Derivatives Report, 13 Apr 2010
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The Nifty futures open interest increased by 3.5% while the Minifity futures open interest decreased by 7.25%. The implied volatility of at-the-money options increased from 16% to 17.5%. Some stocks where the cost of carry is positive include IndiaInfo, Patni, Suntv, PirHealth and GVKPil. Cipla saw an increase in open interest of 35.97% while Cesc saw a decrease of 19.9%.
Derivatives Report, 13 Apr 2010
- 1. Derivative Report India Research April 13, 2010 Comments Nifty Vs OI The Nifty futures’ open interest increased by 3.50%, while, Minifty futures open interest decreased by 7.25%, as market closed at 5339.70 levels. The Nifty April future closed at a premium of 4.10 points, as against a premium of 3.15 points in the last trading session, while the May future closed at a premium of 7.60 points. The PCR-OI decreased from 1.39 to 1.29 points. The Implied volatility of At-the-money options increased from 16.00% to 17.50%. The total open interest of the market is Rs1,20,597cr of which Stock futures’ open interest is Rs35,187cr. Some liquid stocks where cost of carry is positive are INDIAINFO, PATNI, SUNTV, PIRHEALTH and GVKPIL. OI Gainers View OI PRICE SCRIP OI CHANGE PRICE CHANGE A blend of short formations and some profit (%) (%) booking was visible in the Stock Futures from FIIs side. Global cues are suggesting a flattish to CIPLA 4318750 35.97 334 -0.42 negative opening. VOLTAS 2049300 28.43 189.65 2.04 Yesterday, the 5300 and the 5400 call options LT 2962800 12.16 1605.4 -2.15 added significant open-interest, and unwinding in the 5400 and 5200 puts have been witnessed. PIRHEALTH 2491500 12.08 463 -0.73 Market was moving in a narrow range. Today, ZEEL 5408200 11.74 291.15 3.24 Infosys result may give some direction to the market. OI Losers Yesterday’s build-up in CIPLA may be a buying OI PRICE position, as cost-of-carry has also increased. We SCRIP OI CHANGE PRICE CHANGE may see a positive move in the stock. Therefore, it is (%) (%) advisable to form long positions around Rs.330, for the target of Rs. 350 with the stop loss of Rs. 323. CESC 673200 -19.90 412.25 1.18 GODREJIND 1060800 -11.97 160.15 0.60 After a strong positive move, UNIONBANK is showing resistance around current levels. Due to ANDHRABANK 4077900 -11.62 116.65 -0.34 profit booking we may see a negative move in it. ALBK 2672950 -11.30 158.80 -3.52 Shorting is advisable with the stop loss of Rs. 308, for the target of Rs. 285. BHUSANSTL 437000 -9.15 1812.75 -0.56 Put-Call Ratio Historical Volatility SCRIP PCR-OI PCR-VOL SCRIP HV NIFTY 1.29 1.35 DRREDDY 30.42 RELIANCE 0.36 0.38 GAIL 31.25 BHARTIARTL 0.47 0.29 BANKBARODA 33.06 INFOSYSTCH 0.35 0.33 BALRAMCHIN 53.72 SUZLON 0.26 0.13 TV-18 37.12 Sebi Registration No: INB 010996539 For Private Circulation Only 1
- 2. Derivative Report | India Research FII Statistics for 12-April-2010 Turnover on 12-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 433844 11211.90 -8.20 984.83 972.07 12.76 518955 14050.05 2.20 FUTURES INDEX Stock Futures 366307 13670.45 -12.74 2179.86 2350.21 (170.35) 1440793 38494.57 0.29 OPTIONS STOCK Index Options 1437655 38523.27 2.46 1064.15 1414.83 (350.68) 884202 29611.35 0.30 FUTURES STOCK Stock Options 70669 2881.97 -14.96 96.75 94.72 2.03 25377 820.75 2.85 OPTIONS TOTAL 4325.60 4831.83 (506.23) 2869327 82976.71 0.65 Total 2308475 66287.59 -3.74 Nifty Spot = 5339.70 Lot Size = 50 Bull-Call Spreads Bear-Put Spreads Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP Buy 5400 51.65 Buy 5300 66.75 32.30 67.70 5432.30 26.60 73.40 5273.40 Sell 5500 19.35 Sell 5200 40.15 Buy 5400 51.65 Buy 5300 66.75 45.95 154.05 5445.95 43.90 156.10 5256.10 Sell 5600 5.70 Sell 5100 22.85 Buy 5500 19.35 Buy 5200 40.15 13.65 86.35 5513.65 17.30 82.70 5182.70 Sell 5600 5.70 Sell 5100 22.85 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 Profit Booked on 06-Apr-2010 05-April-2010 RNRL Long Call Continue 05-April-2010 HUL Long Put Profit Booked on 08-Apr-2010 12-April-2010 JPASSOCIAT Ratio Call Spread 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