Derivatives report 20 oct-2010
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The document provides a summary of derivative market activity in India for October 20, 2010. It notes that open interest for Nifty futures decreased while open interest for Minifity futures increased. The Nifty October future closed at a premium while the November future also closed at a premium. Implied volatility of at-the-money options increased. Several stocks saw increases and decreases in open interest. The document also provides analysis of bullish and bearish option strategies and reviews open derivative positions.
Derivatives report 20 oct-2010
- 1. Derivative Report India Research Oct 20, 2010 Comments Nifty Vs OI The Nifty futures’ open interest decreased by 2.83% while Minifty futures’ open interest increased by 5.53% as market closed at 6027.30 levels. The Nifty Oct future closed at a premium of 16.85 points, against a premium of 46.25 points in the last trading session. On the other hand, Nov future closed at a premium of 45.40 points. The PCR-OI decreased from 1.26 to 1.22 points. The Implied volatility of At-the-money options increased from 19.75% to 21.00%. The total OI of the market is `1,84,442cr and the stock futures OI is `51,548cr. Few liquid counters where cost of carry is positive are COREPROTEC, HEXAWARE, TRIVENI, GVKPIL and WELCORP. OI Gainers OI PRICE View SCRIP OI CHANGE PRICE CHANGE (%) (%) FIIs have covered some of their short positions in the Index futures. They were net buyers of `107cr in BIOCON 5676000 20.03 454.95 12.86 the cash market segment. POWERGRID 33548000 19.91 105.35 -1.31 Yesterday, a considerable build up was observed in SESAGOA 15561000 12.85 359.30 -3.52 the 6100 call options and unwinding was observed in the 6100 put option. After a gap down opening, M&M 11723000 11.83 701.50 0.04 traders can use 6100 call option to trade with HEXAWARE 4016000 11.31 84.00 1.39 positive bias around `40 for the target of `80 with a stop loss of `25. OI Losers M&M added significant open interest over a month. OI PRICE It has its immediate support around `690. Negative SCRIP OI CHANGE PRICE CHANGE move around support can be used to trade with (%) (%) positive bias as some strength was also observed in JISLJALEQS 260250 -15.64 1137.55 5.50 it. Target for the stock is `720 and stop loss is `678. HCLTECH 1772000 -11.75 439.25 -1.61 Some shorting was witnessed in EDUCOMP. We TECHM 1314750 -10.33 761.25 0.71 expect further correction in the stock too. Thus, LT 2982875 -9.49 1995.80 -0.97 trading with negative bias is advisable for the target of `600. GAIL 2617500 -9.07 509.50 1.57 Put-Call Ratio Historical Volatility SCRIP PCR-OI PCR-VOL SCRIP HV NIFTY 1.22 1.01 BIOCON 67.87 RELIANCE 0.36 0.28 JISLJALEQS 38.84 TATASTEEL 0.28 0.36 INFOSYSTCH 32.74 INFOSYSTCH 0.19 0.22 FEDERALBNK 45.09 SBIN 0.74 0.41 MUNDRAPORT 44.19 SEBI Registration No: INB 010996539 For Private Circulation Only 1
- 2. Derivative Report | India Research FII Statistics for 19-Oct-2010 Turnover on 19-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 772519 22520.77 8.96 2222.40 1741.72 480.68 520672 15721.91 -1.97 FUTURES INDEX Stock Futures 789716 26069.52 16.50 5571.13 5568.10 3.03 2095806 63160.76 0.60 OPTIONS STOCK Index Options 3096661 95135.42 2.12 3200.52 3349.89 (149.36) 1488387 44587.06 0.73 FUTURES STOCK Stock Options 145183 5087.07 7.66 446.10 450.94 (4.84) 41034 1329.25 3.87 OPTIONS TOTAL 11440.16 11110.65 329.50 4145899 124798.98 0.35 Total 4804079 148812.78 5.59 Nifty Spot = 6027.30 Lot Size = 50 Bull-Call Spreads Bear-Put Spreads Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP Buy 6100 53.75 Buy 6000 62.00 28.50 71.50 6128.50 27.95 72.05 5972.05 Sell 6200 25.25 Sell 5900 34.05 Buy 6100 53.75 Buy 6000 62.00 42.80 157.20 6142.80 44.85 155.15 5955.15 Sell 6300 10.95 Sell 5800 17.15 Buy 6200 25.25 Buy 5900 34.05 14.30 85.70 6214.30 16.90 83.10 5883.10 Sell 6300 10.95 Sell 5800 17.15 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 18-Oct-10 NIFTY Long Call Ladder Continue 18-Oct-10 CAIRN Short Straddle 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