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Derivatives Report 10th October 2011

The derivative report provides an analysis of the derivatives market activity and provides recommendations. Key points include: - Nifty futures open interest increased by 2.54% while Mini Nifty futures open interest decreased by 16.67% as the market closed at 4,888 points. - Implied volatility decreased from 34.22% to 29.97% and PCR-OI increased from 1.35 to 1.38. - Stocks where the cost of carry is positive include Orientbank, Onmobile, Dhanbank, Triveni and Sreinfra. - SBIN has many short positions and is recommended for going long with stop loss of Rs. 1,705 and target of

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244 views

Derivatives Report 10th October 2011

The derivative report provides an analysis of the derivatives market activity and provides recommendations. Key points include: - Nifty futures open interest increased by 2.54% while Mini Nifty futures open interest decreased by 16.67% as the market closed at 4,888 points. - Implied volatility decreased from 34.22% to 29.97% and PCR-OI increased from 1.35 to 1.38. - Stocks where the cost of carry is positive include Orientbank, Onmobile, Dhanbank, Triveni and Sreinfra. - SBIN has many short positions and is recommended for going long with stop loss of Rs. 1,705 and target of

Uploaded by

Angel Broking
Copyright
© Attribution Non-Commercial (BY-NC)
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Download as PDF, TXT or read online on Scribd
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Derivative Report

India Research
Oct 10, 2011 Comments
The Nifty futures open interest increased by 2.54% while

Nifty Vs OI

Minifty futures open interest decreased by 16.67% as market closed at 4888.05 levels.
The Nifty Oct. future closed at a Premium of 10.55 point

against a Premium of 18.00 points. The November Series closed at a Premium of 21.85 points.
The Implied Volatility of at the money options is

decreased from 34.22% to 29.97%.


The PCR-OI has increased from 1.35 to 1.38 points. The total OI of the market is `1,09,346.70cr. And the

stock futures OI are `26,083.61cr.


Stocks where cost of carry is positive are ORIENTBANK,

ONMOBILE, DHANBANK, TRIVENI and SREINFRA.

OI Gainers
SCRIP ORIENTBANK ITC HCLTECH OPTOCIRCUI INDUSINDBK OI 926000 15760000 2185000 1961000 2969000 OI CHANGE (%) 23.14 17.79 17.25 16.31 14.10 PRICE 289.00 199.15 405.35 210.65 243.35 PRICE CHANGE (%) 2.19 2.60 2.53 0.69 1.52

View
FII's have bought in cash market which is after quite

some time and they have covered significant amount of their short positions in Fridays trading session.They continue to add long positions in index options segment.
5200 call is adding open interest consistently. We

believe its more of buying of that call. 4300 put which was adding huge OI last week has witnessed substantial unwinding in last trading session.
Recent fall in RCOM from `81+ levels didnt see

OI Losers
SCRIP JUBLFOOD YESBANK TECHM FEDERALBNK IDEA OI 441500 4723000 427500 471000 12056000 OI CHANGE (%) -24.27 -13.26 -11.95 -11.80 -9.38 PRICE 710.85 262.95 563.05 351.60 90.25 PRICE CHANGE (%) 7.96 6.87 5.85 2.85 -4.60

formation of short positions. Its near to its strong support of `71. We expect bounce back from correct levels and hence recommend long formation with stop loss of `70 and target of `78.
SBIN has lot of short positions standing in it. On

weekend management clarified on downgrade by rateing agency is only on some type of bond/s and not on bank per se. We suggest to go long with stop loss of `1705 and target of `1860 as we expect short covering.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE INFY PCR-OI 1.38 0.51 1.12 0.83 0.64 PCR-VOL 1.16 0.49 0.86 0.55 0.87

Historical Volatility
SCRIP
SUNTV IDEA DISHTV AXISBANK ASIANPAINT

HV
85.10 44.25 56.12 62.97 26.73 For Private Circulation Only 1

SEBI Registration No: INB 010996539

Derivative Report | India Research

FII Statistics for 07-Oct-2011


Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 12844.50 42828.46 25791.51 832.70 82297.18 Change (%) -0.03 2.01 -0.92 -0.10 0.72

Turnover on 07-Oct-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

3295.36 10665.77 1651.90 333.17

1713.77 9804.05 1686.51 304.77

1,581.59 861.72 -34.61 28.40 2,437.10

531001 1752576 1097783 34667 3416027

Index Futures Stock Futures Index Options Stock Options Total

593361 472174 2943353 116653 4125541

13413.78 11613.63 72089.72 2992.78 100109.90

-7.66 0.47 6.80 10.86 3.97

15946.20 13509.10

Nifty Spot =4888.05

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 5000 4900 5100 5000 5100 Price 128.65 80.60 128.65 45.80 80.60 45.80 34.80 65.20 5034.80 82.85 117.15 4982.85 Risk 48.05 Reward 51.95 BEP 4948.05

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4800 4700 4800 4600 4700 4600 Price 96.00 68.40 96.00 47.90 68.40 47.90 20.50 79.50 4679.50 48.10 151.90 4751.90 Risk 27.60 Reward 72.40 BEP 4772.40

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

For Private Circulation Only

SEBI Registration No: INB 010996539

Derivative Report | India Research

Strategy Date 03-10-2011

Scrip NIFTY

Strategy Long Put Ladder

Status Continue

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 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 endeavours 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).

Derivative Research Team


Email Id : - [email protected]

For Private Circulation Only

SEBI Registration No: INB 010996539

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