Derivatives report 18 oct-2010
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The document provides a derivative report for India from October 18, 2010. It summarizes key data points from the derivatives market including: - Nifty futures open interest increased 1.1% while Mini Nifty increased 6.6% as the market closed at 6,062.65. - Several stocks saw increases or decreases in open interest between 10-45%, including gains in ORCHIDCHEM and IVRCLINFRA and losses in OPTOCIRCUI and SUNTV. - The put-call ratio decreased from 1.35 to 1.28. Implied volatility of at-the-money options increased from 18.25% to 20%. - Analysis and strategies
Derivatives report 18 oct-2010
- 1. Derivative Report India Research Oct 18, 2010 Comments Nifty Vs OI The Nifty futures’ open interest increased by 1.10% while Minifty futures’ open interest increased by 6.60% as market closed at 6062.65 levels. The Nifty Oct future closed at a premium of 29.35 points, against a premium of 20.15 points in the last trading session. On the other hand, Nov future closed at a premium of 50.70 points. The PCR-OI decreased from 1.35 to 1.28 points. The Implied volatility of At-the-money options increased from 18.25% to 20.00%. The total OI of the market is `1,81,867cr and the stock futures OI is `50,994cr. Few liquid counters where cost of carry is positive are EKC, GTL, GTLINFRA, IVRCLINFRA and GSPL. OI Gainers View OI PRICE Some long unwinding was observed in the Index SCRIP OI CHANGE PRICE CHANGE (%) (%) futures and shorting was observed in the stock futures from the FIIs. A small selling worth `113cr ORCHIDCHEM 9810000 45.81 309.75 6.44 by FIIs was visible in the cash market and DIIs were net sellers of `1053cr in cash. IVRCLINFRA 9753000 22.97 153.05 -5.32 In the last trading session, a significant build up MUNDRAPORT 6695000 15.88 161.90 -3.00 was observed in the 6100 and 6200 Call options, LICHSGFIN 3259250 14.80 1380.30 -5.41 and the 5900 and 6000 put options. 6000 put is NAGARFERT 37992000 14.10 35.80 -0.69 still standing with highest open interest and no unwinding was observed in it. We expect market to OI Losers take support around that level. After two days of correction, some strength was OI PRICE SCRIP OI CHANGE PRICE CHANGE observed in NTPC in the last trading session. (%) (%) Positional traders can form covered call writing strategy in it. It is advisable to buy NTPC futures OPTOCIRCUI 846000 -10.10 314.30 -2.24 around `205 and sell 210 call option around SUNTV 696000 -7.63 512.70 -0.13 `2.50. CANBK 1492500 -7.36 645.60 -0.84 IVRCLINFRA added around 23% open interest in the last trading session due to short formations. Stock CONCOR 127500 -7.27 1315.05 0.02 has strong support around `150. Correction up to IOB 3836000 -6.89 160.45 -0.80 support can be used to form long for the target of `165 with a stop loss of `144. Put-Call Ratio Historical Volatility SCRIP PCR-OI PCR-VOL SCRIP HV NIFTY 1.28 0.94 BEL 34.70 RELIANCE 0.36 0.26 INFOSYSTCH 29.62 TATASTEEL 0.28 0.32 LICHSGFIN 42.44 INFOSYSTCH 0.22 0.35 IVRCLINFRA 40.64 SBIN 0.92 0.48 JISLJALEQS 31.56 SEBI Registration No: INB 010996539 For Private Circulation Only 1
- 2. Derivative Report | India Research FII Statistics for 15-Oct-2010 Turnover on 15-Oct-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 630884 18285.63 -8.25 1312.86 1838.97 (526.11) 517260 15753.17 -1.26 FUTURES INDEX Stock Futures 668534 23385.25 -13.24 9295.27 8256.33 1038.94 2089083 63327.48 3.29 OPTIONS STOCK Index Options 2913434 90364.8 5.37 1380.50 2043.88 (663.38) 1463950 44312.72 0.56 FUTURES STOCK Stock Options 158117 5867.57 -11.61 505.09 533.33 (28.24) 40208 1316.20 -0.04 OPTIONS TOTAL 12493.72 12672.51 (178.79) 4110501 124709.56 1.68 Total 4370969 137903.25 -0.99 Nifty Spot = 6062.65 Lot Size = 50 Bull-Call Spreads Bear-Put Spreads Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP Buy 6100 84.00 Buy 6000 56.15 39.85 60.15 6139.85 23.80 76.20 5976.20 Sell 6200 44.15 Sell 5900 32.35 Buy 6100 84.00 Buy 6000 56.15 62.10 137.90 6162.10 37.50 162.50 5962.50 Sell 6300 21.90 Sell 5800 18.65 Buy 6200 44.15 Buy 5900 32.35 22.25 77.75 6222.25 13.70 86.30 5886.30 Sell 6300 21.90 Sell 5800 18.65 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 04-Oct-10 JPASSOCIAT Bull Call Spread Continue 11-Oct-10 RELIANCE Long Call Continue 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