www.angelbroking.com1
Derivative Report
June 29, 2012
CommentsCommentsCommentsComments
The Nifty futures open interest increased by 0.30% whileBankNifty futures open interest is decreased by 1.10% asmarket closed at 5141.90 levels.
The Nifty July future closed at premium of 2.25 pointagainst premium of 6.60 points. The July series closed ata premium of 27.40 points.
The Implied Volatility of at the money options isdecreased from 19.70% to 19.13%.
The PCR-OI is at 1.18 level.
The total OI of the market is
`
85,056/-cr. and the stockfutures OI are
`
24,334/-cr
.
Rollover in NIFTY futures is at 68.34% and that ofBANKNIFTY futures is at 74.56%.
Few of the liquid counters where we have seen highCost-of-Carry are MTNL, ALOKTEXT, LITL, TTML andGVKPIL.
Nifty Vs OIOI Gainers
SCRIPSCRIPSCRIPSCRIP OIOIOIOIOIOIOIOICHANGECHANGECHANGECHANGE(%)(%)(%)(%)PRICEPRICEPRICEPRICEPRICEPRICEPRICEPRICECHA CHA CHA CHANGENGENGENGE(%)(%)(%)(%)ONMOBILEONMOBILEONMOBILEONMOBILE 4460000 18.62 33.15 -17.13TATAMTRDVR TATAMTRDVR TATAMTRDVR TATAMTRDVR 9636000 10.45 130.60 -1.92MAX MAX MAX MAX 536000 2.29 189.40 -1.89SUZLONSUZLONSUZLONSUZLON 134248000 2.22 17.95 -0.83ROLTA ROLTA ROLTA ROLTA 2288000 0.70 79.15 4.63
Put-Call Ratio
SCRIPSCRIPSCRIPSCRIP PCR PCR PCR PCR----OIOIOIOI PCR PCR PCR PCR----VOL VOL VOL VOLNIFTY 1.18 1.21BANKNIFTY 0.76 0.75SBIN 0.51 0.48RELIANCE 0.74 0.79 AXISBANK 0.85 0.62
View View View View
FII’s were net sellers in cash market segment; they were net sellers worth of
`
1112/- cr. On derivativesfront they were net buyers in both index futures &index options worth of
`
31/- cr &
`
1163/- cr. withsignificant unwinding of positions, the unwinding ofposition is normal phenomena due to expiry of Junecontracts.
On options front 5200-5500 call option have seensignificant amount of buildup, while in put option4600-5100 has also seen good amount of buildup.The highest build up is observed in 5300 call options& 5000 put options in July series.
We have seen decent amount of short covering in AUROPHARMA since last few trading sessions.
`
105-106 is acting as a good support for this counter andwe expect some long build up around this level.Hence we recommend to go long with the targetprice of
`
118 and stop loss at
`
103.
Historical Volatility
SCRIPSCRIPSCRIPSCRIP HV HV HV HV ONMOBILE 115.71 ABAN 76.04RUCHISOYA 28.63JPPOWER 41.29ULTRACEMCO 31.47
OI Losers
SCRIPSCRIPSCRIPSCRIP OIOIOIOIOIOIOIOICHANGECHANGECHANGECHANGE(%)(%)(%)(%)PRICEPRICEPRICEPRICEPRICEPRICEPRICEPRICECHANGECHANGECHANGECHANGE(%)(%)(%)(%)
DENABANK DENABANK DENABANK DENABANK 3880000 -51.35 96.40 0.16COLPALCOLPALCOLPALCOLPAL 54500 -49.42 1174.10 1.67FEDERALBNK FEDERALBNK FEDERALBNK FEDERALBNK 144000 -47.35 445.30 0.07SOBHA SOBHA SOBHA SOBHA 176000 -46.50 335.10 -4.73OILOILOILOIL 113000 -45.57 498.85 0.23
Derivative ReportDerivative ReportDerivative ReportDerivative Report
June 29, 2012
www.angelbroking.com2
FII Statistics for 28-June-2012
DetailDetailDetailDetail Buy Buy Buy Buy SellSellSellSell NetNetNetNetOpen InterestOpen InterestOpen InterestOpen InterestContractsContractsContractsContracts Value Value Value Value ChangeChangeChangeChange((((
````
in cr.)in cr.)in cr.)in cr.) (%)(%)(%)(%)INDEX FUTURES5384.93 5353.70 31.23 432,335 10,982(36.19) INDEX OPTIONS18527.42 17363.84 1,163.58 1,123,929 28,935(43.90) STOCK FUTURES6243.44 6197.61 45.83 826,196 21,369(16.82) STOCK OPTIONS869.40 780.65 88.75 1,152 36(97.58) TOTAL 29695.80 29695.80 1,329.38 2,383,612 61,322(35.96)
Turnover on 28-June-2012
InstrumentInstrumentInstrumentInstrumentNo. ofNo. ofNo. ofNo. ofContractsContractsContractsContractsTurnoverTurnoverTurnoverTurnover((((
````
in cr.)in cr.)in cr.)in cr.)ChangeChangeChangeChange(%)(%)(%)(%)INDEX FUTURES754804 18638.37 52.76INDEX OPTIONS6198392 159441.5 44.21STOCK FUTURES1130276 28261.56 32.43STOCK OPTIONS256083 6691.27 65.87TOTAL 8339555 213032.69 43.81
Nifty Spot =5149.15 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Action Action Action StrikeStrikeStrikeStrike PricePricePricePrice RiskRiskRiskRisk RewardRewardRewardReward BEPBEPBEPBEP Action Action Action Action StrikeStrikeStrikeStrike PricePricePricePrice RiskRiskRiskRisk RewardRewardRewardReward BEPBEPBEPBEPBuy 5200 82.5037.55 62.45 5237.55Buy 5100 86.4530.50 69.50 5069.50Sell5300 44.95Sell5000 55.95Buy 5200 82.5060.20 139.80 5260.20Buy 5100 86.4552.50 147.50 5047.50Sell5400 22.30Sell4900 33.95Buy 5300 44.9522.65 77.35 5322.65Buy 5000 55.9522.00 78.00 4978.00Sell5400 22.30Sell4900 33.95
Note: Above mentioned Bullish or BearishNote: Above mentioned Bullish or BearishNote: Above mentioned Bullish or BearishNote: Above mentioned Bullish or Bearish Spreads in Nifty (Spreads in Nifty (Spreads in Nifty (Spreads in Nifty (July July July July Series) areSeries) areSeries) areSeries) are given agiven agiven agiven assss an information and not as a recommendationan information and not as a recommendationan information and not as a recommendationan information and not as a recommendation....
Nifty Put-Call Analysis
Search History:
Result 00 of 00
00 results for result for
p.
Recommended
More From This User
Notes
Load more
