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Derivative Report
June 13, 2012
Comments
The Nifty futures open interest increased by 4.56% whileBankNifty futures open interest is increased by 1.34% asmarket closed at 5115.90 levels.
The Nifty June future closed at a premium of 10.55 pointagainst a discount of 1.50 points. The July series closedat a premium of 31.95 points.
The Implied Volatility of at the money options isdecreased from 22.44% to 21.94%.
The PCR-OI has increased from 1.44 to 1.46 levels.
The total OI of the market is
`1,10,524/-cr
. and thestock futures OI are
`24,838/-
cr
.
Few of the liquid counters where we have seen high cost-of-carry are ABGSHIP, COREEDUTEC, ESCORTS,ALOKTEXT and WELCORP.
Nifty Vs OIOI Gainers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)CUMMINSIND
163000 33.61 422.25 -1.48
ANDHRABANK
1134000 30.65 117.30 0.90
LUPIN
1049000 26.39 510.50 -2.66
JETAIRWAYS
2466000 19.48 372.75 5.19
DISHTV
12360000 15.17 59.70 1.62
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 1.46 1.10BANKNIFTY 0.86 0.66SBIN 1.04 0.52RELIANCE 0.77 0.81LT 1.33 0.82
View
FII’s were net sellers in cash market segment; theywere net sellers worth of
`
56/- cr. On derivativesfront there activity in index futures was quite muted,however they were net sellers with good amount ofbuildup in open interest, while in index options theywere net buyers.
On options front 5000-5100 call option have seensome unwinding, while in put option 4400 strikeprice continue to see some unwinding and 5000-5200 put option have seen decent buildup inyesterday’s trading session.
The recent bounce back in the counter of MARUTIwas mainly due to short covering.
`
1150-1155 is theresistance for the stock and hence we feel the countercould see some selling pressure at higher levelswhich could take the stock to around
`
1080. Goshort with the stop loss of
`
1180.
Historical Volatility
SCRIP HV
GLAXO 27.72LICHSGFIN 38.26ACC 32.30UCOBANK 62.81AMBUJACEM 45.79
OI Losers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)
DIVISLAB
499000 -9.68 933.80 1.38
ORIENTBANK
660000 -9.47 242.40 3.81
SYNDIBANK
1464000 -7.46 102.25 2.15
GESHIP
177000 -7.33 259.40 -0.06
INDUSINDBK
2343000 -5.64 327.05 -0.08
Derivative Report
June 13, 2012
www.angelbroking.com2
FII Statistics for 12-June-2012
Detail Buy Sell NetOpen InterestContractsValue Change(
`
in cr.) (%)
INDEXFUTURES1627.60 1631.10 (3.50) 370770 9338.57 5.92INDEXOPTIONS19276.62 18703.52 573.10 1613169 41256.99 1.58STOCKFUTURES1039.23 1289.15 (249.92) 933420 22898.81 0.07STOCKOPTIONS1274.30 1283.23 (8.93) 48055 1245.67 2.99TOTAL 23217.75 22907.00 310.75 2965414 74740.03 1.64
Turnover on 12-June-2012
InstrumentNo. ofContractsTurnover(
`
in cr.)Change(%)
INDEXFUTURES571735 13675.23 22.76INDEXOPTIONS3441870 87035.31 3.17STOCKFUTURES510546 12532 4.10STOCKOPTIONS198231 5185.97 3.14TOTAL 4722382 118428.51 5.21
Nifty Spot =5115.90 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy5100 107.7049.35 50.65 5149.35Buy5100 81.1531.35 68.65 5068.65Sell5200 58.35Sell5000 49.80Buy5100 107.7080.05 119.95 5180.05Buy5100 81.1550.85 149.15 5049.15Sell5300 27.65Sell4900 30.30Buy5200 58.3530.70 69.30 5230.70Buy5000 49.8019.50 80.50 4980.50Sell5300 27.65Sell4900 30.30
Note: Above mentioned Bullish or Bearish Spreads in Nifty (June Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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