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Derivatives Report 13th March 2012

The key points from the derivative report are: 1) The open interest in Nifty futures increased slightly while open interest in Mini Nifty futures increased by over 4%. The Nifty March future closed at a premium. 2) Implied volatility increased and the PCR-OI decreased slightly. Total open interest in the market was over Rs. 1.31 lakh crore with stock futures open interest at Rs. 32,145 crore. 3) In the views section, it notes that FIIs were net buyers in the cash market and derivatives market. It also provides analysis of specific options strategies and open interest changes.

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246 views

Derivatives Report 13th March 2012

The key points from the derivative report are: 1) The open interest in Nifty futures increased slightly while open interest in Mini Nifty futures increased by over 4%. The Nifty March future closed at a premium. 2) Implied volatility increased and the PCR-OI decreased slightly. Total open interest in the market was over Rs. 1.31 lakh crore with stock futures open interest at Rs. 32,145 crore. 3) In the views section, it notes that FIIs were net buyers in the cash market and derivatives market. It also provides analysis of specific options strategies and open interest changes.

Uploaded by

Angel Broking
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We take content rights seriously. If you suspect this is your content, claim it here.
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Derivative Report

India Research
Comments
The Nifty futures open interest increased by 0.35% while

Nifty Vs OI

March13, 2012

Minifty futures open interest in increased by 4.59% as market closed at 5359.55 levels.
The Nifty March future closed at a premium of 29.20

point against a premium of 30.60 points. The April series closed at a premium of 69.20 points.
The Implied Volatility of at the money options is

increased from 24.95% to 26.70%.


The PCR-OI has being decreased from 1.15 to 1.09

points.
The total OI of the market is `1,31,084/-cr. and the

stock futures OI are `32,145/-cr.


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

of-carry are MTNL, VIDEOIND, SREINFRA, NMDC AND ZEELTD.

OI Gainers
SCRIP EXIDEIND BFUTILITIE CIPLA COLPAL DIVISLAB OI 1100000 563500 5147000 158250 781500 OI CHANGE (%) 29.41 17.27 13.77 12.83 12.45 PRICE 144.85 431.85 302.50 1094.10 746.20 PRICE CHANGE (%) 4.17 10.55 -1.64 2.95 0.18

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `1299/- cr. On derivatives front they were net sellers in index futures, while in index options there was a muted performance however they were net buyers in yesterdays trading session.
On options front deep out-of-the money call option

OI Losers
SCRIP WIPRO IRB SRTRANSFIN BHUSANSTL FEDERALBNK OI 3940000 1368000 534500 463000 755000 OI CHANGE (%) -11.72 -10.70 -7.77 -7.58 -7.02 PRICE 437.75 189.20 580.20 391.40 424.05 PRICE CHANGE (%) 1.28 3.53 3.28 1.05 2.07

of 5700 and 5900 strike price have seen some buildup in open interest, while in put option not much of buildup was visible however some unwinding was visible in deep-out-of the money and at-the money put option of 4800,4900 and 5300 strike price.
We have seen significant amount of long position

getting buildup into the counter of MARUTI since last few trading session. However we dont anticipate further upside into this counter and hence we feel some long unwinding followed by some formation of short position could buildup into this counter which could take this stock to around `1272. Hence we recommend to go short at around `1350-1355 levels with the stop loss of `1386.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE ICICIBANK PCR-OI 1.09 0.65 0.96 0.48 0.77 PCR-VOL 0.94 0.56 0.61 0.45 0.57

Historical Volatility
SCRIP
BFUTILITIE COLPAL EXIDEIND BHARATFORG BOMDYEING

HV
86.88 28.82 40.80 50.54 59.98 For Private Circulation Only 1

SEBI Registration No: INB 010996539

Derivative Report | India Research

FII Statistics for 12-March-2012


Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 13913.63 45069.99 29124.42 1743.67 89851.71 Change (%) -0.81 -3.10 -0.60 4.09 -1.87

Turnover on 12-March-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1431.93

2105.75

(673.81) 3.79 292.07 24.68 (353.28)

517834 1681903 989559 60529 3249825

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

479248 2300103 476744 133557 3389652

12218.29 62411.3 13996.21 4021.67 92647.46

4.33 -1.23 2.10 10.45 0.43

13123.44 13119.65 1774.07 677.89 1482.00 653.22

17007.34 17360.62

Nifty Spot =5359.55

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 116.35 72.40 116.35 41.35 72.40 41.35 31.05 68.95 5531.05 75.00 125.00 5475.00 Risk 43.95 Reward 56.05 BEP 5443.95

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 86.50 57.00 86.50 36.30 57.00 36.30 20.70 79.30 5179.30 50.20 149.80 5249.80 Risk 29.50 Reward 70.50 BEP 5270.50

Note: Above mentioned Bullish or Bearish Spreads in Nifty (March. 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 27-02-2012 05-02-2012 12-03-2012

Scrip NIFTY HINDALCO DLF

Strategy Ratio Bull Call Spread Long Put Ladder Covered Call

Status Open 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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