derivatives report 23rd january 2012

8/3/2019 Derivatives Report 23rd January 2012

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Derivative ReportIndia Research

Jan 23, 2012

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Ni fty futures open interest increased by 11.27% whileMinifty futures open interest increased by 2.42% as

market closed at 5048.60 levels.

The Nifty Jan. future closed at a Discount of 0.75 point

against a Premium of 3.65 points. The February Seriesclosed at a Premium of 28.95 points.

The Implied Volatility of at the money options is

increased from 18.35% to 18.75%.

The PCR-OI has being increased from 1.50 to 1.60

points.

The total OI of the market is `1,37,903.10/-cr. and the

stock futures OI are `33,118/-cr. Few of the liquid counters where we have seen high

rol lovers are COREEDUTEC, MCLEODRUSS, ALOKTEXT,BHARATFORG and ITC.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

EXIDEIND 3130000 56.03 125.60 4.62

SOUTHBANK 2600000 53.85 22.00 -2.65

HAVELL 948000 31.12 424.55 -1.29

M&M 5392000 29.85 657.00 -2.37

ORCHIDCHEM 4320000 23.43 162.95 6.19

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.60 1.17

INFY 0.29 0.51

RELIANCE 1.19 0.68

BANKNIFTY 2.11 1.28

SBIN 1.75 0.71

View

FII’s were net buyers in cash market segment; theywere net buyer’s worth of ` 820/- cr. on Friday’strading session. On Derivatives front they were netbuyers in both index futures and index options.

On Options front 5000 and 5100 call options haveseen good amount of unwinding in open interest,while in put option 5000 and 5100 strike price haveseen descent buildup of open interest on Fridaystrading session.

We have seen good amount of short positions gettingbuildup in the counter of AUROPHARMA in last oneweek. On Fridays trading session there was somelong buildup seen in this counter. Hence we suggestto go long on this counter with the target price of`109 and stop loss at ` 96.

Historical Volatility

SCRIP HV

ITC 26.09

BAJAJ-AUTO 47.99

DRREDDY 27.36

TITAN 45.89

ICICIBANK 50.39

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

HINDZINC 1404000 -20.41 126.80 0.40

PUNJLLOYD 28328000 -16.86 49.05 0.10

IBREALEST 12096000 -16.53 64.10 9.57

MAX 641000 -14.08 156.05 -2.35

RECLTD 5222000 -12.53 186.10 2.20



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 20-Jan-2012

Detail Buy Sell Net

Open Interest

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

INDEXFUTURES

4734.91 4196.12 538.79 677237 17039.22 16.23

INDEXOPTIONS

17444.37 16601.72 842.65 1591003 40135.08 3.36

STOCK

FUTURES6427.60 6047.45 380.15 1129444 29718.94 3.40

STOCK

OPTIONS892.34 910.73 (18.39) 65863 1738.47 1.78

Total 29499.23 27756.03 1,743.20 3463547 88631.71 5.63

Turnover on 20-Jan-2012

InstrumentNo. of

ContractsTurnover(Rs. in cr.)

Change(%)

INDEX

FUTURES693501 16704.37 50.21

INDEX

OPTIONS3837293 96122.68 23.01

STOCKFUTURES

1047586 27237.33 42.02

STOCKOPTIONS

271876 6879.42 18.86

Total 5850256 146943.79 28.64

Nifty Spot = 5048.60 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 5100 21.7517.55 82.45 5117.55

Buy 5000 26.1518.00 82.00 4982.00

Sell 5200 4.20 Sell 4900 8.15

Buy 5100 21.7520.85 179.15 5120.85

Buy 5000 26.1523.45 176.55 4976.55

Sell 5300 0.90 Sell 4800 2.70

Buy 5200 4.203.30 96.70 5203.30

Buy 4900 8.155.45 94.55 4894.55

Sell 5300 0.90 Sell 4800 2.70

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

02-Jan-2012 TATASTEEL Ratio Bull Call Spread Loss Booked on 12-01-2012

09-Jan-2012 DLF Long Call Profit Booked on 11-01-2012

16-Jan-2012 NIFTY Put Hedge Profit Booked on 20-01-2012

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Derivative Research Team

Email Id : - [email protected]

derivatives report 23rd january 2012

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