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Derivatives Report, 26 March 2013

The document summarizes a derivative report from March 26, 2013. Key points include: 1) Open interest for Nifty futures increased 14.56% while BankNifty futures increased 1.44% as the market closed at 5633.85. 2) Implied volatility for at-the-money options increased from 14.39% to 16.57%. 3) Total open interest in the market was Rs. 1,58,674 crore with stock futures open interest at Rs. 28,901 crore. 4) Several liquid stocks saw high rollovers, including IBREALEST, WIPRO, ASHOKLEY, M&M, and

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369 views

Derivatives Report, 26 March 2013

The document summarizes a derivative report from March 26, 2013. Key points include: 1) Open interest for Nifty futures increased 14.56% while BankNifty futures increased 1.44% as the market closed at 5633.85. 2) Implied volatility for at-the-money options increased from 14.39% to 16.57%. 3) Total open interest in the market was Rs. 1,58,674 crore with stock futures open interest at Rs. 28,901 crore. 4) Several liquid stocks saw high rollovers, including IBREALEST, WIPRO, ASHOKLEY, M&M, and

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

Mar 26, 2013

Comments
The Nifty futures open interest increased by 14.56% while

Nifty Vs OI

BankNifty futures open interest is increased by 1.44% as market closed at 5633.85 levels.
The Nifty Mar. future closed at premium of 11.20 point

against a premium of 17.05 points. The Apr. series closed at a premium of 50.15 points.
The Implied Volatility of at the money options is

increased from 14.39% to 16.57%.


Nifty PCR-OI has decreased from 0.82 to 0.78 levels. The total OI of the market is Rs.1,58,674/- cr. and the

stock futures OI are Rs.28,901/- cr.


Few of the liquid counters where we have seen high

rollovers are WELCORP, MCLEODRUSS, BHARATFORG, BHEL and TATACOMM. View OI Gainers
SCRIP IBREALEST WIPRO ASHOKLEY M&M COLPAL OI 24784000 3943000 14184000 5411000 197500 OI CHANGE (%) 19.20 15.66 15.20 14.76 14.49 PRICE 52.80 431.80 22.20 865.00 1277.00 PRICE CHANGE (%) -2.59 -1.12 -2.39 -1.07 -2.34 FIIs were net buyers in cash market segment; they

were net buyers worth of ` 718/- cr. On derivatives front they were net buyers in index futures with significant amount of buildup in open interest, while in index options and stock futures not much of activity was observed in yesterdays trade.
On options front 5600-5700 call option has seen

good amount of buildup in open interest, while in put option not much of buildup was observed, however significant amount of unwinding was seen in 56005800 strike price in yesterdays trade.
Rollover in NIFTY and BANKNIFTY future is in line at

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

37% and 26% respectively.


HDFCBANK has seen good amount of short buildup

SAIL SUNTV RPOWER GSPL ADANIPORTS

23452000 1485000 44272000 4160000 2696000

-19.36 -15.91 -14.61 -13.69 -13.03

63.10 398.00 60.90 64.20 128.65

-0.63 1.58 -2.32 2.65 3.14

in last few trading sessions. In yesterdays trade also the stock has seen significant amount of rise in open interest which was mix of long and short both, with 600 put option having highest buildup in open interest and the IVs of put option has being going up majority of this buildup could be on the longer side. Hence we recommend to go short with the stop loss of `626 and target of `576.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN ICICIBANK RELIANCE PCR-OI 0.78 0.71 0.55 0.74 0.42 PCR-VOL 0.95 0.98 0.84 0.88 0.42

Historical Volatility
SCRIP GMRINFRA SRTRANSFIN IOC NTPC COLPAL HV 61.37 38.57 42.41 25.59 26.93

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Derivative Report
Mar 26, 2013

FII Statistics for 25-March-2013


Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 13755.77 59266.21 25263.75 3043.80 101329.54 Change (%) 25.57 1.06 1.43 (0.54) 3.84

Turnover on 25-March-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

4801.01

4603.00

198.01 (136.74) (2.32) (164.39) (105.44)

486880 2105727 900932 112362 3605901

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

4,60,438 47,51,467 8,95,292 3,15,255 64,22,452

13094.05 136302.68 25286.45 9057.93 183741.11

23.35 -4.76 32.09 -13.24 0.23

20544.86 20681.60 7838.93 1434.54 7841.25 1598.93

34619.33 34724.77

Nifty Spot =5633.85

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5700 5600 5800 5700 5800 Price 61.45 14.25 61.45 3.35 14.25 3.35 10.90 89.10 5710.90 58.10 141.90 5658.10 Risk 47.20 Reward 52.80 BEP 5647.20

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5500 5600 5400 5500 5400 Price 20.80 4.65 20.80 1.30 4.65 1.30 3.35 96.65 5496.65 19.50 180.50 5580.50 Risk 16.15 Reward 83.85 BEP 5583.85

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

Nifty Put-Call Analysis

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Derivative Report
Mar 26, 2013

Strategy Date 05-Mar-2013 11-Mar-2013 18-Mar-2013 25-Mar-2013

Symbol TATASTEEL HINDUNILVR RELIANCE NIFTY

Strategy Ratio Call Spread Bull Call Spread Long Put Ladder Long Put

Status Exited with minor loss on 22-Mar-13 Profit booked on 18-Mar-13 Profit booked on 25-Mar-13 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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