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Derivatives Report 10 Oct 2012

The document summarizes derivative market activity for October 10, 2012. Key points include: 1) Nifty futures open interest decreased slightly while Bank Nifty futures open interest increased. The Nifty October future closed at a premium while the November series closed at a higher premium. 2) Implied volatility decreased and PCR-OI increased. Total open interest in the market was over Rs. 1.44 lakh crore with stock futures open interest at Rs. 34,220 crore. 3) FIIs were net buyers in the cash market but sellers of index futures and options on derivatives markets in smaller amounts.

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310 views3 pages

Derivatives Report 10 Oct 2012

The document summarizes derivative market activity for October 10, 2012. Key points include: 1) Nifty futures open interest decreased slightly while Bank Nifty futures open interest increased. The Nifty October future closed at a premium while the November series closed at a higher premium. 2) Implied volatility decreased and PCR-OI increased. Total open interest in the market was over Rs. 1.44 lakh crore with stock futures open interest at Rs. 34,220 crore. 3) FIIs were net buyers in the cash market but sellers of index futures and options on derivatives markets in smaller amounts.

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

Oct 10, 2012

Comments
The Nifty futures open interest decreased by 0.13% while

Nifty Vs OI

BankNifty futures open interest is increased by 3.84% as market closed at 5704.60 levels.
The Nifty Oct. future closed at premium of 19.30 point

against a premium of 25.00 points. The Nov. series closed at a premium of 50.80 points.
The Implied Volatility of at the money options is

decreased from 15.80% to 15.51%.


Nifty PCR-OI has increased from 1.02 to 1.03 levels. The total OI of the market is `1,44,927/- cr. and the

stock futures OI are `34,220/- cr.


Few of the liquid counter where we have seen high Cost-

of-Carry are WELCORP, IBREALEST, RENUKA, SCI and ALOKTEXT. View OI Gainers
SCRIP SYNDIBANK HDIL UNIPHOS IBREALEST IVRCLINFRA OI 2194000 33212000 3400000 24104000 33312000 OI CHANGE (%) 25.51 19.99 17.16 15.91 10.30 PRICE 115.85 104.25 131.05 65.90 46.65 PRICE CHANGE (%) 4.58 -1.09 0.00 3.26 1.62 FIIs continue to buy in cash market segment; they

were net buyers worth of `614/- cr. On derivatives front there activity was quite muted however they were net sellers in both index futures and in index options but the quatum of seeling was quite less.
On options front 5800-5900 call option has seen

good amount of buildup in open interest, while in put option 5500-5700 strike price has seen maximum buildup followed by some unwinding in 5000 put option in yesterdays trading session.
COALINDIA has seen significant amount of short

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

HINDZINC SRTRANSFIN CENTRALBK MPHASIS RECLTD

1278000 477000 2630000 579000 4278000

-8.71 -7.38 -5.53 -4.69 -4.53

136.00 658.60 75.70 413.65 229.20

2.71 0.27 -0.26 2.09 3.14

positions getting buildup since last few trading session. The counter is nearby its strong support zone of `350-355 levels and hence we expect short covering bounce in this stock which could take the counter to around `375. Go long at around `355358 level with the stop loss of `347.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN INFY TATASTEEL PCR-OI 1.03 0.95 1.07 1.10 0.48 PCR-VOL 1.05 0.81 0.80 0.99 0.41

Historical Volatility
SCRIP BIOCON SYNDIBANK IDEA GAIL JSWENERGY HV 40.68 42.84 37.21 28.92 50.81

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Derivative Report
Oct 10, 2012

FII Statistics for 09-October-2012


Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 16453.06 47621.05 29881.71 2053.38 96009.20 Change (%) 1.43 0.85 0.03 9.11 0.85

Turnover on 09-October-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1020.77

1027.65

(6.88) (109.86) (87.38) (56.20) (260.31)

596652 1669488 1010183 64956 3341279

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,32,083 27,91,489 4,78,027 2,52,593 38,54,192

8995.87 80261.39 14937.69 8505.45 112700.41

11.75 12.63 0.70 1.57 9.93

12580.83 12690.68 1137.56 1538.79 1224.94 1594.98

16277.94 16538.25

Nifty Spot =5704.60

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5800 5700 5900 5800 5900 Price 85.95 40.95 85.95 16.65 40.95 16.65 24.30 75.70 5824.30 69.30 130.70 5769.30 Risk 45.00 Reward 55.00 BEP 5745.00

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5600 5700 5500 5600 5500 Price 62.90 31.55 62.90 14.55 31.55 14.55 17.00 83.00 5583.00 48.35 151.65 5651.65 Risk 31.35 Reward 68.65 BEP 5668.65

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

Nifty Put-Call Analysis

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Derivative Report
Oct 10, 2012

Strategy Date 01-Oct-2012 08-Oct-2012

Symbol SBIN ICICIBANK

Strategy Short Strangle Bull Call Spread

Status Profit booked on 08-Oct-2012 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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