Derivatives Report - 6 Apr
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Yesterday, the Nifty futures open interest increased by 6.52% while the Minifutures open interest rose by 16.81% as the market closed at 5368.40 levels. Put-call ratios increased from 1.19 to 1.27 indicating a rise in long positions. Implied volatility of at-the-money options decreased from 16% to 15.5%. Several stocks saw increases in open interest including JISLJALEQS (+115%), BAJAJ-AUTO (+38.85%), and NOIDATOLL (+27.01%) while others saw decreases such as APOLLOTYRE (-14.4%), DABUR (-11.69%), and CONCOR (-10%).
Derivatives Report - 6 Apr
- 1. Derivative Report India Research April 06, 2010 Comments Nifty Vs OI The Nifty futures’ open interest increased by 6.52%, while, Minifty futures open interest increased by 16.81%, as market closed at 5368.40 levels. The Nifty April future closed at a discount of 2.50 points as against a premium of 16.30 points in the last trading session, while the May future closed at a premium of 3.20 points. The PCR-OI increased from 1.19 to 1.27 points. The Implied volatility of At-the-money options decreased from 16.00% to 15.50%. The total open interest of the market is Rs106285cr of which Stock futures’ open interest is Rs33,794cr. Some liquid stocks where cost of carry is positive are UNIPHOS, GMRINFRA, LITL, STERLINBIO and INDIAINFO. OI Gainers View OI PRICE SCRIP OI CHANGE PRICE CHANGE Yesterday, strong move in the market was visible. (%) (%) FIIs also have formed significant long positions in the Index Futures and buying in the options are JISLJALEQS 43000 115.00 1007.6 5.29 suggesting, they continue hedging their long BAJAJ-AUTO 529000 38.85 2095.9 4.95 positions through put options. NOIDATOLL 15965400 27.01 32.45 -3.57 In the option segment, substantial build-up has been observed in the 5300 put option and the BEL 288420 26.36 2102.3 -3.82 5400 and 5500 call options. INDIANB 803000 26.30 179 2.26 After significant short formations from higher levels NEYVELILIG was showing support around Rs145. OI Losers Due to short covering we can expect some positive OI PRICE move in the shock. Traders can trade with positive SCRIP OI CHANGE PRICE CHANGE bias for the target of around Rs160 with the stop (%) (%) loss of Rs143. APOLLOTYRE 4872200 -14.40 73.85 2.21 Yesterday, most of the financial stocks have given a DABUR 734400 -11.69 163.70 3.12 strong positive move. BANKNIFTY was showing build-up around 9%. We have observed rise in OI CONCOR 15750 -10.00 1387.05 2.92 around 14% in IOB. We can expect further positive DCHL 3406800 -9.89 162.70 5.72 move in the counter till Rs105. Thus, forming long positions is advisable. SUNTV 169000 -9.63 429.55 -0.07 Put-Call Ratio Historical Volatility SCRIP PCR-OI PCR-VOL SCRIP HV NIFTY 1.27 1.22 ALBK 43.22 RELIANCE 0.39 0.36 RELINFRA 34.42 BHARTIARTL 0.61 0.31 ANDHRABANK 43.65 SUZLON 0.29 0.15 BEL 33.34 INFOSYSTCH 0.37 0.24 BAJAJ-AUTO 41.56 Sebi Registration No: INB 010996539 For Private Circulation Only 1
- 2. Derivative Report | India Research FII Statistics for 05-April-2010 Turnover on 05-April-2010 Open Interest No. of Turnover Change Detail Buy Sell Net Instrument Contracts (Rs. in cr.) (%) Contracts Value Change (Rs. in cr.) (%) INDEX Index Futures 362751 9483.24 9.11 1980.91 670.39 1,310.52 512848 13936.22 7.86 FUTURES INDEX Stock Futures 410758 14792.54 8.56 2973.12 1942.83 1,030.29 1265627 33998.14 4.54 OPTIONS STOCK Index Options 1213420 32297.58 13.84 1164.57 882.73 281.84 852678 28768.30 1.15 FUTURES STOCK Stock Options 68627 2569.63 15.04 85.98 82.75 3.23 13163 388.33 2.98 OPTIONS TOTAL 6204.59 3578.70 2,625.89 2644316 77090.98 4.03 Total 2055556 59143.00 11.75 Nifty Spot = 5368.40 Lot Size = 50 Bull-Call Spreads Bear-Put Spreads Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP Buy 5400 61.05 Buy 5300 56.40 36.90 63.10 5436.90 24.50 75.50 5275.50 Sell 5500 24.15 Sell 5200 31.90 Buy 5400 61.05 Buy 5300 56.40 53.75 146.25 5453.75 38.40 161.60 5261.60 Sell 5600 7.30 Sell 5100 18.00 Buy 5500 24.15 Buy 5200 31.90 16.85 83.15 5516.85 13.90 86.10 5186.10 Sell 5600 7.30 Sell 5100 18.00 Note: Above mentioned Bullish or Bearish Spreads in Nifty (April Series) are given as an information and not as a recommendation Nifty Put-Call Analysis For Private Circulation Only Sebi Registration No: INB 010996539 2
- 3. Derivative Report | India Research Strategy Date Scrip Strategy Status 29-March-2010 SUZLON Long Call Continue 29-March-2010 IDBI Long Call Continue 05-April-2010 RNRL Long Call Continue 05-April-2010 HUL Long Put Continue DISCLAIMER: This document is not for public distribution and has been furnished to you solely for your information and must not be reproduced or redistributed to any other person. Persons into whose possession this document may come are required to observe these restrictions. Opinion expressed is our current opinion as of the date appearing on this material only. While we endeavor 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. Prospective investors and others are cautioned that any forward- looking statements are not predictions and may be subject to change without notice. Our proprietary trading and investment businesses may make investment decisions that are inconsistent with the recommendations expressed herein. 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 and are for general guidance only. While every effort is made to ensure the accuracy and completeness of information contained, the company takes no guarantee and assumes no liability for any errors or omissions of the information. No one can use the information as the basis for any claim, demand or cause of action. Recipients of this material should rely on their own investigations and take their own professional advice. Each recipient of this document should make such investigations as it deems necessary to arrive at an independent evaluation of an investment in the securities of 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. Price and value of the investments referred to in this material may go up or down. Past performance is not a guide for future performance. Certain transactions - futures, options and other derivatives as well as non-investment grade securities - involve substantial risks and are not suitable for all investors. Reports based on technical analysis centers on studying charts of a stock's price movement 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. We do not undertake to advise you as to any change of our views expressed in this document. While we would endeavor to update the information herein on a reasonable basis, Angel Broking, its subsidiaries and associated companies, their directors and employees are under no obligation to update or keep the information current. Also there may be regulatory, compliance, or other reasons that may prevent Angel Broking and affiliates from doing so. Prospective investors and others are cautioned that any forward-looking statements are not predictions and may be subject to change without notice. Angel Broking Limited and affiliates, including the analyst who has issued this report, may, on the date of this report, and from time to time, have long or short positions in, and buy or sell the securities of the companies mentioned herein or engage in any other transaction involving such securities and earn brokerage or compensation or act as advisor or have other potential conflict of interest with respect to company/ies mentioned herein or inconsistent with any recommendation and related information and opinions. Angel Broking Limited and 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. Sebi Registration No.: INB 010996539 Derivative Research Team derivatives.desk@angeltrade.com For Private Circulation Only Sebi Registration No: INB 010996539 3