derivatives report 18th january 2012

8/3/2019 Derivatives Report 18th January 2012

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Derivative ReportIndia Research

Jan 18, 2012

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures open interest increased by 8.07% whileMinifty futures open interest increased by 9.91% as

market closed at 4967.30 levels.

The Nifty Jan. future closed at a Premium of 9.70 point

against a Premium of 17.20 points. The February Seriesclosed at a Premium of 31.35 points.

The Implied Volatility of at the money options is

decreased from 24.30% to 21.40%.

The PCR-OI has being increased from 1.28 to 1.38

points.

The total OI of the market is `1,28,707/-cr. and the

stock futures OI are `30,935/-cr. Stocks were cost of carry is positive are MTNL,

WELCORP, RUCHISOYA, JPPOWER and VOLTAS.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

CHAMBLFERT 4708000 36.46 78.45 -4.15

HINDZINC 1832000 33.92 128.85 3.12

DABUR 3984000 33.16 97.00 1.15

CUMMINSIND 304500 30.69 390.05 0.52

INDHOTEL 4920000 22.63 60.35 -2.82

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.39 1.15

INFY 0.38 0.43

BANKNIFTY 1.88 1.36

SBIN 1.33 0.82

RELIANCE 0.68 0.41

View

Good amount of buying was visible by FII’s inyesterday’s trading session. They were net buyers incash market segment worth of ` 1026/- cr. OnDerivatives front they were net buyers in index futuresindicating some long buildup by them and also theywere net buyers in index options.

On Options front 4700-4900 call option have seensome unwinding and 5100 call option have seengood amount of bui ldup in open interest, while in put

option 4900-5000 strike price have seen maximumbuildup of open interest in yesterday’s tradingsession.

DABUR has the strong support at around ` 94-95 oddlevels. In this expiry we have seen huge buildup in therange of ` 97-100. Any fall towards the support zonecan be utilize to go long on this counter with thetarget price of `103 and stop loss at ` 94.

Historical Volatility

SCRIP HV

MARUTI 55.93

JETAIRWAYS 76.16

VIDEOIND 29.59

HCLTECH 40.15

ESSAROIL 82.00

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

ARVIND 2624000 -13.68 89.05 0.39

PETRONET 3674000 -13.35 157.55 0.77

VIPIND 3826250 -11.61 93.90 3.02

LUPIN 977000 -11.02 433.25 2.84

MPHASI 371000 -9.29 362.20 5.00



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 17-Jan-2012

Detail Buy Sell Net

Open Interest

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

INDEXFUTURES

2686.20 1639.45 1,046.75 551609 13607.57 8.36

INDEXOPTIONS

14911.73 14727.75 183.98 1497947 37167.11 6.14

STOCK

FUTURES2816.40 2551.82 264.58 1079257 27826.43 0.00

STOCK

OPTIONS884.46 918.26 (33.79) 57442 1541.11 4.69

Total 21298.79 19837.28 1,461.51 3186255 80142.22 4.32

Turnover on 17-Jan-2012

InstrumentNo. of

ContractsTurnover(Rs. in cr.)

Change(%)

Index Futures 455521 10640.84 17.15

Index Options 3589022 88273.40 46.83

Stock Futures 667910 16920.60 31.74

Stock Options 272255 7080.79 42.98

Total 4984708 122915.63 41.28

Nifty Spot = 4967.30 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 5000 49.2533.40 66.60 5033.40

Buy 4900 34.7519.35 80.65 4880.65

Sell 5100 15.85 Sell 4800 15.40

Buy 5000 49.2545.25 154.75 5045.25

Buy 4900 34.7527.65 172.35 4872.35

Sell 5200 4.00 Sell 4700 7.10

Buy 5100 15.8511.85 88.15 5111.85

Buy 4800 15.408.30 91.70 4791.70

Sell 5200 4.00 Sell 4700 7.10

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 Loss Booked on 12-01-2012

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

16-Jan-2012 NIFTY Put Hedge Open

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derivatives report 18th january 2012

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