derivatives report 27th february 2012

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Derivative ReportIndia Research

Feb 27, 2012

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures open interest decreased by 28.45%while Minifty futures open interest in decreased by

37.27% as market closed at 5429.30 levels.

The Nifty March. future closed at a Premium of 58.15

point against a Premium of 55.70 points. The Marchseries closed at a Premium of 90.45 points.

The Implied Volatility of at the money options is

increased from 22.65% to 23.50%.

The PCR-OI has being decreased from 1.57 to 1.33

points.

The total OI of the market is `1,02,590/-cr. and the

stock futures OI are `30,678/-cr. Few of the liquid counters where we have seen high cost-

of-carry are ALOKTEXT, COREEDUTECH, INDUSINDBK,ABGSHIP and NHPC.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

OFSS 269875 31.97 2583.90 16.70

BOSCHLTD 12000 14.29 7855.20 2.71

DHANBANK 5504000 3.85 69.80 7.63

STRTECH 6016000 1.90 45.40 4.01

- - - - -

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.33 1.08

SBIN 0.59 0.54

BANKNIFTY 0.89 0.80

RELIANCE 0.42 0.60

ICICIBANK 0.68 0.65

View

FII’s were net buyers in cash market segment inFriday’s trading session. On derivatives front theywere net buyers in both index futures and in indexoptions.

On options front 5700 call option have seen somebuildup in open interest; while in put option 5200and 5300 strike price have seen maximum buildup ofopen interest in Friday’s trading session.

We have seen good amount of accumulation in thecounter of ORCHIDCHEM in past few tradingsessions and we feel the buildup is both on long andshort side. However in last 3-4 trading session thestock has seen good amount of build nearby itssupport zone of ` 172-175 levels and we feel majorityof the buildup is on the longer side. We expect a mixof both long formation and short covering rally tofollow in this counter which could take the stock toaround ` 193. Hence we recommend to go long withthe stop loss of `172.

Historical Volatility

SCRIP HV

OFSS 89.31

COLPAL 28.44

BOSCHLTD 31.18

HDFC 28.25

ABB 47.83

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

CUMMINSIND 142500 -49.20 462.95 -0.17

BAJAJHLDNG 34500 -46.51 803.15 0.26

BRFL 285000 -45.92 260.80 -0.29

UNITECH 36112000 -44.98 32.45 0.93

JUBLFOO D 531500 -42.28 1004.20 -0.22



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 24-Feb-2012

Detail Buy Sell Net

Open Interest

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

INDEXFUTURES

2561.35 2223.34 338.01 488,933 13,396 2.30

INDEXOPTIONS

13396.85 12294.31 1,102.54 1,307,418 35,490 3.56

STOCK

FUTURES1782.42 2454.88 (672.46) 902,567 26,575 0.84

STOCK

OPTIONS665.83 691.69 (25.86) 25,495 758 3.69

TOTAL 26489.66 26489.66 (1,066.19) 3,247,159 89,586 26.77

Turnover on 24-Feb-2012

InstrumentNo. of

ContractsTurnover(Rs. in cr.)

Change(%)

INDEX

FUTURES527792 13599 -47.06

INDEX

OPTIONS1906502 52955.26 -71.58

STOCKFUTURES

565866 16597.29 -57.73

STOCKOPTIONS

122649 3793.52 -49.19

TOTAL 3122809 86945.06 -66.40

Nifty Spot = 5429.30 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 5400 203.3556.15 43.85 5456.15

Buy 5400 118.3032.10 67.90 5367.90

Sell 5500 147.20 Sell 5300 86.20

Buy 5400 203.35102.10 97.90 5502.10

Buy 5400 118.3057.45 142.55 5342.55

Sell 5600 101.25 Sell 5200 60.85

Buy 5500 147.2045.95 54.05 5545.95

Buy 5300 86.2025.35 74.65 5274.65

Sell 5600 101.25 Sell 5200 60.85

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

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Derivative Research Team

Email Id : - [email protected]

derivatives report 27th february 2012

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