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Derivative Report 

Aug 14, 2012

Comments

  The Nifty futures open interest increased by 3.96% whileBankNifty futures open interest is decreased by 0.32% as

market closed at 5347.90 levels.

  The Nifty Aug. future closed at premium of 24.00 pointag ainst premium of 2 4.7 0 poin ts. The Sept. series closedat a premium of 50 .35 p oints.

  The Implied Volatility of at the money options is

decreased from 14.81% to 13.48%.

  N ifty PC R-O I increased from 1.1 7 to 1 .20 levels.

  The total O I of the ma rket is 1,41,644/- cr . and the

stock futures O I are 31,404/ - c r .  

  Few of the liquid counters where we have seen highC ost-of-C arry are VIDEO IND , MTN L, RUC HISO YA,JSWISPAT a nd FO RTIS.  

Ni fty Vs OI

OI Gainers

SCRIP O IO I

C H A N G E(%)

PRIC EPRICE

C H A N G E(%)

MC DO WELL-N 8297500 29.38 921.00 11.66

E D U C O M P 3278000 16.65 157.20 -4 .26

JETAIRWAYS 1902000 14.79 389.10 5.54

O PTO CIRCU I 3000000 13.77 149.95 -2 .95

DABUR 2236000 13.39 123.40 2.65

Put-Call Ratio

SCRIP PCR-O I PCR-VO L

NIFTY 1.20 1.20

BANKNIFTY 0.83 0.73

SBIN 0.43 0.56

ICICIBANK 0.72 0.55

BHARTIARTL 0.2 0 0.2 5

View

  FII’s were net buyers in cash market segment; theywere net buyers worth of 340/- cr. On derivativesfront they were net sellers in both index futures and inindex options in yesterday’s trade.

  O n op tions front not much of activity was observed incall option, ma ximum build up was observed in 56 00call option and 5400 and 5700 call option has seendecent amount of unwinding. While in put option5200-5300 strike price has seen good amount ofbuildup in open interest followed by considerableamount of unwinding in 4800 put option inyesterday’s trading session.

  The recent fall in RANBAXY was mainly due to longunwinding. However the stock in yesterday’s tradingsession has seen significant rise in open interest withsharp increase in CoC. We feel majority of thebuildup is on the longer side and also the counterhas seen taking very strong support around 475-478 levels. Hence we recommend to go long on thisstock at around 484-488 with the target price of

520 and stop loss at 472.

Historical Volatility

SCRIP HV

MCDOWELL-N 76.31

SREINFRA 67.85

HDFC 29 .63

DABUR 25.40

ULTRACEMCO 19.2 6

OI Losers

SCRIP O IO I

C H A N G E

(%)

PRICEPRIC E

C H A N G E

(%)

SIEMEN S 758000 -12.47 670.10 1.92

IG L 1426000 -11.54 257.55 1.58

TATACO FFEE 695250 -8 .40 989.95 -0 .72

VIDEO IND 6830000 -8 .00 169.25 0.62

SRTRAN SFIN 326000 -7 .52 567.90 0.00

 

 

D eriva tive Repo rtAug 14, 2012 

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FII Statistics for 13-August-201 2

D etail Buy Sell N et

O pen Interest

C ontracts Value Change

( in cr.) (%)

INDEXFUTURES

747 .90 775 .60 (27 .69 ) 636918 16414 .11 3 .59

INDEXOPTIONS

8177 .01 8586 .93 (409 .92 ) 1687163 45076 .08 1 .03

STOC KFUTURES

1019 .19 1460 .78 (441 .59 ) 928134 25086 .36 0 .57

STOC K

OPTIONS1224 .95 1254 .44 (29 .49 ) 80177 2169 .72 4 .78

TOTAL 11169 .06 12077 .76 (908.69) 333 2392 887 46.26 1.47

Turno ver o n 13-August-2012

InstrumentNo . o f

Contracts

Turnover

( in cr.)

Cha nge

(%)

INDEX

FUTURES2,48 ,261 6278 .68 -18 .14

INDEX

O PTIO NS21 ,75 ,070 57762 .15 -2 .26

STOC KFUTURES

4,25 ,878 11935 .81 -16 .92

STOC KO PTIO NS

2,64 ,366 7475 .24 -40 .64

TOTAL 31,13,575 834 51.87 -10.96

N ifty Spot = 534 7.90 Lot Size = 50

Bull-Call Spreads Bear-Put Spr eads

Action Strike Price Risk Rewa rd BEP Action Strike Price Risk Rewa rd BEP

Buy 5400 47.9531.10 68.90 5431.10

Buy 5300 34 .2019.55 80.45 5280.45

Sell 5500 16.85 Sell 5200 14 .65

Buy 5400 47.9543.00 157.00 5443.00

Buy 5300 34 .2027.70 172.30 5272.30

Sell 5600 4.95 Sell 5100 6 .50

Buy 5500 16.8511.90 88.10 5511.90

Buy 5200 14 .658.15 91.85 5191.85

Sell 5600 4.95 Sell 5100 6 .50

N ote: Above me ntioned Bullish or Bea rish Spreads in Nifty (Aug Series) are given as an informa tion and not as a recomm enda tion.

Nifty Put-Call Analysis

 

 

D eriva tive Repo rtAug 14, 2012 

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Stra tegy D ate Sym bol Stra tegy Status

30 -07 -20 12 AXISBAN K Long Ca l l ladder O pen

06 -08 -20 12 N IFTY Bull Ca l l Spread O pen

13 -08 -20 12 D LF Ratio C al l Spread O pen

Derivat ive Research Team

Ema il Id : - derivatives.desk@ an gelbroking.com

For Private Circulation O nly

SEBI Registration No: INB 010996539

Research Team Tel: 02 2 - 393 578 00 E-m ail: research@angelbroking .com Website: www.angelbroking. com

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