derivatives report 14th february 2012

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Derivative ReportIndia Research

Feb 14, 2012

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures open interest decreased by 1.02% whileMinifty futures open interest increased by 2.46% as

market closed at 5390.20 levels.

The Nifty Feb. future closed at a Premium of 27.80 point

against a Premium of 16.05 points. The March seriesclosed at a Premium of 59.15 points.

The Implied Volatility of at the money options is

decreased from 20.43% to 19.60%.

The PCR-OI has being increased from 1.41 to 1.42

points.

The total OI of the market is `1,38,892/-cr. and the

stock futures OI are `33,567/-cr. Few of the liquid counters where we have seen high cost-

of-carry are ABGSHIP, ESSAROIL, TTML, GVKPIL andINDUSINDBK.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

BOSCHLTD 8500 183.33 7695.50 3.94

BHUSANSTL 695000 35.21 393.40 -0.48

FEDERALBNK 1135000 33.84 407.15 -2.34

CHAMBLFERT 3752000 21.11 91.45 4.39

IFCI 66888000 18.43 40.85 5.01

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.42 1.20

SBIN 0.91 0.76

BANKNIFTY 1.78 1.33

RELIANCE 0.91 0.69

ICICIBANK 0.83 0.58

View

FII’s were net buyers in cash market segment; theywere net buyer’s worth of ` 470/ - cr. in yesterday’strading session. On derivatives front they were netbuyers in index futures, while in index option theywere net sellers.

Not much of activity was visible on options front inyesterday’s trading session. On Call option front5500 strike price have seen some buildup and 5300call option have seen some unwinding, while in put

option 5200 strike price have seen some unwindingand 5400 put option have seen maximum buildup ofopen interest in yesterday’s trading session.

In the recent past the counter of TATAMOTORS haveseen good amount of upside on back of significantlong positions buildup into this stock. We feel themomentum is getting weak and can see some longunwinding pressure in the counter which can bringthe stock down to around `239. Hence werecommend to go short with the stop loss of ` 264.

Historical Volatility

SCRIP HV

BOSCHLTD 27.31

BAJAJHLDNG 50.89

MCLEODRUSS 55.09

POWERGRID 29.77

SUZLON 87.31

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

BEML 178000 -16.04 572.70 -0.89

COALINDIA 8090000 -9.35 336.60 1.43

OPTOCIRCUI 2215000 -8.96 275.65 2.38

ROLTA 1960000 -8.41 89.90 -2.34

MAX 649000 -7.81 173.05 1.29



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 13-Feb-2012

Detail Buy Sell Net

Open Interest

Contracts Value Change(Rs. in cr.) (%)

INDEXFUTURES

1509.06 1470.58 38.48 566970 15288.38 -3.04

INDEXOPTIONS

16250.49 16580.10 (329.61) 1575854 42458.64 1.41

STOCK

FUTURES2375.32 2474.29 (98.97) 1054823 30625.09 0.50

STOCK

OPTIONS1077.94 1081.80 (3.86) 59337 1683.26 0.91

Total 21212.80 21606.76 (393.96) 3256984 90055.37 0.30

Turnover on 13-Feb-2012

InstrumentNo. of

ContractsTurnover(Rs. in cr.)

Change(%)

INDEX

FUTURES424352 10808.80 -28.88

INDEX

OPTIONS2900105 77990.01 -19.36

STOCKFUTURES

619884 17775.12 -5.61

STOCKOPTIONS

244946 6997.78 10.57

Total 4189287 113571.71 -17.14

Nifty Spot = 5390.20 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 5400 79.8044.65 55.35 5444.65

Buy 5400 62.4531.90 68.10 5368.10

Sell 5500 35.15 Sell 5300 30.55

Buy 5400 79.8067.85 132.15 5467.85

Buy 5400 62.4548.80 151.20 5351.20

Sell 5600 11.95 Sell 5200 13.65

Buy 5500 35.1523.20 76.80 5523.20

Buy 5300 30.5516.90 83.10 5283.10

Sell 5600 11.95 Sell 5200 13.65

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



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 3

Strategy Date Scrip Strategy Status

30-01-2012 NIFTY Long Call Ladder Open

06-02-2012 SBIN Short Strangle Open

13-02-2012 ICICIBANK Ratio Call Spread Open

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Derivative Research Team

Email Id : - [email protected]

derivatives report 14th february 2012

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