Derivatives Report 22nd July 2011
4
Derivative Report India Research July 22, 2011 S E B I R egis tratio n No: INB 01 099653 9 F or P rivate Circulation Only 1 Comments T he Nifty futures’ o pen interest dec reas ed by 3 .82 % while Minifty futures’ open interest increased by 3.95% as market closed at 5541.60 levels. The Nifty July future closed at a premium of 2.60 points, against a premium of 2.50 points in the last trading session, while the Aug futures closed at a premium of 20.85 points. The Implied Volatility of at the money options increased from 16.50% to 17.00%. The PCR-OI decreased from 1. 12 to 1.08 points. The total OI of the market is ` 144,931cr and the stock futures OI is `35,704cr. Few liquid stocks where CoC is positive are ABGSHIP, NATIONALUM, LUPIN, INDIAINFO and DISHTV. Nifty Vs OI OI Gainers SCR IP OI OI CHANGE (%) PRICE PRICE CHANGE (% ) JSWENERGY 3012000 175.82 71.00 -6.52 TTKPRESTIG 69625 69.82 3127.50 3.48 EXIDEIND 2378000 35.89 154.35 -9.39 PE TR ONET 6964000 31.99 168.20 9.58 OIL 26000 23.81 1269.30 -0.70 Put-Call Ratio SCR IP P CR-O I P CR -VOL NIFT Y 1.0 8 0.9 6 INFY 0.3 0 0.3 4 R E L IANC 0.45 0.43 S B IN 1.0 1 0.6 7 BA NKNIFT Y 1.19 0. 50 View FIIs formed some short positions in the Stock futures and unwound some of their long positions in the Index futures. They were net sellers of ` 578cr in the cash market segment. Yesterday, again significant build up was observed in the 5500 and 5600 Call options and considerable unwinding was observed in the 5600 Put option. In the pa s t few t rading sessions, T AT AMO T O RS added significant short positions and yesterday it was showing some strength. We may see a positive move up to ` 1,020 due to short covering. Traders can trade with positive bias with a stop loss of ` 955. ICICIBANK is trading around its immediate support levels. CoC has also increased we may see a positive move up to ` 1,070. Traders can trade with positive bias with a shop loss of ` 1,030. Historical Volatility SCRIP HV P E TR ONE T 52.1 5 EXIDEIND 56.69 JSWENERGY 52.62 3IINFOTECH 43.90 ZE E 46.16 OI Losers SCR IP OI OI CHANGE (% ) PRICE PRICE CHANGE (% ) MR F 74625 -11.29 7430.80 -3.98 TECHM 437500 -9.33 749.15 -0.23 FEDER ALB NK 528000 -9.28 457.10 -0.57 BANKINDIA 3422500 -8.62 408.00 0.07 ZEEL 10452000 -7.11 132.15 6.06
-
Upload
angel-broking -
Category
Documents
-
view
218 -
download
0
Transcript of Derivatives Report 22nd July 2011
8/6/2019 Derivatives Report 22nd July 2011
http://slidepdf.com/reader/full/derivatives-report-22nd-july-2011 1/3
Derivative Report
India ResearchJuly 22, 2011
SEBI Registration No: INB 010996539 For Private Circulation Only 1
Comments
The Nifty futures’ open interest decreased by 3.82% whileMinifty futures’ open interest increased by 3.95% asmarket closed at 5541.60 levels.
The Nifty July future closed at a premium of 2.60 points,against a premium of 2.50 points in the last tradingsession, while the Aug futures closed at a premium of20.85 points.
The Implied Volatility of at the money options increasedfrom 16.50% to 17.00%.
The PCR-OI decreased from 1. 12 to 1.08 points.
The total OI of the market is ` 144,931cr and the stockfutures OI is `35,704c r.
Few liquid stocks where CoC is positive are ABGSHIP,NATIONALUM, LUPIN, INDIAINFO and DISHTV.
Nifty Vs OI
OI Gainers
SCRIP OIOI
CHANGE(%)
PRICEPRICE
CHANGE(%)
JSWENERGY 3012000 175.82 71.00 -6.52
TTKPRESTIG 69625 69.82 3127.50 3.48
EXIDEIND 2378000 35.89 154.35 -9.39PETRONET 6964000 31.99 168.20 9.58
OIL 26000 23.81 1269.30 -0.70
Put-Call Ratio
SCRIP PCR-O I PCR-VOL
NIFTY 1.08 0.96
INFY 0.30 0.34
RELIANC 0.45 0.43
SBIN 1.01 0.67
BANKNIFTY 1.19 0.50
View FIIs formed some short positions in the Stock futures
and unwound some of their long positions in theIndex futures. They were net sellers of ` 578cr in thecash market segment.
Yesterday, again significant build up was observed inthe 5500 and 5600 Call options and considerableunwinding was observed in the 5600 Put option.
In the past few trading sessions, TATAMOTORSadded significant short positions and yesterday it wasshowing some strength. We may see a positive moveup to ` 1,020 due to short covering. Traders cantrade with positive bias with a stop loss of ` 955.
ICICIBANK is trading around its immediate supportlevels. CoC has also increased we may see a positivemove up to ` 1,070. Traders can trade with positivebias with a shop loss of ` 1,030.
Historical Volatility
SCRIP HV
PETRONET 52.15
EXIDEIND 56.69
JSWENERGY 52.62
3IINFOTECH 43.90
ZEE 46.16
OI Losers
SCRIP OIOI
CHANGE(%)
PRICEPRICE
CHANGE(%)
MRF 74625 -11.29 7430.80 -3.98
TECHM 437500 -9.33 749.15 -0.23
FEDERALBNK 528000 -9.28 457.10 -0.57
BANKINDIA 3422500 -8.62 408.00 0.07
ZEEL 10452000 -7.11 132.15 6.06
8/6/2019 Derivatives Report 22nd July 2011
http://slidepdf.com/reader/full/derivatives-report-22nd-july-2011 2/3
8/6/2019 Derivatives Report 22nd July 2011
http://slidepdf.com/reader/full/derivatives-report-22nd-july-2011 3/3
