Derivatives Report 21st October 2011

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 Derivative Report India Research Oct 21, 2011 S E B I R egis trati on N o: INB 010 996 539 For Private Circulation Only 1  Comments  The Nifty futures’ open interest increased by 0.75% while Minifty futures’ open interest decreased by 12.16% as market closed at 5091.90 levels.  The Nifty Oct. future closed at a Premium of 10.95 point against a Premium of 10.25 points. The November Series closed at a Premium of 27.80 points.  The Implied Volatility of at the money options is increased from 21.85% to 23.66%.  T he PCR -OI is decreas ed fr om 1.55 to 1.47.  The total OI of the market is ` 1, 36,793.60cr. And the stock futures OI are ` 32,228.36cr.  Stocks where cost of carry is positive are GVKPIL, TTML, VIDEOIND, TATAGLOBAL, and CUMMINSIND.  Nifty Vs OI OI Gainers SCR IP OI OI CHANGE (% ) PRICE PR IC E CHANGE (% ) EXIDEIND 4608000 63.52 121.30 -7.69 3II NFOTE CH 12032000 15.25 25.55 -2.11 ULTRACEMCO 666750 14.27 1119.05 -0.44 STER 27460000 13.65 116.30 -2.43 RAYMOND 1360000 13.62 358.00 3.13 Put-Call Ratio S CRIP P CR-OI P CR-VOL NIFT Y 1.4 7 1. 01 S BIN 0.6 3 0. 43 INFY 1.62 1.3 9 R E LIA NCE 0. 73 0. 72 B ANKNIF T Y 1.3 2 1.00 View  We have seen cash based selling by the FII’s yesterday; they were net seller’s worth of ` 472/- cr. In derivatives segment we have seen fresh short positions buildup in Index futures while in Index options they were net buyers and most of the buildup was v isible in call op tions.  On Options front Nifty 5000-5200 call options have added significant amount of open interest while in put options we have seen some buildup in 4500 strike price.  BANKNIFTY has witnessed unwinding in yesterday’s session, however rollovers are on the higher side just like last month, they are around 53%. NIFTY has seen average rollover of 36% so far.  SUZLON has been stabilizing around current levels and has meaningful short positions standing in it. We are witnessing stock moving towards its strong support of ` 35. Buy with target of ` 41 with stop loss of ` 34. Historical Volatility SCRIP HV EXIDEIND 53.54 LICHSGFIN 49.73 HDFC 37.90 S R EINFR A 65 .1 6 RANBAXY 30.40 OI L osers SCR IP OI OI CHANGE (% ) PRICE PRICE CHANGE (% ) A DANIP OWE R 9122000 -20.40 85.75 0.76 PUNJ LL OYD 22792000 -17.10 54.30 -1.72 SE SA GOA 12248000 -11.64 209.15 -2.36 MOSER BAER 2536000 -10.70 26.10 7.63 BRFL 1388000 -10.57 276.15 -0.61

Transcript of Derivatives Report 21st October 2011

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Derivative ReportIndia Research

Oct 21, 2011

SEBI Registration No: INB 010996539 For Private Circulation Only  1

 

Comments

  The Nifty futures’ open interest increased by 0.75% whileMinifty futures’ open interest decreased by 12.16% as

market closed at 5091.90 levels.

  The Nifty Oct. future closed at a Premium of 10.95 pointagainst a Premium of 10.25 points. The November

Series closed at a Premium of 27.80 points.

  The Implied Volatility of at the money options is

increased from 21.85% to 23.66%.

  The PCR-OI is decreased from 1.55 to 1.47.

  The total OI of the market is ` 1,36,793.60cr. And the

stock futures OI are `32,228.36cr.   Stocks where cost of carry is positive are GVKPIL, TTML,

VIDEOIND, TATAGLOBAL, and CUMMINSIND. 

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

EXIDEIND 4608000 63.52 121.30 -7.69

3IINFOTECH 12032000 15.25 25.55 -2.11

ULTRACEMCO 666750 14.27 1119.05 -0.44

STER 27460000 13.65 116.30 -2.43

RAYMOND 1360000 13.62 358.00 3.13

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.47 1.01

SBIN 0.63 0.43

INFY 1.62 1.39

RELIANCE 0.73 0.72

BANKNIFTY 1.32 1.00

View 

  We have seen cash based selling by the FII’syesterday; they were net seller’s worth of `472/- cr.In derivatives segment we have seen fresh shortpositions buildup in Index futures while in Indexoptions they were net buyers and most of the buildupwas visible in call options.

  On Options front Nifty 5000-5200 call options haveadded significant amount of open interest while input options we have seen some buildup in 4500strike price.

  BANKNIFTY has witnessed unwinding in yesterday’ssession, however rollovers are on the higher side justlike last month, they are around 53%. NIFTY hasseen average rollover of 36% so far.

  SUZLON has been stabilizing around current levelsand has meaningful short positions standing in it. Weare witnessing stock moving towards its strongsupport of ` 35. Buy with target of ` 41 with stop lossof ` 34.

Historical Volatility

SCRIP HV

EXIDEIND 53.54

LICHSGFIN 49.73

HDFC 37.90

SREINFRA 65.16

RANBAXY 30.40

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

ADANIPOWER 9122000 -20.40 85.75 0.76

PUNJLLOYD 22792000 -17.10 54.30 -1.72

SESAGOA 12248000 -11.64 209.15 -2.36

MOSERBAER 2536000 -10.70 26.10 7.63

BRFL 1388000 -10.57 276.15 -0.61

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 Derivative Report | India Research

For Private Circulation Only  SEBI Registration No: INB 010996539 3

 

Strategy Date Scrip Strategy Status

03-10-2011 NIFTY Long Put Ladder Continue

10-10-2011 SBIN Long Call Book Profit

17-10-2011 RCOM Long Call Continue

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