Derivatives report 27 may-2010
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The document provides a summary of derivative market activity in India for May 27, 2010. It notes that open interest for Nifty futures decreased by 8.26% while Minifity futures decreased by 16.72%. The Nifty May future closed at a discount while the June future closed at a discount of 13.25 points. Some stocks like Hindzinc, Indhotel, and Canbk saw increases in open interest while stocks like Grasim, HotelEela, and Minifty saw decreases in open interest.
Derivatives report 27 may-2010
- 1. Derivative Report India Research May 27, 2010 Comments Nifty Vs OI The Nifty futures’ open interest decreased by 8.26%, while, Minifty futures open interest decreased by 16.72%, as market closed at 4917.40 levels. The Nifty May future closed at a discount of 0.35 points, as against a premium of 2.60 points in the last trading session, while the June future closed at a discount of 13.25 points. The PCR-OI has decreased from 0.99 to 0.78 points. The Implied volatility of At-the-money options decreased from 31.50% to 29.00%. Rollover for the Nifty Futures is 52.05% and market wide rollover is 60.96%. The total open interest of the market is Rs1,54,207cr of which Stock futures’ open interest is Rs35,452cr. Some liquid counters were cost of carry is positive are IDEA, STERLINBIO, UNIPHOS, STER and EDUCOMP. OI Gainers View OI PRICE SCRIP OI CHANGE PRICE CHANGE Yesterday, significant short covering was visible in (%) (%) most of the stocks. FIIs also covered some of their HINDZINC 573000 17.36 931.95 0.71 short positions in the Index futures and the Stock futures, still minor selling of Rs167cr was visible in INDHOTEL 5311826 16.33 98.65 -3.00 the cash market segment. CANBK 1304500 12.56 391.10 -1.77 A significant unwinding was visible in most of the CUMMINSIND 308050 12.10 536.05 -1.33 call and the put options, yesterday. In June series the 5100 call option and most of the out-of-money RECLTD 4128150 10.38 277.95 4.00 put options added considerable open interest. OI Losers In the last trading session, CANBK added considerable open interest. The stock has OI PRICE immediate support around current levels. Day SCRIP OI CHANGE PRICE CHANGE (%) (%) traders can use negative opening around Rs386 level to trade with positive bias for the target price GRASIM 101000 -74.06 1838.80 -20.71 of Rs396-398. HOTELEELA 4980500 -17.72 45.60 3.40 Some liquid counters where rollover is high are MINIFTY 1786160 -16.72 4917.40 2.30 GTL, ADANIENT, LICHSGFIN, BHARATFORG and BALRAMCHIN. Stocks were rollover is less are PANTALOONR 1314950 -13.48 364.90 1.49 DCHL, CHENNPETRO, ANDHRABANK, UNIPHOS 2216800 -13.30 167.70 5.50 STERLINBIO and, CIPLA. Put-Call Ratio Historical Volatility SCRIP PCR-OI PCR-VOL SCRIP HV NIFTY 0.78 1.04 GRASIM 114.12 RELIANCE 0.20 0.34 TCS 39.16 BANKNIFTY 1.92 0.71 INFOSYSTCH 30.36 ICICIBANK 0.85 0.88 IDFC 54.64 RNRL 0.35 0.41 GMRINFRA 55.40 Sebi Registration No: INB 010996539 For Private Circulation Only 1
- 2. Derivative Report | India Research FII Statistics for 26-May-2010 Turnover on 26-May-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 1046038 24155.94 -20.73 8323.96 7129.88 1,194.08 741539 18139.38 -8.38 FUTURES INDEX Stock Futures 1055283 30052.08 -5.28 6553.02 6747.85 (194.82) 2216104 54453.44 0.75 OPTIONS STOCK Index Options 3024691 74544.16 -10.90 7040.72 5977.75 1,062.97 1044666 28899.35 -0.96 FUTURES STOCK Stock Options 96649 3300.64 -12.26 162.59 244.29 (81.70) 54006 1637.03 1.68 OPTIONS TOTAL 22080.29 20099.76 1,980.53 4056315 103129.20 -1.47 Total 5222661 132052.82 -11.74 Nifty Spot = 4917.40 Lot Size = 50 Bull-Call Spreads Bear-Put Spreads Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP Buy 5000 109.30 Buy 4900 160.85 39.95 60.05 5039.95 36.75 63.25 4863.25 Sell 5100 69.35 Sell 4800 124.10 Buy 5000 109.30 Buy 4900 160.85 68.30 131.70 5068.30 65.45 134.55 4834.55 Sell 5200 41.00 Sell 4700 95.40 Buy 5100 69.35 Buy 4800 124.10 28.35 71.65 5128.35 28.70 71.30 4771.30 Sell 5200 41.00 Sell 4700 95.40 Note: Above mentioned Bullish or Bearish Spreads in Nifty (June 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 30-04-2010 RELCAPITAL Long Call Ladder Continue 30-04-2010 NAGARFERT Long Call Continue 08-05-2010 HINDUNILVR Short Strangle Profit booked on 21-05-2010 17-May-2010 CAIRN Long Put Profit booked on 20-05-2010 24-May-2010 MARUTI Long Call Continue 24-May-2010 STER Long Call 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