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)BATAINDIA
1140000 22.12 888.95 2.14
SUNTV
897000 20.40 257.60 -3.43
MRPL
1752000 16.49 58.50 0.17
ONMOBILE
2644000 15.56 45.65 -5.68
POLARIS
2328000 14.57 110.25 -2.48
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 0.92 0.84BANKNIFTY 0.58 0.75SBIN 0.58 0.52RELIANCE 0.41 0.33INFY 0.36 0.57
View
 
FII’s were net sellers in cash market segment; theywere net sellers worth of
`
80/- cr. On derivativesfront they were net sellers in index futures, while inindex options they were net buyers.
 
On options front 4900 call option have seen somebuildup in open interest, while in put option 4500strike price have seen considerable amount ofunwinding and 4600 put option have again seensome buildup in yesterday’s trading session.
 
The counter of AXISBANK has seen significantamount of short position getting buildup since themid of April series. However the counter in last fewtrading session has seen some signs of short coveringaround its support of
`
940-950 levels. We feel thecounter could see further short covering bounce backwhich could take the stock to around
`
1024. Hencego long with the stop loss of
`
930.
Historical Volatility
SCRIP HV
RELCAPITAL 61.15BOMDYEING 75.39BANKBARODA 43.66HAVELLS 38.19TATAPOWER 46.00
OI Losers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)
SBIN
5583500 -9.30 2009.50 3.55
TATAMTRDVR
8034000 -9.10 145.70 2.35
ARVIND
3076000 -8.12 74.05 4.44
BGRENERGY
1449000 -5.54 290.35 2.51
BEML
155500 -5.18 482.65 1.77
 
 
Derivative Report
May 22, 2012
 
www.angelbroking.com2
FII Statistics for 21-May-2012
Detail Buy Sell NetOpen InterestContractsValue Change(
`
in cr.) (%)
INDEXFUTURES1048.29 1595.09 (546.80) 518126 12100.90 0.70INDEXOPTIONS12599.65 12190.64 409.01 1780367 43646.48 (0.36)STOCKFUTURES1383.73 1304.28 79.45 933396 21997.80 0.70STOCKOPTIONS977.32 1011.60 (34.29) 57825 1418.82 1.78TOTAL 16008.99 16101.61 (92.62) 3289714 79164.00 0.14
Turnover on 21-May-2012
InstrumentNo. ofContractsTurnover(
`
in cr.)Change(%)
INDEXFUTURES383573 8780.32 -37.02INDEXOPTIONS2979944 73976.44 -38.08STOCKFUTURES425930 9941.54 -27.43STOCKOPTIONS216427 5256.07 -39.96TOTAL 4005874 97954.37 -37.15
Nifty Spot =4906.05 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy4900 67.9038.75 61.25 4938.75Buy4900 76.0037.30 62.70 4862.70Sell5000 29.15Sell4800 38.70Buy4900 67.9057.95 142.05 4957.95Buy4900 76.0057.60 142.40 4842.40Sell5100 9.95Sell4700 18.40Buy5000 29.1519.20 80.80 5019.20Buy4800 38.7020.30 79.70 4779.70Sell5100 9.95Sell4700 18.40
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

You're Reading a Free Preview

Download
scribd
/*********** DO NOT ALTER ANYTHING BELOW THIS LINE ! ************/ var s_code=s.t();if(s_code)document.write(s_code)//-->