8/2/2019 Derivatives Report 27th February 2012
http://slidepdf.com/reader/full/derivatives-report-27th-february-2012 1/3
Derivative ReportIndia Research
Feb 27, 2012
SEBI Registration No: INB 010996539 For Private Circulation Only 1
Comments
The Nifty futures open interest decreased by 28.45%while Minifty futures open interest in decreased by
37.27% as market closed at 5429.30 levels.
The Nifty March. future closed at a Premium of 58.15
point against a Premium of 55.70 points. The Marchseries closed at a Premium of 90.45 points.
The Implied Volatility of at the money options is
increased from 22.65% to 23.50%.
The PCR-OI has being decreased from 1.57 to 1.33
points.
The total OI of the market is `1,02,590/-cr. and the
stock futures OI are `30,678/-cr. Few of the liquid counters where we have seen high cost-
of-carry are ALOKTEXT, COREEDUTECH, INDUSINDBK,ABGSHIP and NHPC.
Nifty Vs OI
OI Gainers
SCRIP OIOI
CHANGE(%)
PRICEPRICE
CHANGE(%)
OFSS 269875 31.97 2583.90 16.70
BOSCHLTD 12000 14.29 7855.20 2.71
DHANBANK 5504000 3.85 69.80 7.63
STRTECH 6016000 1.90 45.40 4.01
- - - - -
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 1.33 1.08
SBIN 0.59 0.54
BANKNIFTY 0.89 0.80
RELIANCE 0.42 0.60
ICICIBANK 0.68 0.65
View
FII’s were net buyers in cash market segment inFriday’s trading session. On derivatives front theywere net buyers in both index futures and in indexoptions.
On options front 5700 call option have seen somebuildup in open interest; while in put option 5200and 5300 strike price have seen maximum buildup ofopen interest in Friday’s trading session.
We have seen good amount of accumulation in thecounter of ORCHIDCHEM in past few tradingsessions and we feel the buildup is both on long andshort side. However in last 3-4 trading session thestock has seen good amount of build nearby itssupport zone of ` 172-175 levels and we feel majorityof the buildup is on the longer side. We expect a mixof both long formation and short covering rally tofollow in this counter which could take the stock toaround ` 193. Hence we recommend to go long withthe stop loss of `172.
Historical Volatility
SCRIP HV
OFSS 89.31
COLPAL 28.44
BOSCHLTD 31.18
HDFC 28.25
ABB 47.83
OI Losers
SCRIP OIOI
CHANGE(%)
PRICEPRICE
CHANGE(%)
CUMMINSIND 142500 -49.20 462.95 -0.17
BAJAJHLDNG 34500 -46.51 803.15 0.26
BRFL 285000 -45.92 260.80 -0.29
UNITECH 36112000 -44.98 32.45 0.93
JUBLFOO D 531500 -42.28 1004.20 -0.22
8/2/2019 Derivatives Report 27th February 2012
http://slidepdf.com/reader/full/derivatives-report-27th-february-2012 2/3
Derivative Report | India Research
For Private Circulation Only SEBI Registration No: INB 010996539 2
FII Statistics for 24-Feb-2012
Detail Buy Sell Net
Open Interest
Contracts Value Change(Rs. in cr.) (%)
INDEXFUTURES
2561.35 2223.34 338.01 488,933 13,396 2.30
INDEXOPTIONS
13396.85 12294.31 1,102.54 1,307,418 35,490 3.56
STOCK
FUTURES1782.42 2454.88 (672.46) 902,567 26,575 0.84
STOCK
OPTIONS665.83 691.69 (25.86) 25,495 758 3.69
TOTAL 26489.66 26489.66 (1,066.19) 3,247,159 89,586 26.77
Turnover on 24-Feb-2012
InstrumentNo. of
ContractsTurnover(Rs. in cr.)
Change(%)
INDEX
FUTURES527792 13599 -47.06
INDEX
OPTIONS1906502 52955.26 -71.58
STOCKFUTURES
565866 16597.29 -57.73
STOCKOPTIONS
122649 3793.52 -49.19
TOTAL 3122809 86945.06 -66.40
Nifty Spot = 5429.30 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5400 203.3556.15 43.85 5456.15
Buy 5400 118.3032.10 67.90 5367.90
Sell 5500 147.20 Sell 5300 86.20
Buy 5400 203.35102.10 97.90 5502.10
Buy 5400 118.3057.45 142.55 5342.55
Sell 5600 101.25 Sell 5200 60.85
Buy 5500 147.2045.95 54.05 5545.95
Buy 5300 86.2025.35 74.65 5274.65
Sell 5600 101.25 Sell 5200 60.85
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
8/2/2019 Derivatives Report 27th February 2012
http://slidepdf.com/reader/full/derivatives-report-27th-february-2012 3/3
Derivative Report | India Research
For Private Circulation Only SEBI Registration No: INB 010996539 3
Strategy Date Scrip Strategy Status
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, makeinvestment 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 reliablesources 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 thisdocument is for general guidance only. Angel Broking or any of its affili ates/ group companies shall not be in any way responsiblefor any loss or damage that may arise to any person from any inadvertent error in the information contained in this report . AngelBroking Limited has not independently verified all the information contained within this document. Accordingly, we cannot testify, normake any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. WhileAngel 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.
No te: Please refer to the im portant ` Stock Holdi ng Disclosure' repor t on the Angel w ebsite (Research Section).
Derivative Research Team
Email Id : - [email protected]