derivatives report 8th december 2011

8/3/2019 Derivatives Report 8th December 2011

http://slidepdf.com/reader/full/derivatives-report-8th-december-2011 1/3

Derivative ReportIndia Research

Dec 08, 2011

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures’ open interest increased by 2.64% whileMinifty futures’ open interest decreased by 0.11% as

market closed at 5062.60 levels.

The Nifty Dec. future closed at a Premium of 23.50 point

against a Premium of 26.45 points. The January Seriesclosed at a Premium of 42.20 points.

The Implied Volatility of at the money options is

increased from 22.94% to 24.65%.

The PCR-OI has decreased from 1.25 points to 1.23

points.

The total OI of the market is `1,21,833.30cr. and the

stock futures OI are `28,202.30cr. Stocks were cost of carry is positive are RUCHISOYA,

KSOILS, INDUSINDBK, VOLTAS and IFCI.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

GITANJALI 8183000 28.56 342.45 0.56

HAVELL 806000 21.94 436.80 2.45

RAYMOND 1385000 21.70 409.65 6.17

LUPIN 1010000 21.47 450.50 -3.34

IGL 208000 20.93 386.85 -3.68

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.23 0.82

SBIN 1.07 0.55

BANKNIFTY 0.98 0.82

RELIANCE 0.80 0.67

ICICIBANK 0.59 0.49

View

FII’s continue to buy in cash market segment; theywere net buyers of worth ` 135/ - cr. in yesterday’strading session. On Derivatives front they were netbuyers in index futures, while in index options alsothey were net buyers.

On Options front there was some buildup visible in5000-5100 put options and deep out-of-the moneyput options of 4300 strike price have seen somemore unwinding, while in call options 5300 call

options have seen maximum buildup in yesterday’strading session.

The recent bounce back in BHEL from ` 250 levelswas mainly due to short covering. In last one weekwe have seen significant buildup of position ataround ` 280-290 levels and we feel it’s much ofshort positions created into this counter. Hence werecommend to go short at around `290-292 with thetarget price of `265 and stop loss at ` 301.

Historical Volatility

SCRIP HV

LUPIN 29.71

RAYMOND 54.51

PETRONET 41.90

IDEA 58.66

IGL 36.80

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

AREVAT&D 1059000 -37.41 202.80 -1.67

OIL 55250 -18.45 1188.30 3.17

IBREALEST 8984000 -16.74 56.50 -10.10

CESC 557000 -11.73 260.65 4.78

BOSCHLTD 4000 -11.11 6993.45 0.10



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 07-Dec-2011

Detail Buy Sell Net

Open Interest

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

INDEXFUTURES

2005.82 1466.01 539.81 550848 13804.29 0.14

INDEXOPTIONS

15948.00 15520.84 427.16 1851655 46869.90 1.20

STOCK

FUTURES1362.09 1592.16 (230.07) 1116231 26135.55 0.99

STOCK

OPTIONS257.38 249.05 8.34 28835 702.72 4.26

Total 19573.30 18828.06 745.24 3547569 87512.46 0.99

Turnover on 07-Dec-2011

InstrumentNo. of

ContractsTurnover(Rs. in cr.)

Change(%)

Index Futures 579615 13727.93 25.00

Stock Futures 474746 11355.53 28.13

Index Options 3261317 83540.90 26.32

Stock Options 125642 2998.09 8.07

Total 4441320 111622.45 25.77

Nifty Spot = 5062.60 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 5100 111.8043.00 57.00 5143.00

Buy 5000 84.8027.60 72.40 4972.40

Sell 5200 68.80 Sell 4900 57.20

Buy 5100 111.8073.70 126.30 5173.70

Buy 5000 84.8045.90 154.10 4954.10

Sell 5300 38.10 Sell 4800 38.90

Buy 5200 68.8030.70 69.30 5230.70

Buy 4900 57.2018.30 81.70 4881.70

Sell 5300 38.10 Sell 4800 38.90

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Dec. 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

28-11-2011 RELINFRA Long Call Did not triggered

05-12-2011 TATAMOTORS Long Put Open

DISCLAIMER

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 determinethe 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 reliablesources 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 thisdocument is for general guidance only. Angel Broking or any of its affili ates/ group companies shall not be in any way responsiblefor 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, normake any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. WhileAngel Broking Limited endeavours to update on a reasonable basis the information discussed in this material, there may beregulatory, 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.

No te: Please refer to the im portant ` Stock Holdi ng Disclosure' repor t on the Angel w ebsite (Research Section).

Derivative Research Team

Email Id : - [email protected]

derivatives report 8th december 2011

Documents