Derivatives Report - 9 Apr 2010
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The derivative report provides an analysis of the derivatives market in India on April 09, 2010. It summarizes that open interest in Nifty futures decreased by 1.05% while open interest in Minifutures decreased by 16.99%. The report also lists top gainers and losers in terms of changes in open interest, provides analysis of various spreads trades, and recaps open derivative strategies and their current status.
Derivatives Report - 9 Apr 2010
- 1. Derivative Report India Research April 09, 2010 Comments Nifty Vs OI The Nifty futures’ open interest decreased by 1.05%, while, Minifty futures open interest decreased by 16.99%, as market closed at 5304.45 levels. The Nifty April future closed at a discount of 2.85 points, as against a premium of 4.30 points in the last trading session, while the May future closed at a premium of 4.15 points. The PCR-OI decreased from 1.32 to 1.26 points. The Implied volatility of At-the-money options increased from 15.00% to 17.00%. The total open interest of the market is Rs1,13,996cr of which Stock futures’ open interest is Rs34,149cr. Some liquid stocks where cost of carry is positive are WELGUJ, CHENNPETRO, RECLTD, IFCI and HINDPETRO. OI Gainers View OI PRICE SCRIP OI CHANGE PRICE CHANGE Although considerable unwinding is witnessed in (%) (%) the Index Futures from the FIIs side, they did a small buying in the cash segment. Global cues are mixed. SAIL 7558650 40.08 236.65 -7.25 We may see a flattish opening. LITL 24052600 18.40 56.9 4.88 Yesterday, significant correction from higher levels, ASIANPAINT 20800 18.18 2033.4 -0.55 mainly due to unwinding in most of the counters has been observed. Although some unwinding in CROMPGREAV 1629250 12.71 268.15 -1.12 the put options is witnessed, it is not significant JISLJALEQS 35500 12.70 1021.9 0.74 enough to indicate significant correction in the market. OI Losers Continuous correction in ONGC has taken place OI PRICE and the counter has strong support around SCRIP OI CHANGE PRICE CHANGE Rs.1050. Negative move around support can be (%) (%) used by positional traders to form long positions, for the target of Rs.1100, with the stop loss of COLPAL 226050 -15.43 703.45 -1.00 Rs.1035. APOLLOTYRE 4641000 -15.43 77.65 -4.49 Amongst IT stocks HCLTECH is trading around its SINTEX 904400 -12.94 310.00 -1.34 support of Rs340 levels. Due to short covering in PFC 745200 -8.27 267.80 -1.81 the counter we can expect target of Rs.360 with the stop loss of Rs.332. INDIANB 719400 -8.15 182.55 -2.74 Put-Call Ratio Historical Volatility SCRIP PCR-OI PCR-VOL SCRIP HV NIFTY 1.26 1.23 WELGUJ 48.07 RELIANCE 0.30 0.29 SAIL 48.55 BHARTIARTL 0.50 0.37 HINDALCO 46.31 SUZLON 0.27 0.15 HDFC 30.62 INFOSYSTCH 0.33 0.31 ONGC 21.77 Sebi Registration No: INB 010996539 For Private Circulation Only 1
- 2. Derivative Report | India Research FII Statistics for 08-April-2010 Turnover on 08-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 565090 14600.80 42.22 1206.21 2614.42 (1,408.21) 499597 13418.67 -2.54 FUTURES INDEX Stock Futures 465693 16832.66 0.40 3702.51 1935.68 1,766.83 1390444 36903.19 4.88 OPTIONS STOCK Index Options 1515123 40633.57 23.32 765.61 1403.58 (637.98) 868849 29062.51 0.80 FUTURES STOCK Stock Options 92274 3478.54 9.02 181.56 204.52 (22.96) 20691 652.63 23.45 OPTIONS TOTAL 5855.89 6158.20 (302.32) 2779581 80037.00 2.30 Total 2638180 75545.57 19.59 Nifty Spot = 5304.45 Lot Size = 50 Bull-Call Spreads Bear-Put Spreads Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP Buy 5300 88.00 Buy 5200 54.20 44.90 55.10 5344.90 22.40 77.60 5177.60 Sell 5400 43.10 Sell 5100 31.80 Buy 5300 88.00 Buy 5200 54.20 71.30 128.70 5371.30 35.45 164.55 5164.55 Sell 5500 16.70 Sell 5000 18.75 Buy 5400 43.10 Buy 5100 31.80 26.40 73.60 5426.40 13.05 86.95 5086.95 Sell 5500 16.70 Sell 5000 18.75 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 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