Derivatives report 19 apr 2010
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This document provides a summary of derivative market activity in India on April 19, 2010. Key points include: - Open interest in Nifty futures decreased slightly while open interest in Mini Nifty futures decreased more sharply. - The PCR for Nifty is currently 1.24. - Some stocks with positive cost of carry include STERLINBIO, SCI, TTML, GTLINFRA and MTNL. - FII data shows a net sell in index futures and stock futures, while volatility is decreasing across many stocks.
Derivatives report 19 apr 2010
- 1. Derivative Report India Research April 19, 2010 Comments Nifty Vs OI The Nifty futures’ open interest decreased by 0.18%, while, Minifty futures open interest decreased by 1.73%, as market closed at 5262.60 levels. The Nifty April future closed at a premium of 0.45 points, as against a premium of 3.70 points in the last trading session, while the May future closed at a premium of 3.15 points. The PCR-OI is 1.24 points as against 1.23 points. The Implied volatility of At-the-money options is at 19.00%. The total open interest of the market is Rs1,24,505cr of which Stock futures’ open interest is Rs35,697cr. Some liquid stocks where cost of carry is positive are STERLINBIO, SCI, TTML, GTLINFRA and MTNL. OI Gainers OI PRICE View SCRIP OI CHANGE PRICE CHANGE (%) (%) FIIs have formed significant short positions in the Index Futures and Stock Futures. Due to negative GLAXO 45000 94.81 1827.8 0.97 global cues we may see a gap down opening TITAN 243698 48.99 2056.1 4.67 around 5200 levels. ABIRLANUVO 1086000 25.69 834.8 -5.76 In last trading session, unwinding in both call and put options have been observed, but 5300 put GESHIP 736800 20.39 324.15 4.21 shaded highest open interest. We advise to buy JISLJALEQS 38250 15.04 1005.4 -2.41 around 5150 levels, as option data is not suggesting any major correction in the market as of OI Losers now. OI PRICE ABIRLANUVO has support zone of 800-810. In last SCRIP OI CHANGE PRICE CHANGE trading session, we have witnessed a good build-up (%) (%) in the counter, after significant correction from higher levels. Today’s gap-down opening around PFC 700800 -15.85 261.35 1.00 support can be used to go long by positional COLPAL 161150 -13.57 733.95 2.50 traders. PNB 1815600 -7.38 995.40 1.04 As crude oil prices are correcting, positive move in OMCs can be expected. ESSAROIL 18291048 -6.23 138.80 -2.73 INDIANB 825000 -6.02 181.10 0.11 Put-Call Ratio Historical Volatility SCRIP PCR-OI PCR-VOL SCRIP HV NIFTY 1.24 1.02 ABIRLANUVO 43.48 RELIANCE 0.28 0.32 TITAN 35.22 INFOSYSTCH 1.04 0.83 FINANTECH 36.82 BHARTIARTL 0.46 0.50 NEYVELILIG 31.84 SUZLON 0.24 0.20 GESHIP 38.88 Sebi Registration No: INB 010996539 For Private Circulation Only 1
- 2. Derivative Report | India Research FII Statistics for 16-April-2010 Turnover on 16-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 505470 13074.92 -1.47 1025.28 2086.26 (1,060.99) 538832 14410.41 4.29 FUTURES INDEX Stock Futures 412259 15228.09 -10.59 3222.47 2957.32 265.15 1507478 39698.90 0.80 OPTIONS STOCK Index Options 1643607 43748.56 13.23 996.42 1274.44 (278.02) 906436 29988.37 0.71 FUTURES STOCK Stock Options 95414 3778.16 -20.87 233.11 254.26 (21.16) 29889 974.17 1.43 OPTIONS TOTAL 5477.27 6572.29 (1,095.02) 2982635 85071.84 1.40 Total 2656750 75829.74 2.87 Nifty Spot = 5262.60 Lot Size = 50 Bull-Call Spreads Bear-Put Spreads Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP Buy 5300 56.15 Buy 5200 53.50 35.60 64.40 5335.60 25.80 74.20 5174.20 Sell 5400 20.55 Sell 5100 27.70 Buy 5300 56.15 Buy 5200 53.50 50.75 149.25 5350.75 39.30 160.70 5160.70 Sell 5500 5.40 Sell 5000 14.20 Buy 5400 20.55 Buy 5100 27.70 15.15 84.85 5415.15 13.50 86.50 5086.50 Sell 5500 5.40 Sell 5000 14.20 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