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Derivatives Report 27 Jun 2012

Derivatives Report 27 Jun 2012

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Published by Angel Broking

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Published by: Angel Broking on Jun 27, 2012
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06/27/2012

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www.angelbroking.com1
Derivative Report
 
June 27, 2012
Comments
 
The Nifty futures open interest increased by 5.24% whileBankNifty futures open interest is increased by 6.63% asmarket closed at 5120.80 levels.
 
The Nifty June future closed at premium of 4.90 pointagainst a discount of 5.35 points. The July series closedat a premium of 26.35 points.
 
The Implied Volatility of at the money options isdecreased from 19.95% to 18.55%.
 
The PCR-OI has increased from 1.45 to 1.50 levels.
 
The total OI of the market is
`
1,42,630/-cr. and thestock futures OI are
`
30,085/-cr
.
 
 
Few of the liquid counters where we have seen highrollovers are ALOKTEXT, WELCORP, PUNJLLOYD,JINDALSAW and SUZLON.
 
Nifty Vs OIOI Gainers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)SUNTV
822000 31.10 300.95 2.73
ANDHRABANK
1034000 25.18 124.25 1.14
JISLJALEQ
7322000 20.35 77.85 1.83
ZEEL
2548000 16.56 139.95 3.06
DIVISLAB
597000 16.15 980.25 3.35
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 1.49 0.95BANKNIFTY 0.98 0.89SBIN 0.78 0.66TATAMOTORS 0.51 0.51RELIANCE 0.75 0.68
View
 
FII’s were net buyers in cash market segment; theywere net buyers worth of
`
13/- cr. On derivativesfront they were net buyers in index futures worth of
`
800/- cr. with significant buildup in open interestindicating some long buildup by them while in indexoptions they were also net buyers.
 
Yesterday there was no significant buildup observedin call options, however 5300 call option have seensome unwinding, while in put option 5100 sawsignificant amount of buildup and 5200 saw someunwinding of contracts.
 
Rollovers in NIFTY futures is at 43.90% and that ofBANKNIFTY futures is at 39.67.
 
The counter of BAJAJ-AUTO has seen significantamount of buildup in last few trading sessions, wefeel majority buildup is on the longer side and inyesterday trading session maximum amount of longbuildup has been observed with sharp increase inCoC. Hence we recommend to go long on the stockwith target price of 1645 and stoploss at 1520.
Historical Volatility
SCRIP HV
TATAGLOBAL 41.60UNIPHOS 34.20DIVISLAB 32.35SREINFRA 57.15FEDERALBNK 25.70
OI Losers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)
ABGSHIP
2840000 -18.06 373.10 -0.90
ADANIPORTS
6544000 -12.49 118.05 1.16
SUZLON
110968000 -9.16 17.90 0.85
HINDPETRO
4401000 -7.76 338.15 2.75
COLPAL
136500 -7.46 1133.40 1.20
 
 
Derivative Report
June 26, 2012
 
www.angelbroking.com2
FII Statistics for 26-June-2012
Detail Buy Sell NetOpen InterestContractsValue Change(
`
in cr.) (%)
INDEXFUTURES4227.38 3426.94 800.44 682950 17112.80 8.99INDEXOPTIONS16133.65 15205.22 928.43 1974472 50533.65 1.70STOCKFUTURES6287.95 6449.87 (161.92) 1009147 25163.59 2.24STOCKOPTIONS818.31 848.35 (30.04) 52206 1352.30 (4.91)TOTAL 27467.27 25930.37 1536.90 3718775 94162.34 3.01
Turnover on 26-June-2012
InstrumentNo. ofContractsTurnover(
`
in cr.)Change(%)
INDEXFUTURES585085 14274.84 -15.73INDEXOPTIONS4542189 116671.54 -12.56STOCKFUTURES864803 21723.64 7.78STOCKOPTIONS161519 4204.95 -29.32TOTAL 6153596 156874.96 -11.11
Nifty Spot =5120.80 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy5100 42.7535.70 64.30 5135.70Buy5100 19.5015.50 84.50 5084.50Sell5200 7.05Sell5000 4.00Buy5100 42.7542.00 158.00 5142.00Buy5100 19.5018.35 181.65 5081.65Sell5300 0.75Sell4900 1.15Buy5200 7.056.30 93.70 5206.30Buy5000 4.002.85 97.15 4997.15Sell5300 0.75Sell4900 1.15
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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