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Derivatives Report 24 Aug 2012

The document provides a summary of derivative market activity and commentary on August 24, 2012. Key points include: - Nifty and Bank Nifty futures open interest increased slightly while implied volatility decreased. - Open interest in calls on the Nifty 5500 strike increased while most other strikes saw unwinding. - FIIs were net buyers in the cash and futures markets but their options activity was mixed. - Technical analysis identifies TATAMTRDVR as shorting opportunity based on short covering and negative cost of carry.

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589 views

Derivatives Report 24 Aug 2012

The document provides a summary of derivative market activity and commentary on August 24, 2012. Key points include: - Nifty and Bank Nifty futures open interest increased slightly while implied volatility decreased. - Open interest in calls on the Nifty 5500 strike increased while most other strikes saw unwinding. - FIIs were net buyers in the cash and futures markets but their options activity was mixed. - Technical analysis identifies TATAMTRDVR as shorting opportunity based on short covering and negative cost of carry.

Uploaded by

Angel Broking
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Derivative Report

Aug 24, 2012

Comments
The Nifty futures open interest increased by 0.66% while

Nifty Vs OI

BankNifty futures open interest is increased by 0.70% as market closed at 5415.35 levels.
The Nifty Aug. future closed at premium of 11.80 point

against premium of 20.90 points. The Sept. series closed at a premium of 38.80 points.
The Implied Volatility of at the money options is

decreased from 12.55% to 12.45%.


Nifty PCR-OI is unchanged at 1.30 levels. The total OI of the market is `1,55,410/- cr. and the

stock futures OI are `33,027/- cr.


Few of the

liquid counters where we have seen high Cost-of-Carry are TTML, ORCHIDCHEM, VIDEOIND, PIRHEALTH and RUCHISOYA.

OI Gainers
SCRIP OPTOCIRCUI MTNL FORTIS VOLTAS ORIENTBANK OI 7315000 37296000 4310000 2046000 736000 OI CHANGE (%) 39.95 26.10 18.73 10.95 10.51 PRICE 121.15 39.15 99.50 116.40 236.55 PRICE CHANGE (%) -11.93 11.51 0.00 4.71 0.41

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `311/- cr. On derivatives front there activity in index futures was quite muted however in open interest terms they have buildup some positions, while in index options they were net buyers with decent buildup in open interest in yesterdays trade.
On options front most of the strike price has seen

OI Losers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)

unwinding in open interest except in 5500 call option where some buildup was observed. Maximum unwinding was seen in 5300 put option, we feel it was much of the short covering over there.
The recent bounce in the counter of TATAMTRDVR

JETAIRWAYS MAX GSPL SUZLON RELCAPITAL

2016000 654000 3032000 115360000 5397500

-22.01 -14.84 -14.45 -11.28 -8.14

379.55 189.40 77.10 16.55 352.30

-4.72 -0.26 4.18 -0.30 -1.45

was mainly due to short covering. The counter in yesterdays trade has seen good amount of buildup in open interest with negative CoC. We feel majority of the buildup is on the shorter side, Hence we recommend to go short on this stock with the target price of `136 and stop loss at `148.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN INFY ICICIBANK PCR-OI 1.30 0.80 0.35 1.20 0.91 PCR-VOL 1.26 0.63 0.44 0.58 0.55

Historical Volatility
SCRIP OPTOCIRCUI SKUMARSYNF MTNL AIL BHUSANSTL HV 74.86 85.22 73.51 38.80 13.69

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Derivative Report
Aug 24, 2012

FII Statistics for 23-August-2012


Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 17678.26 53123.50 26289.58 2424.00 99515.35 Change (%) 2.99 3.97 1.20 (0.99) 2.93

Turnover on 23-August-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1398.44

1402.19

(3.75) 467.49 (77.41) 7.28 393.62

684599 1963680 973047 86766 3708092

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,55,689 35,91,354 6,18,330 2,40,190 48,05,563

9162.51 97382.19 16451.44 6814.06 1,29,810.20

27.29 22.27 19.26 8.71 21.42

14516.32 14048.83 3219.78 1001.17 3297.19 993.89

20135.71 19742.10

Nifty Spot =5415.35

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 50.85 10.65 50.85 1.40 10.65 1.40 9.25 90.75 5509.25 49.45 150.55 5449.45 Risk 40.20 Reward 59.80 BEP 5440.20

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5300 5400 5200 5300 5200 Price 26.05 7.35 26.05 2.80 7.35 2.80 4.55 95.45 5295.45 23.25 176.75 5376.75 Risk 18.70 Reward 81.30 BEP 5381.30

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Aug. Series) are given as an information and not as a recommendation.

Nifty Put-Call Analysis

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Derivative Report
Aug 24, 2012

Strategy Date 30-07-2012 06-08-2012 13-08-2012 21-08-2012

Symbol AXISBANK NIFTY DLF TATASTEEL

Strategy Long Call ladder Bull Call Spread Ratio Call Spread Long Call

Status Open Profit booked on 23-Aug-2012 Open Open

Research Team Tel: 022 - 39357800

E-mail: [email protected]

Website: www.angelbroking.com

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 Limited 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 endeavors 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). Also, please refer to the latest update on respective stocks for the disclosure status in respect of those stocks. Angel Broking Limited and its affiliates may have investment positions in the stocks recommended in this report.

Derivative Research Team


Email Id : - [email protected] For Private Circulation Only

SEBI Registration No: INB 010996539


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