Derivatives report 01 oct-2010
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The derivative report provides an analysis of the Indian derivatives market for October 1, 2010. Open interest in Nifty futures increased 2.8% while open interest in Mini Nifty futures rose 1.76%. Nifty October futures closed at a premium of 3.55 points. Put-call ratios increased for several stocks and indices including Nifty and Bank Nifty. Significant positions were observed in 6000 strike call and put options for the October series.
Derivatives report 01 oct-2010
- 1. Derivative Report India Research Oct 01, 2010 Comments Nifty Vs OI The Nifty futures’ open interest increased by 2.80% while Minifty futures’ open interest increased by 1.76% as market closed at 6029.95 levels. The Nifty Oct future closed at a premium of 3.55 points, against a premium of 34.45 points in the last trading session. On the other hand, Nov. future closed at a premium of 7.30 points. The PCR-OI increased from 1.84 to 2.00 points. The Implied volatility of At-the-money options for October series remained same at 20.00%. The total OI of the market is Rs2,10,711cr and the stock futures OI is Rs52,131cr. Rollover for Nifty futures is 71.70% and Minifty futures is 74.69%. OI Gainers View OI PRICE SCRIP OI CHANGE PRICE CHANGE After continuous long unwinding by FIIs in index (%) (%) futures, we saw some buying in yesterday’s trading ORCHIDCHEM 11240000 53.51 234.30 12.43 session. However, they continued to be sellers in the stock futures. They were net buyers of Rs2,497cr in JISLJALEQS 175750 18.35 1189.25 -2.26 the cash market segment. BRFL 4932000 17.29 255.55 -1.88 In the last trading session, significant build up was ASIANPAINT 186250 15.77 2663.20 -3.13 visible in the 6000 call and put options. In the new series, the 6000 strikes call and put options have HDIL 24058000 15.61 259.05 -2.41 highest open interest. OI Losers After some selling pressure throughout the day, market pulled back in the last half an hour of OI PRICE trading session. Strong rollover was observed in SCRIP OI CHANGE PRICE CHANGE (%) (%) most of the stock futures; market-wide rollover is 81.05%. This time rollover of mainly long positions ADANIENT 2211000 -32.55 662.80 -1.54 was observed in the market. NOIDATOLL 5488000 -24.86 31.40 -3.98 Yesterday, significant unwinding was visible in NATIONALUM 2015000 -23.38 398.95 -1.49 NATIONALUM. Rollover is 90.32%. Stock has immediate support around Rs395. Therefore, it is VOLTAS 2038000 -16.82 241.40 -2.17 advisable to form long around support for the FSL 35080000 -14.84 26.90 -1.28 target of Rs420 with a stop loss of Rs385. Put-Call Ratio Historical Volatility SCRIP PCR-OI PCR-VOL SCRIP HV NIFTY 2.00 0.92 ORCHIDCHEM 68.82 RELIANCE 0.41 0.42 GTLINFRA 27.87 BANKNIFTY 3.20 0.72 PATNI 41.82 TATASTEEL 1.01 0.39 GSPL 35.35 SBIN 1.24 0.39 BRFL 21.32 SEBI Registration No: INB 010996539 For Private Circulation Only 1
- 2. Derivative Report | India Research FII Statistics for 30-Sep-2010 Turnover on 30-Sep-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 1018112 29476.14 21.44 5232.84 4652.29 580.55 554650 16750.44 -22.67 FUTURES INDEX Stock Futures 1568970 48632.98 15.73 5825.05 6817.77 (992.72) 1742460 52535.54 -41.09 OPTIONS STOCK Index Options 4289422 128163.2 31.61 7354.32 7836.05 (481.73) 1263679 37521.13 -11.93 FUTURES STOCK Stock Options 155992 5332.45 -4.41 3.95 18.17 (14.22) 9602 300.75 -80.74 OPTIONS TOTAL 18416.16 19324.28 (908.12) 3570391 107107.86 -30.80 Total 7032496 211604.77 25.02 Nifty Spot = 6029.95 Lot Size = 50 Bull-Call Spreads Bear-Put Spreads Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP Buy 6100 103.50 Buy 6000 126.35 38.05 61.95 6138.05 37.60 62.40 5962.40 Sell 6200 65.45 Sell 5900 88.75 Buy 6100 103.50 Buy 6000 126.35 65.35 134.65 6165.35 63.85 136.15 5936.15 Sell 6300 38.15 Sell 5800 62.50 Buy 6200 65.45 Buy 5900 88.75 27.30 72.70 6227.30 26.25 73.75 5873.75 Sell 6300 38.15 Sell 5800 62.50 Note: Above mentioned Bullish or Bearish Spreads in Nifty (October 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 30-Aug-10 RELINFRA Long Call Ladder Expired in maximum profit 06-Sep-10 BHARTIARTL Ratio Put Spread Expired in loss 13-Sep-10 HINDUNILVR Call Hedge Expired in loss 13-Sep-10 NIFTY Long Put Expired in loss 20-Sep-10 RPOWER Ratio Bull Call Spread Expired in marginal loss 20-Sep-10 IFCI Ratio Bull Call Spread Expired in profit 27-Sep-10 RELIANCE Long Call Expired in loss 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 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 endeavours 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). Derivative Research Team derivatives.desk@angeltrade.com For Private Circulation Only SEBI Registration No: INB 010996539 3