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June 26, 2012
The Nifty futures open interest increased by 11.60% while
Nifty Vs OI
BankNifty futures open interest is decreased by 0.86% as market closed at 5114.65 levels.
The Nifty June future closed at discount of 5.35 point
against a premium of 5.10 points. The July series closed at a premium of 19.00 points.
The Implied Volatility of at the money options is
increased 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 the
stock futures OI are `29,219/-cr.
Few of the liquid counters where we have seen high cost-
of-carry are ABGSHIP, JINDALSOA, ALOKTEXT, GRASIM and TTML.
SCRIP HINDALCO TATACOMM YESBANK ANDHRABANK HCLTECH OI 27120000 3375000 8573000 826000 3606500 OI CHANGE (%) 17.24 13.87 13.25 12.53 12.12 PRICE 114.75 224.65 339.10 122.85 464.85 PRICE CHANGE (%) -2.17 2.23 -0.34 2.63 -1.65
FII’s were net buyers in cash market segment; they
were net buyers worth of `153/- cr. On derivatives front they were net sellers in index futures worth of `73/- cr. only with significant buildup in open interest indicating a mix of long and short both, while in index options they were net buyers.
On options front 5200 call option have seen decent
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)
buildup in open interest and 5000 call option have seen some unwinding, while in put option not much of buildup was observed except 5200 strike price and considerable amount of unwinding was seen in 4900 put option in yesterday’s trading session.
Among the large cap banks AXISBANK is the counter
PETRONET HINDOILEXP MPHASIS CUMMINSIND BFUTILITIE
3222000 3242000 210500 200000 855500
-14.03 -10.69 -10.23 -9.09 -8.36
139.55 127.55 356.00 439.10 413.70
0.79 -4.56 0.56 1.18 -1.66
where we have not seen much formation of long positions in the recent up move. However the counter in last two trading session has seen some short buildup followed by some long unwinding with decrease in CoC. We feel the stock could see some selling pressure at higher levels which could take the counter to around `960. Go short at around `10101020 with the stop loss of `1040.
SCRIP NIFTY BANKNIFTY SBIN TATAMOTORS RELIANCE PCR-OI 1.45 0.95 0.77 0.50 0.79 PCR-VOL 1.04 0.86 0.51 0.52 0.60
SCRIP CIPLA BOSCHLTD BRFL EDUCOMP JINDALSAW HV 23.89 19.98 25.35 69.39 33.30
June 26, 2012
FII Statistics for 25-June-2012
Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 15624.37 49628.98 24361.59 1419.82 91034.76 Change (%) 16.71 0.97 0.35 (1.72) 3.17
Turnover on 25-June-2012
No. of Contracts Turnover (` in cr.) Change (%)
(72.48) 217.05 (266.63) 5.56 (116.49)
626599 1941560 987080 54902 3610141
INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL
691753 5167643 814501 229518 6903415
16938.71 133435.77 20155.03 5949.46 176478.98
17.25 7.04 10.56 -8.90 7.69
20444.54 20227.49 4808.97 1455.43 5075.59 1449.87
Nifty Spot =5114.65
Lot Size = 50
Action Buy Sell Buy Sell Buy Sell Strike 5100 5200 5100 5300 5200 5300 Price 44.55 9.35 44.55 1.85 9.35 1.85 7.50 92.50 5207.50 42.70 157.30 5142.70 Risk 35.20 Reward 64.80 BEP 5135.20
Action Buy Sell Buy Sell Buy Sell Strike 5100 5000 5100 4900 5000 4900 Price 34.30 9.95 34.30 2.95 9.95 2.95 7.00 93.00 4993.00 31.35 168.65 5068.65 Risk 24.35 Reward 75.65 BEP 5075.65
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
June 26, 2012
Strategy Date 04-06-2012 11-06-2012 18-06-2012 25-06-2012
Symbol NIFTY TATAMOTORS TATASTEEL INFY
Strategy Ratio Put Spread Long Put Ladder Bear Put Spread Bear Put Spread
Status Open Open Open Open
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