derivatives report, 04 mar 2013

7/29/2019 Derivatives Report, 04 Mar 2013

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Derivative ReportMar 04, 2013

Comments

The Nifty futures open interest increased by 9.58% whileBankNifty futures open interest is decreased by 1.70% asmarket closed at 5719.70 levels.

The Nifty Mar. future closed at premium of 10.25 pointagainst a premium of 36.35 points. The Apr. seriesclosed at a premium of 40.85 points.

The Implied Volatility of at the money options isincreased from 14.03% to 13.16%.

Nifty PCR-OI has decreased from 0.90 to 0.88 levels. The total OI of the market is Rs.1,07,760/- cr. and the

stock futures OI are Rs.26,538/- cr.

Few of the liquid counters where we have seen high costof carry are GVKPIL, PANTALOONR, J PPOWER, RENUKAand JSWENERGY.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

TECHM 1212500 33.87 1103.00 4.35

RECLTD 2757000 27.82 213.60 -5.74

GAIL 1653000 23.27 332.05 -0.02

M&M 2196500 20.49 887.10 1.77

BAJAJ-AUTO 870250 19.68 2028.30 2.91

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 0.88 0.79

BANKNIFTY 1.12 0.55

SBIN 0.49 0.50

RELIANCE 0.36 0.41

ICICIBANK 0.45 0.47

View

FIIs were net buyers in cash market segment; theywere net buyers worth of`627/- cr. On derivativesfront some short buildup was seen by them in indexfutures, while in index options and stock futures goodamount of long buildup was observed by them inFridays trade.

On options front 5700,5900 and 6000 call optionhas seen good amount of buildup in open interest,while in put option 5300, 5600 and 5700 strikes has

seen maximum buildup in open interest followed bydecent unwinding in 5800 put option which wasmuch of short covering.

The recent fall in AUROPHARMA was mainly due tolong unwinding. The counter in last week of Octoberand first week of November series has seen goodamount of long buildup and seeing the open interestand rollover most of this positions are still intact andhave carried forward to the next series. Hence we feelthe stock could resume its uptrend which could takethe counter to around `172. Go long at around`160-162 levels with the stop loss of`155.

Historical Volatility

SCRIP HV

TITAN 38.89

TECHM 36.85

RECLTD 51.50

ASHOKLEY 39.88

DLF 56.08

OI Losers

SCRIP OIOI

CHANGE

(%)

PRICEPRICE

CHANGE

(%)

UNIONBANK 2342000 -13.90 220.90 4.41

SRTRANSFIN 590500 -12.84 699.95 1.04

RELINFRA 4698500 -10.60 433.25 3.91

BANKBARODA 1708500 -8.29 708.75 2.38

ASHOKLEY 13176000 -7.40 23.20 4.94


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Derivative ReporMar 04, 2013


FII Statistics for 01-March-2013

Detail Buy Sell Net

Open Interest

Contracts Value Change( in cr.) (%)

INDEXFUTURES

724.71 891.18 (166.47) 439343 12914.90 1.28

INDEXOPTIONS

12355.27 11910.22 445.05 1603840 47616.73 0.16

STOCKFUTURES

3153.68 3105.91 47.77 1222251 35921.53 2.30

STOCKOPTIONS

1508.81 1548.18 (39.37) 79277 2245.09 3.65

TOTAL 17742.46 17455.48 286.98 3344711 98698.25 1.16

Turnover on 01-March-2013

InstrumentNo. of

ContractsTurnover

( in cr.)Change

(%)

INDEX

FUTURES3,16,896 9112.81 -68.86

INDEXOPTIONS

26,85,764 78188.46 -74.64

STOCKFUTURES

5,05,281 15331.69 -68.37

STOCKOPTIONS

2,71,451 8392.71 -47.88

TOTAL 37,79,392 111025.66 -72.39

Nifty Spot =5719.70 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP

Buy 5700 95.4046.10 53.90 5746.10

Buy 5700 69.0532.55 67.45 5667.45

Sell 5800 49.30 Sell 5600 36.50

Buy 5700 95.4073.55 126.45 5773.55

Buy 5700 69.0551.55 148.45 5648.45

Sell 5900 21.85 Sell 5500 17.50

Buy 5800 49.3027.45 72.55 5827.45

Buy 5600 36.5019.00 81.00 5581.00

Sell 5900 21.85 Sell 5500 17.50

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Mar. Series) are given as an information and not as a recommendation.

Nifty Put-Call Analysis


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Derivative ReporMar 04, 2013


Strategy Date Symbol Strategy Status

Derivative Research Team

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derivatives report, 04 mar 2013

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