Sunteți pe pagina 1din 3

Derivative Report

Feb 01, 2013

Comments

The Nifty futures open interest decreased by 30.95% while BankNifty futures open interest is decreased by 27.84% as market closed at 6034.75 levels.

The Nifty Feb. future closed at premium of 32.45 point against a premium of 39.15 points. The Mar. series closed at a premium of 64.80 points.

The Implied Volatility of at the money options is decreased from 15.02% to 13.02%.

Nifty PCR-OI has decreased from 1.04 to 0.90 levels.

The total OI of the market is Rs.92,235/- cr. and the stock futures OI are Rs.32,355/- cr.

Few of the large cap names where we have seen high cost-of-carry are SUZLON, GVKPIL, RCOM, GMRINFRA and RENUKA.

OI Gainers

 

OI

PRICE

SCRIP

OI

CHANGE

PRICE

CHANGE

 

(%)

(%)

PUNJLLOYD

32672000

12.38

53.00

7.65

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

OI Losers

SCRIP

OI

OI

CHANGE

PRICE

PRICE

CHANGE

 

(%)

(%)

DABUR

1246000

-49.27

132.70

2.19

BHUSANSTL

280416

-48.75

449.10

0.51

SRTRANSFIN

302000

-47.61

789.80

1.49

INFY

2316625

-46.96

2789.50

-0.35

BANKBARODA

1255000

-43.73

867.75

3.62

Put-Call Ratio

SCRIP

PCR-OI

PCR-VOL

NIFTY

0.90

1.16

BANKNIFTY

1.58

0.82

RELIANCE

0.34

0.41

ICICIBANK

0.28

0.42

SBIN

0.50

0.55

0.41 ICICIBANK 0.28 0.42 SBIN 0.50 0.55 Nifty Vs OI View  FII’s continue to buy

Nifty Vs OI

0.28 0.42 SBIN 0.50 0.55 Nifty Vs OI View  FII’s continue to buy in cash

View

FII’s continue to buy in cash market segment; they were net buyer’s worth of `959/- cr. On derivatives front they were net sellers in index futures and in stock futures, while in index options they were net buyers in yesterday’s trade.

On options front in new series good amount of buildup was observed in 6100, 6200 and 6400 call option, while in put option 5600-5800 strike price saw significant amount of buildup in open interest in yesterday’s trading session.

Rollover in NIFTY future was in line at 64% however significant amount of reduction in open interest was observed in it, while that of BANKNIFTY future the rollover was bit on the lower side at 67% with buildup in open interest.

HINDALCO has seen significant amount of short buildup in last expiry and with rollover also on the higher side we feel majority of these positions has got carried forward. At around `112-113 the stock has seen taking support and have also seen some signs of short covering in yesterday’s trade. We feel more short covering bounce could be seen in this stock which could take the counter to around `129. Go long with the stop loss of `112.

Historical Volatility

SCRIP

HV

PNB

51.73

WELCORP

42.66

SUZLON

106.23

DABUR

21.50

TATAGLOBAL

34.48

Derivative Report

Feb 01, 2013

FII Statistics for 31-January-2013

 

Open Interest

Detail

Buy

Sell

Net

 

Contracts

Value (` in cr.)

Change

 

(%)

INDEX

FUTURES

3770.90

4229.17

(458.26)

236419

7213.16

(32.44)

INDEX

OPTIONS

15887.17

14774.89

1112.28

1073991

32491.56

(41.81)

STOCK

FUTURES

9284.41

9818.24

(533.82)

957351

30794.69

(16.05)

STOCK

OPTIONS

2185.12

2038.87

146.24

5578

160.74

(96.33)

TOTAL

31127.60

30861.17

266.44

2273339

70660.14

(34.82)

30861.17 266.44 2273339 70660.14 (34.82) Turnover on 31-January-2013 Instrument No. of Turnover

Turnover on 31-January-2013

Instrument

No. of

Turnover (` in cr.)

Change

Contracts

(%)

INDEX

FUTURES

5,04,179

15,269.71

51.67

INDEX

OPTIONS

49,63,179

151,150.19

35.07

STOCK

FUTURES

13,15,076

43,300.44

32.27

STOCK

OPTIONS

5,38,534

17,877.44

33.94

TOTAL

73,20,968

227,597.79

35.43

Nifty Spot =6034.75

Lot Size = 50

Bull-Call Spreads

Action

Strike

Price

Risk

Reward

BEP

Buy

6000

125.50

Sell

6100

71.55

53.95

46.05

6053.95

Buy

6000

125.50

Sell

6200

36.00

89.50

110.50

6089.50

Buy

6100

71.55

Sell

6200

36.00

35.55

64.45

6135.55

Bear-Put Spreads

Action

Strike

Price

Risk

Reward

BEP

Buy

6000

59.95

 

27.30

72.70

5972.70

Sell

5900

32.65

Buy

6000

59.95

42.85

157.15

5957.15

Sell

5800

17.10

Buy

5900

32.65

 

15.55

84.45

5884.45

Sell

5800

17.10

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

(Feb. Series) are given as an information and not as a recommendation. Nifty Put-Call Analysis www.angelbroking.com

Derivative Report

Feb 01, 2013

Derivative Report Feb 01, 2013
Derivative Report Feb 01, 2013

Strategy Date

Symbol

Strategy

Status

31-Dec-2012

RELINFRA

Long Call Ladder

No profit no loss on expiry

07-Jan-2013

NIFTY

Long Put

Profit booked on 08-Jan-13

14-Jan-2013

BANKNIFTY

Long call

Profit booked on 15-Jan-13

21-Jan-2013

CAIRN

Long call

Loss on expiry

28-Jan-2013

NIFTY

Long call

Loss on expiry

Research Team Tel: 022 - 39357800

DISCLAIMER

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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 Limited 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 endeavors 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). Also, please refer to the latest update on respective stocks for the disclosure status in respect of those stocks. Angel Broking Limited and its affiliates may have investment positions in the stocks recommended in this report.

Derivative Research Team

Email Id : - derivatives.desk@angelbroking.com

For Private Circulation Only

SEBI Registration No: INB 010996539