You are on page 1of 3

Derivative Report

Nov 16, 2012

Comments
 The Nifty futures open interest decreased by 6.76% while

Nifty Vs OI

BankNifty futures open interest is decreased by 5.57% as market closed at 5631.00 levels.
 The Nifty Nov. future closed at premium of 18.15 point

against a premium of 13.75 points. The Dec. series closed at a premium of 53.60 points.
 The Implied Volatility of at the money options is

increased from 11.95% to 12.45%.
 Nifty PCR-OI is decreased from 1.06 to 1.01 levels.  The total OI of the market is Rs.1,49,108/- cr. and the

stock futures OI are Rs.34,314/- cr.
 Few of the liquid counters where we have seen high cost

of carry are NHPC, IGL, IVRCLINFRA, GSPL and INDIACEM. View OI Gainers
SCRIP PETRONET TATAGLOBAL UNITECH NMDC HCLTECH OI 3392000 14634000 87810000 1658000 2799000 OI CHANGE (%) 23.17 19.89 17.36 15.62 13.05 PRICE 160.40 178.85 28.35 169.60 620.65 PRICE CHANGE (%) -3.55 4.89 6.73 -4.45 0.98  FII’s were net buyers in cash market segment worth

of `47/- cr. On derivatives front significant amount of long unwinding was observed by them in index futures, while in index options on net basis there was muted performance by them in yesterday’s trade.
 On options front 5500-5700 call option has seen

significant amount of buildup in open interest followed by some unwinding in 5900-6000 call option. While in put option not much of buildup was seen however considerable amount of unwinding was seen in 5500-5700 strike price in yesterday’s trading session.
 The recent bounce in CAIRN was mainly due to short

OI Losers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)

ASHOKLEY RECLTD HDIL MCDOWELL-N IBREALEST

13066000 4128000 28236000 6591500 33744000

-15.12 -14.75 -12.39 -10.12 -7.62

28.25 226.90 106.30 1850.50 68.80

4.82 0.38 -1.62 2.47 2.91

covering. The counter has seen good amount of short position getting buildup at higher levels and some of them are still intact. With crude oil price coming down and also around `345-346 levels the counter could face some resistance. Hence we recommend to go short on this stock at around `340-342 levels with the target price of `320 and stop loss at `350.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN MCDOWELL-N RELIANCE PCR-OI 1.01 0.83 0.52 0.95 0.35 PCR-VOL 0.83 0.72 0.65 0.68 0.52

Historical Volatility
SCRIP ULTRACEMCO PETRONET NMDC MCLEODRUSS SUNTV HV 26.90 28.27 35.86 26.00 55.69

www.angelbroking.com

1

Derivative Report
Nov 16, 2012

FII Statistics for 15-November-2012
Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 9166.01 52458.34 29877.65 2566.04 94068.04 Change (%) (14.17) 0.50 0.74 0.46 (1.25)

Turnover on 15-November-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1067.70

2329.03

(1261.33) (53.29) (321.89) 18.39 (1618.12)

368768 1861747 1095626 93347 3419488

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,79,644 28,49,299 5,05,088 3,13,051 39,47,082

7532.11 81310.57 15016.95 9667.28 113526.90

15.43 31.47 -5.73 -3.82 20.32

12744.19 12797.48 1357.25 1377.84 1679.14 1359.45

16546.98 18165.10

Nifty Spot =5631.00

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5800 5700 5900 5800 5900 Price 32.95 9.90 32.95 3.50 9.90 3.50 6.40 93.60 5806.40 29.45 170.55 5729.45 Risk 23.05 Reward 76.95 BEP 5723.05

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5500 5600 5400 5500 5400 Price 32.95 11.30 32.95 4.60 11.30 4.60 6.70 93.30 5493.30 28.35 171.65 5571.65 Risk 21.65 Reward 78.35 BEP 5578.35

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Nov. Series) are given as an information and not as a recommendation.

Nifty Put-Call Analysis

www.angelbroking.com

2

Derivative Report
Nov 16, 2012

Strategy Date 29-Oct-2012 05-Nov-2012 12-Nov-2012

Symbol NIFTY TATAMOTORS DLF

Strategy Long Put Long Put Ladder Bear Put Spread

Status Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine the merits and risks of such an investment. Angel Broking Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in this document are those of the analyst, and the company may or may not subscribe to all the views expressed within. Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's fundamentals. The information in this document has been printed on the basis of publicly available information, internal data and other reliable sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this document is for general guidance only. Angel Broking Limited or any of its affiliates/ group companies shall not be in any way responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this report. Angel Broking Limited has not independently verified all the information contained within this document. Accordingly, we cannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. While Angel Broking Limited endeavors to update on a reasonable basis the information discussed in this material, there may be regulatory, compliance, or other reasons that prevent us from doing so. This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced, redistributed or passed on, directly or indirectly. Angel Broking Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of this report or in the past. Neither Angel Broking Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise from or in connection with the use of this information. Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section). Also, please refer to the latest update on respective stocks for the disclosure status in respect of those stocks. Angel Broking Limited and its affiliates may have investment positions in the stocks recommended in this report.

Derivative Research Team
Email Id : - derivatives.desk@angelbroking.com For Private Circulation Only

SEBI Registration No: INB 010996539

www.angelbroking.com

3