Derivatives report 27 oct-2010
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- The open interest for Nifty futures increased by 8.94% while for Mini Nifty futures it increased by 2.06% as the market closed at 6082 levels. - The Nifty October future closed at a premium of 26.25 points compared to 30.40 points in the previous session, while the November future closed at a premium of 55.05 points. - The put-call ratio decreased from 1.23 to 1.22 for Nifty and some stocks saw increases or decreases in their open interest levels.
Derivatives report 27 oct-2010
- 1. Derivative Report India Research Oct 27, 2010 SEBI Registration No: INB 010996539 For Private Circulation Only 1 Comments The Nifty futures’ open interest increased by 8.94% while Minifty futures’ open interest increased by 2.06% as market closed at 6082 levels. The Nifty Oct future closed at a premium of 26.25 points, against a premium of 30.40 points in the last trading session. On the other hand, Nov future closed at a premium of 55.05 points. The PCR-OI decreased from 1.23 to 1.22 points. The Implied volatility of At-the-money options for October series decreased from 18.00% to 17.75%, while for November series, it decreased from 20.00% to 19.00%. The total OI of the market is `1,95,940cr and the stock futures OI is `55,863cr. Rollover for Nifty futures is 38.64%, Minifty futures is 38.95%, while market-wide rollover is 45.10%. Nifty Vs OI OI Gainers SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%) ORCHIDCHEM 10438000 47.30 340.45 2.73 DENABANK 16656000 22.43 137.75 8.76 TECHM 1723250 19.77 786.35 2.84 BHEL 3551125 18.92 2489.40 -1.47 KOTAKBANK 4174000 15.46 492.10 -1.98 Put-Call Ratio SCRIP PCR-OI PCR-VOL NIFTY 1.22 0.89 RELIANCE 0.55 0.28 TATASTEEL 0.21 0.49 INFOSYSTCH 0.18 0.31 SBIN 0.71 0.46 View FIIs data is showing strong build up in open interest but there are no major changes in the net figure. This suggests they have differences in their views. Some are forming fresh long while others are forming fresh short positions. Yesterday, significant build up was observed in the 6200 call option and unwinding was observed in the 6200 put option of Oct. expiry. In Nov. expiry the 6300 call option and the 6000 put option added highest open interest. Since start of the month continuously HINDZINC has witnessed unwinding in open interest and yesterday it reduced open interest by 11%. Rollover is also less in this stock. It is advisable to form short position in Nov. contracts for the target of `1210 with a stop loss of `1280. CESC is showing some strength and stock has short positions too. We may see a short covering in the stock up to `400. It is advisable to trade with positive bias with a stop loss of `377. Historical Volatility SCRIP HV DENABANK 55.88 TITAN 39.97 UNIPHOS 57.74 DCHL 38.38 MARUTI 32.18 OI Losers SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%) DISHTV 15032000 -25.99 59.25 3.40 ICSA 3818000 -18.87 132.00 1.11 HINDZINC 278750 -10.87 1255.40 -0.56 IDEA 19724000 -10.23 69.45 -3.00 ROLTA 6040000 -9.15 172.40 2.22
- 2. Derivative Report | India Research For Private Circulation Only SEBI Registration No: INB 010996539 2 FII Statistics for 26-Oct-2010 Detail Buy Sell Net Open Interest Contracts Value Change (` in cr.) (%) INDEX FUTURES 6836.63 6971.40 (134.78) 648725 19837.99 17.24 INDEX OPTIONS 4911.44 4590.29 321.16 2122234 64537.58 0.16 STOCK FUTURES 7708.60 8561.49 (852.89) 1504773 45860.09 -0.16 STOCK OPTIONS 341.21 338.18 3.02 40365 1328.47 -3.34 TOTAL 19797.88 20461.37 (663.49) 4316097 131564.13 2.25 Turnover on 26-Oct-2010 Instrument No. of Contracts Turnover (` in cr.) Change (%) Index Futures 701402 20777.59 -4.37 Stock Futures 1200477 40406.41 12.90 Index Options 2546293 78193.43 -20.25 Stock Options 136724 5026.41 -4.00 Total 4584896 144403.84 -10.19 Nifty Spot = 6082.00 Lot Size = 50 Bull-Call Spreads Bear-Put Spreads Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP Buy 6100 37.45 30.75 69.25 6130.75 Buy 6000 6.25 5.00 95.00 5995.00 Sell 6200 6.70 Sell 5900 1.25 Buy 6100 37.45 36.30 163.70 6136.30 Buy 6000 6.25 5.60 194.40 5994.40 Sell 6300 1.15 Sell 5800 0.65 Buy 6200 6.70 5.55 94.45 6205.55 Buy 5900 1.25 0.60 99.40 5899.40 Sell 6300 1.15 Sell 5800 0.65 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
- 3. Derivative Report | India Research For Private Circulation Only SEBI Registration No: INB 010996539 3 Strategy Date Scrip Strategy Status 04-Oct-10 JPASSOCIAT Bull Call Spread Continue 11-Oct-10 RELIANCE Long Call Profit booked on 25-Oct-10 18-Oct-10 NIFTY Long Call Ladder Continue 18-Oct-10 CAIRN Short Straddle Continue 25-Oct-10 TATASTEEL Long Call Call not triggered 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