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Derivatives Report 7th February 2012

The document provides a summary of derivative market activity in India. It notes that open interest in Nifty futures increased by 7.28% while open interest in Mini Nifty futures decreased by 0.09%. Implied volatility of at-the-money options increased from 22.10% to 22.63% and the PCR-OI increased from 1.40 to 1.41. Several stocks saw increases in open interest such as Apollo Tyres (up 28.12%) and India Infoline (up 52.71%). FII's were net buyers in the cash and derivatives markets.

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239 views

Derivatives Report 7th February 2012

The document provides a summary of derivative market activity in India. It notes that open interest in Nifty futures increased by 7.28% while open interest in Mini Nifty futures decreased by 0.09%. Implied volatility of at-the-money options increased from 22.10% to 22.63% and the PCR-OI increased from 1.40 to 1.41. Several stocks saw increases in open interest such as Apollo Tyres (up 28.12%) and India Infoline (up 52.71%). FII's were net buyers in the cash and derivatives markets.

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
Comments
The Nifty futures open interest increased by 7.28% while

Nifty Vs OI

Feb 07, 2012

Minifty futures open interest decreased by 0.09% as market closed at 5361.65 levels.
The Nifty Feb. future closed at a Premium of 5.20 point

against a Premium of 19.70 points. The March Series closed at a Premium of 30.90 points.
The Implied Volatility of at the money options is

increased from 22.10% to 22.63%.


The PCR-OI has being increased from 1.40 to 1.41

points.
The total OI of the market is `1,25,324.10/-cr. and the

stock futures OI are `30,000/-cr.


Few of the liquid counters where we have seen high cost-

of-carry are ABGSHIP, APOLLOTYRE, OPTOCIRCUI, LITL and VIDEOIND.

OI Gainers
SCRIP GLAXO INDIAINFO BEML TULIP APOLLOTYRE OI 19000 2700000 261500 1022000 7236000 OI CHANGE (%) 55.10 52.71 35.14 34.83 28.12 PRICE 1982.70 70.05 573.30 115.50 72.75 PRICE CHANGE (%) 1.16 22.36 4.58 4.86 3.41

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `998/- cr. On derivatives front they were net buyers in both index futures and index options.
On options front 5400 and 5700 call option have

seen some buildup of open interest, while in put option 5200-5300 strike price have seen maximum buildup of open interest in yesterdays trading session.
We recommend to go long on VIDEOIND. The

OI Losers
SCRIP PFC GESHIP NEYVELILIG BEL BAJAJHLDNG OI 2636000 322000 1420000 37000 90000 OI CHANGE (%) -30.96 -20.88 -16.67 -16.38 -15.49 PRICE 196.50 245.00 94.95 1468.50 690.20 PRICE CHANGE (%) 5.22 -0.22 -2.52 2.68 0.68

counter has the strong support at around `170 and also we have observed good amount of buildup into this counter at around `175-180 odd levels. Though it seems most of the buildup is on the shorter side but we cannot rule out the support zone of this counter. Hence we expect a mix of long buildup and short covering rally in this stock which could take this stock to around `186 and fix a stop loss of `164.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 1.41 1.69 0.82 0.86 0.91 PCR-VOL 1.08 1.14 0.65 0.73 0.70

Historical Volatility
SCRIP
INDIAINFO ULTRACEMCO UNITECH TTKPRESTIG ACC

HV
122.95 43.15 89.53 57.50 39.44 For Private Circulation Only 1

SEBI Registration No: INB 010996539

Derivative Report | India Research

FII Statistics for 06-Feb-2012


Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 14028.45 36959.19 28056.00 1274.11 80317.76 Change (%) 12.55 5.35 0.89 3.66 4.97

Turnover on 06-Feb-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2319.58

2001.01

318.57 256.02 (61.02) (44.27) 469.30

526024 1379324 983795 44008 2933151

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total

485305 3139607 580385 184076 4389373

12231.61 84100.19 16864.78 5518.21 118714.79

12.90 28.70 12.73 26.81 24.32

15843.73 15587.72 1884.06 750.49 1945.08 794.76

20797.86 20328.56

Nifty Spot =5361.65

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 83.10 42.65 83.10 18.60 42.65 18.60 24.05 75.95 5524.05 64.50 135.50 5464.50 Risk 40.45 Reward 59.55 BEP 5440.45

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 77.15 48.90 77.15 30.60 48.90 30.60 18.30 81.70 5181.70 46.55 153.45 5253.45 Risk 28.25 Reward 71.75 BEP 5271.75

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Feb. 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 30-01-2012 06-02-2012

Scrip NIFTY SBIN

Strategy Long Call Ladder Short Strangle

Status Open Open

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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