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Derivative Report
July 13, 2012
Comments
The Nifty futures open interest increased by 0.43% whileBankNifty futures open interest is decreased by 3.48% asmarket closed at 5235.25 levels.
The Nifty July future closed at premium of 16.15 pointagainst premium of 16.60 points. The August seriesclosed at a premium of 42.10 points.
The Implied Volatility of at the money options isdecreased from 16.20% to 15.78%.
Nifty PCR-OI has decreased from 1.20 to 1.15 levels.
The total OI of the market is
`
1,33,560/-cr. and thestock futures OI are
`
32,187/-cr
.
Few of the liquid counters where we have seen highCost-of-Carry are UNITECH, HCC, SKUMARSYNF,GRASIM and JPPOWER.
Nifty Vs OIOI Gainers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)WIPRO
5098500 20.72 361.25 -4.02
HEXAWARE
5086000 16.76 115.80 -4.56
SOBHA
424000 16.16 339.10 0.78
ONMOBILE
11240000 16.16 38.10 5.69
FEDERALBNK
541500 14.24 433.10 -0.50
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 1.15 0.92INFY 0.66 0.73BANKNIFTY 1.00 1.06TCS 0.71 0.65SBIN 0.62 0.61
View
FII’s were net buyers in cash market segment; theywere net buyer’s worth of
`
269/- cr. in yesterdaystrading session. On derivatives front they were netsellers in index futures indicating some short buildupby them, while in index options they were net buyerswith decent buildup in open interest.
On options front 5200-5300 call option have seengood amount of buildup in open interest and in putoption not much of buildup was observed except4900-5000 strike price, however decent unwindingwas seen in 5200-5400 put option in yesterdaystrading session.
The counter of BHARTIARTL has seen good amount ofbuildup in last few trading session. We feel it’s themix of long and short both as CoC has being quitehealthy.
`
303-305 is the good support for the stockand hence can expect some short coveringbounceback which can take the stock to around
`
326. Go long with the stop loss of
`
298.
Historical Volatility
SCRIP HV
INFY 45.39WIPRO 31.05HEXAWARE 43.55GODREJIND 39.90BHARTIARTL 32.49
OI Losers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)
INDIANB
250000 -10.07 185.95 -0.35
BFUTILITIE
1124000 -9.28 468.85 -2.26
BOMDYEING
436500 -7.03 543.70 -1.61
PETRONET
2902000 -6.75 147.00 0.38
AMBUJACEM
10050000 -6.06 169.65 -0.67
Derivative Report
July 13, 2012
www.angelbroking.com2
FII Statistics for 12-July-2012
Detail Buy Sell NetOpen InterestContractsValue Change(
`
in cr.) (%)
INDEXFUTURES1501.54 1917.06 (415.52) 577086 14633.56 2.84INDEXOPTIONS15857.36 13880.51 1976.85 1672779 43794.70 3.64STOCKFUTURES1130.63 1610.39 (479.76) 972309 26100.53 0.74STOCKOPTIONS1806.49 1890.35 (83.86) 63721 1819.80 9.89TOTAL 20296.02 19298.31 997.71 3285895 86348.59 2.74
Turnover on 12-July-2012
InstrumentNo. ofContractsTurnover(
`
in cr.)Change(%)
INDEXFUTURES4,66,714 11583.99 55.24INDEXOPTIONS35,87,309 95094.55 58.51STOCKFUTURES4,91,423 13801.03 17.97STOCKOPTIONS4,16,504 12506.52 47.60TOTAL 49,61,950 1,32,986.11 51.77
Nifty Spot =5235.25 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy5300 44.2527.85 72.15 5327.85Buy5200 44.5524.70 75.30 5175.30Sell5400 16.40Sell5100 19.85Buy5300 44.2539.45 160.55 5339.45Buy5200 44.5536.30 163.70 5163.70Sell5500 4.80Sell5000 8.25Buy5400 16.4011.60 88.40 5411.60Buy5100 19.8511.60 88.40 5088.40Sell5500 4.80Sell5000 8.25
Note: Above mentioned Bullish or Bearish Spreads in Nifty (July Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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