www.angelbroking.com1
Derivative Report
June 26, 2012
Comments
The Nifty futures open interest increased by 11.60% whileBankNifty futures open interest is decreased by 0.86% asmarket closed at 5114.65 levels.
The Nifty June future closed at discount of 5.35 pointagainst a premium of 5.10 points. The July series closedat a premium of 19.00 points.
The Implied Volatility of at the money options isincreased from 17.50% to 19.95%.
The PCR-OI has decreased from 1.52 to 1.45 levels.
The total OI of the market is
`
1,38,059/-cr. and thestock futures OI are
`
29,219/-cr
.
Few of the liquid counters where we have seen high cost-of-carry are ABGSHIP, JINDALSOA, ALOKTEXT, GRASIMand TTML.
Nifty Vs OIOI Gainers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)HINDALCO
27120000 17.24 114.75 -2.17
TATACOMM
3375000 13.87 224.65 2.23
YESBANK
8573000 13.25 339.10 -0.34
ANDHRABANK
826000 12.53 122.85 2.63
HCLTECH
3606500 12.12 464.85 -1.65
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 1.45 1.04BANKNIFTY 0.95 0.86SBIN 0.77 0.51TATAMOTORS 0.50 0.52RELIANCE 0.79 0.60
View
FII’s were net buyers in cash market segment; theywere net buyers worth of
`
153/- cr. On derivativesfront they were net sellers in index futures worth of
`
73/- cr. only with significant buildup in open interestindicating a mix of long and short both, while inindex options they were net buyers.
On options front 5200 call option have seen decentbuildup in open interest and 5000 call option haveseen some unwinding, while in put option not muchof buildup was observed except 5200 strike price andconsiderable amount of unwinding was seen in 4900put option in yesterday’s trading session.
Among the large cap banks AXISBANK is the counterwhere we have not seen much formation of longpositions in the recent up move. However the counterin last two trading session has seen some shortbuildup followed by some long unwinding withdecrease in CoC. We feel the stock could see someselling pressure at higher levels which could take thecounter to around
`
960. Go short at around
`
1010-1020 with the stop loss of
`
1040.
Historical Volatility
SCRIP HV
CIPLA 23.89BOSCHLTD 19.98BRFL 25.35EDUCOMP 69.39JINDALSAW 33.30
OI Losers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)
PETRONET
3222000 -14.03 139.55 0.79
HINDOILEXP
3242000 -10.69 127.55 -4.56
MPHASI
210500 -10.23 356.00 0.56
CUMMINSIND
200000 -9.09 439.10 1.18
BFUTILITIE
855500 -8.36 413.70 -1.66
Derivative Report
June 26, 2012
www.angelbroking.com2
FII Statistics for 25-June-2012
Detail Buy Sell NetOpen InterestContractsValue Change(
`
in cr.) (%)
INDEXFUTURES4034.33 4106.81 (72.48) 626599 15624.37 16.71INDEXOPTIONS20444.54 20227.49 217.05 1941560 49628.98 0.97STOCKFUTURES4808.97 5075.59 (266.63) 987080 24361.59 0.35STOCKOPTIONS1455.43 1449.87 5.56 54902 1419.82 (1.72)TOTAL 30743.26 30859.76 (116.49) 3610141 91034.76 3.17
Turnover on 25-June-2012
InstrumentNo. ofContractsTurnover(
`
in cr.)Change(%)
INDEXFUTURES691753 16938.71 17.25INDEXOPTIONS5167643 133435.77 7.04STOCKFUTURES814501 20155.03 10.56STOCKOPTIONS229518 5949.46 -8.90TOTAL 6903415 176478.98 7.69
Nifty Spot =5114.65 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy5100 44.5535.20 64.80 5135.20Buy5100 34.3024.35 75.65 5075.65Sell5200 9.35Sell5000 9.95Buy5100 44.5542.70 157.30 5142.70Buy5100 34.3031.35 168.65 5068.65Sell5300 1.85Sell4900 2.95Buy5200 9.357.50 92.50 5207.50Buy5000 9.957.00 93.00 4993.00Sell5300 1.85Sell4900 2.95
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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