derivatives report 3rd january 2012

8/3/2019 Derivatives Report 3rd January 2012

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Derivative ReportIndia Research

Jan 03, 2012

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures open interest increased by 1.82% whileMinifty futures open interest increased by 3.00% as

market closed at 4636.75 levels.

The Nifty Jan. future closed at a Premium of 11.35 point

against a Premium of 10.10 points. The February Seriesclosed at a Premium of 30.65 points.

The Implied Volatility of at the money options is

increased from 25.50% to 26.40%.

The PCR-OI has being increased from 1.06 to 1.07

points.

The total OI of the market is `87,576/-cr. and the stock

futures OI are `23,441/-cr. Stocks were cost of carry is positive are RUCHISOYA,

CO REEDUTEC, 3IINFOTECH, GVKPIL and DENABANK.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

SOUTHBANK 1690000 45.69 20.50 1.99

TVSMO TOR 3448000 39.71 48.30 -7.12

NATIONALUM 936000 23.81 53.30 4.72

GLAXO 9750 23.81 1981.85 1.89

HEROMOTOCO 1039875 21.52 1838.85 -3.48

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.07 0.81

SBIN 0.57 0.49

RELIANCE 0.69 0.80

BANKNIFTY 1.98 0.89

INFY 0.27 0.52

View

Yesterday again there was a muted performance byFII’s; they were net sellers in cash market segmentworth of `94/- cr. On Derivatives front they were netsellers in index futures, while in index options theywere net buyers.

On Options front out-of-the money and deep-out-ofthe money put option of 4100, 4300 and 4400strikes have seen some buildup in open interest,while in call option 4600 and 4900 strikes have seen

maximum buildup in yesterday’s trade. We have witnessed significant amount of short

positions getting piled by in TATAMTRDVR in lastseries as counter corrected from ` 100 to CMP. Thisunderlying has strong support in the range of ` 85-88. We anticipate some kind of short covering to takeplace in it. Buy with target price of ` 97 and stop lossof `84. One can also think of initiating pair trade byshorting TATAMOTORS against long TATAMTRDVR.

Historical Volatility

SCRIP HV

BAJAJ-AUTO 45.26

TVSMOTOR 68.43

DCHL 77.21

NATIONALUM 47.83

GLAXO 27.35

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

MCLEODRUS 6011000 -14.02 186.85 -0.90

CENTRALBK 1668000 -7.33 64.90 -1.37

IDEA 11024000 -6.16 83.05 0.91

DCHL 5636000 -4.21 33.85 -7.13

IVRCLINFRA 16592000 -3.85 29.05 2.83



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 02-Jan-2012

Detail Buy Sell Net

Open Interest

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

INDEXFUTURES

471.87 891.02 (419.15) 406363 9267.00 1.49

INDEXOPTIONS

7830.84 7649.66 181.18 1022504 23669.09 4.26

STOCK

FUTURES703.08 616.70 86.37 980779 22424.95 0.84

STOCK

OPTIONS304.84 295.71 9.13 27306 654.04 20.48

Total 9310.62 9453.09 (142.47) 2436952 56015.08 2.55

Turnover on 02-Jan-2012

InstrumentNo. of

ContractsTurnover(Rs. in cr.)

Change(%)

Index Futures 406993 8575.70 -3.48

Index Options 1915765 45348.80 -2.04

Stock Futures 366363 8125.44 8.13

Stock Options 103273 2359.20 1.58

Total 2792394 64409.14 -0.93

Nifty Spot = 4636.75 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 4700 95.3038.90 61.10 4738.90

Buy 4600 103.0533.50 66.50 4566.50

Sell 4800 56.40 Sell 4500 69.55

Buy 4700 95.3064.40 135.60 4764.40

Buy 4600 103.0557.95 142.05 4542.05

Sell 4900 30.90 Sell 4400 45.10

Buy 4800 56.4025.50 74.50 4825.50

Buy 4500 69.5524.45 75.55 4475.55

Sell 4900 30.90 Sell 4400 45.10

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 Open

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derivatives report 3rd january 2012

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