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Derivative Report: Nifty Vs OI

The document summarizes derivative market activity from July 22, 2013. Open interest in Nifty futures increased slightly while open interest in BankNifty futures increased nearly 5%. Implied volatility decreased. FII activity showed net buying in the cash market and new long positions in index futures. Put-call ratios decreased for some indexes and stocks. Ambuja Cement saw long positions form after shorts did not rollover contracts.

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163 views3 pages

Derivative Report: Nifty Vs OI

The document summarizes derivative market activity from July 22, 2013. Open interest in Nifty futures increased slightly while open interest in BankNifty futures increased nearly 5%. Implied volatility decreased. FII activity showed net buying in the cash market and new long positions in index futures. Put-call ratios decreased for some indexes and stocks. Ambuja Cement saw long positions form after shorts did not rollover contracts.

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

July 22, 2013

Comments The Nifty futures open interest increased by 0.68% while BankNifty futures open interest is increased by 4.95% as market closed at 6038.05 levels. The Nifty July future closed at premium of 13.35 point against a premium of 14.35 points. The August series closed at a premium of 50.90 points. The Implied Volatility of at the money options has decreased from 16.30% to 15.90%. Nifty PCR-OI has decreased from 1.34 to 1.31 levels. The total OI of the market is Rs. 1,55,409/- cr. and the stock futures OI is Rs. 31,861/- cr. Few of the liquid counters where we have seen high cost of carry are ASHOKLEY, RENUKA, HAVELLS, GSPL and HINDPETRO.

Nifty Vs OI

OI Gainers
SCRIP IOC BAJAJBAJAJ-AUTO BHEL DABUR ITC OI 3608000 1688375 36436000 2392000 18971000 OI CHANGE (%) 22.68 13.69 11.53 9.22 9.19 PRICE 225.35 1966.00 173.70 167.65 369.05 PRICE CHANGE (%) -1.49 3.90 -8.02 -1.61 0.07

View FII's were net buyers in cash market segment while they formed few fresh long positions in index futures. Interestingly they were heavy sellers in index options with rise in open interest and options data suggest that its may be short strangle of 5900 and 6200. 5900 put and 6200 call have seen good amount of rise in open interest. Apart from these 6000 put had some open interest and rest of strikes have seen significant amount of unwinding. This indicates we may not see extreme volatility in coming week. AMBUJACEM saw less rollover from June to July series when it was just above its support zone of 170175 and previous data suggests that it was shorts who didnt rollover their positions. From begining of this series, counter has seen significant formation of long positions and has moved from its support zone to resistance zone of Rs. 210-215. Its long heavy according to us and has shown first signs of exhaustion. Long unwinding may pull this stock down so short between Rs. 207 - 209, with target of Rs. 194 and stop loss of Rs. 216.

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

UCOBANK PFC UNIPHOS GAIL EXIDEIND

18404000 10876000 6936000 7924000 2478000

-12.03 -7.89 -7.86 -6.30 -6.21

69.50 133.15 147.20 332.70 134.40

-5.75 2.34 1.84 2.49 0.41

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY SBIN RELIANCE PCRPCR-OI 1.31 0.68 1.49 0.39 0.92 PCRPCR-VOL 1.38 0.68 0.70 0.55 0.64

Historical Volatility
SCRIP BHEL TCS FINANTECH BAJAJ-AUTO HCLTECH INFY HV 58.72 39.92 67.25 32.28 36.73 74.73

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Derivative Report
July 22, 2013

FII Statistics for 19-July-2013


Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 15546.86 56611.36 29267.91 3646.92 105073.06 Change (%) 2.84 3.43 0.50 3.23 2.48

Turnover on 19-July-2013
No. of Contracts Contracts Turnover (` in cr.) Change (%)

Instrument

2404.34

1892.91

511.42 (857.50) (395.17) 135.99 (605.25)

520970 1884277 1022261 121738 3549246

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,61,340 37,32,270 7,35,562 4,93,549 53,22,721

10680.36 111884.23 21625.72 15144.39 159334.70

-13.16 -1.67 3.05 5.84 -1.26

14438.71 15296.21 2555.82 1804.00 2950.99 1668.01

21202.87 21808.12

Nifty Spot =6038.05

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 6100 6000 6200 6100 6200 Price 72.95 22.80 72.95 3.65 22.80 3.65 19.15 80.85 6119.15 69.30 130.70 6069.30 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 5900 6000 5800 5900 5800 Price 32.30 10.75 32.30 4.00 10.75 4.00 6.75 93.25 5893.25 28.30 171.70 5971.70 Risk Reward BEP

50.15

49.85

6050.15

21.55

78.45

5978.45

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

Nifty Put-Call Analysis

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Derivative Report
July 22, 2013

Strategy Date 0101-JulyJuly-13 0808-JulyJuly-13 1515-JulyJuly-13

Symbol TATAMOTORS NIFTY NIFTY

Strategy Long Put Ladder Short Strangle Long Put Ladder

Status Open Open Open

Research Team Tel: 022 - 39357800

E-mail: [email protected]

Website: www.angelbroking.com

DISCLAIMER
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Derivative Research Team


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

SEBI Registration No: INB 010996539

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