derivatives report 17 oct 2012

7/31/2019 Derivatives Report 17 Oct 2012

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Derivative Report Oct 17, 2012

Comments

The N ifty futures open i nterest decreased b y 1.7 6% whileBankNifty futures open interest is decreased by 0.51% as

market closed at 5648.00 levels.

The N ifty O ct. future closed at premiu m of 3.55 pointagainst a premium of 15.50 points. The Nov. seriesclosed at a premium of 33 .45 p oints.

The Implied Volatility of at the money options is

decreased from 15.24% to 14.79%.

N ifty PC R-O I has decreased from 0.9 7 to 0 .96 levels.

The total O I of the ma rket is `1,56,161/- cr . and the

stock futures O I are ` 34,934/ - c r. Few of the liquid counters where we have seen high

C ost-of-C arr y are WELC O RP, EXIDEIN D, CESC, SC I and

G MRIN FRA.

Ni fty Vs OI

OI Gainers

SCRIP O IO I

C H A N G E(%)

PRIC EPRICE

C H A N G E(%)

PUN JLLO YD 40804000 16.90 52.15 -5 .36

YESBAN K 9010000 12.70 382.70 -3 .32

EXIDEIND 2752000 9 .99 156.75 3 .31

VIJAYABAN K 7832000 9 .14 56.75 -0 .87

JISLJALEQ S 20016000 8 .38 74.65 1 .97

Put-Call Ratio

SCRIP PCR-O I PCR-VO L

NIFTY 0.96 0.84

BANKNIFTY 0.91 0.85

INFY 0.52 0.58

SBIN 0.88 0.83

RELIAN CE 0.48 0.73

View

After series of b eing buyers in cash m arket segm ent,FII’s were net sellers in yesterday’s trade of worth

`206 / - cr. O n derivat ives front some long unwindingwas observed b y them in in dex futures, while in ind exoptions they were net buyers with decent buildup inopen interest in yesterday’s trade.

O n options front 5700 -580 0 call opt ion has seenconsiderable amount of buildup in open interestfollowed by signif icant amount of unwinding in

59 00-6 000 str ike price. W hile in put opt ion not m uchof buildup was observed except in 5500 strike pricewhich saw maximum buildup, however decentunwinding was seen in 5700-5800 put opt ion inyesterday’s trading session.

The recent fall in TATASTEEL was mainly due to longunwinding. The counter has seen good amount oflong posit ion gett ing buildup al lower level andmajority of them are still intact. Hence we feel thestock could resume its uptrend which could take thecounter to around ` 428. Go long with the stop lossof ` 398.

Historical Volatility

SCRIP HV

M&M 29 .96

PUN JLLO YD 54.1 6

RPO WER 51. 10

EXIDEIND 34.70

ACC 31 .70

OI Losers

SCRIP O IO I

C H A N G E

(%)

PRIC EPRIC E

C H A N G E

(%)

G O DREJIND 1253000 -14 .30 286.40 -2 .27

O RIEN TBANK 1093000 -10 .26 291.80 -2 .73

BHU SAN STL 351000 -9 .07 500.20 -0 .71

TECHM 1276000 -9 .02 944.65 0 .32

N C C 5940000 -8 .33 49.90 -1 .77



D eriva tive Repo rtOct 17, 2012


FII Statistics for 16-October-2012

D etail Buy Sell N et

O pen Interest

C ontracts Value Change(` in cr.) (%)

INDEX

FUTURES1063 .08 1196 .09 (133 .00 ) 595483 14768 .10 (2 .05 )

INDEXOPTIONS

15910 .14 15114 .59 795 .56 1789062 50528 .68 0 .98

STOC KFUTURES

1349 .57 1500 .49 (150 .92 ) 1043816 30350 .01 (0 .14 )

STOC KOPTIONS

2320.00 2358.3 3 (38.33) 85811 2639.2 7 (1 .48)

TO TAL 20642 .79 20169 .50 473 .29 3514172 98286 .05 0 .06

Turnover on 16-October-2012

InstrumentNo . o f

Contracts

Turnover

(` in cr.)

Ch an g e

(% )

INDEX

FUTURES3 ,50 ,855 9510 .29 24 .13

INDEX

O PTIO NS37 ,58 ,754 107764 .48 46 .33

STOC KFUTURES

5 ,15 ,224 15899 .63 36 .82

STOC K

O PTIO NS3 ,75 ,663 12051 .78 23 .56

TOTAL 50,00,49 6 14522 6.18 41.43

N ifty Spot = 564 8.00 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 5700 29.8021.45 78.55 5721.45

Buy 5600 30 .8021.10 78.90 5578.90

Sell 5800 8 .35 Sell 5500 9 .70

Buy 5700 29.8027.35 172.65 5727.35

Buy 5600 30 .8027.55 172.45 5572.45

Sell 5900 2 .45 Sell 5400 3 .25

Buy 5800 8 .355.90 94.10 5805.90

Buy 5500 9 .706.45 93.55 5493.55

Sell 5900 2 .45 Sell 5400 3 .25

N ote: Above me ntioned Bullish or Bearish Spreads in N ifty (O ct. Series) a re given as a n information and not as a recommenda tion.

Nifty Put-Call Analysis



D eriva tive Repo rtOct 17, 2012


Strategy D ate Sym bol Stra tegy Status

01 -O ct-20 12 SBIN Short Strangle Profit booked on 0 8- O ct-2 01 2

08 -O ct-20 12 IC ICIBAN K Bull Call Spread O pen

15 -O ct-20 12 RELIANC E Long C all Ladder O pen

Derivative Research Team

Ema il Id : - derivatives.desk@ ang elbroking.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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derivatives report 17 oct 2012

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