Derivative Report India Research July 29, 2011 S E B I R egis tratio n No: INB 01 099653 9 F or P rivate Circulation Only1 Comments The Nifty futures’ open interest increased by 1.58% while Minifty futures’ open interest increased by 14.95% as market closed at 5487.75 levels. The Nifty Aug future closed at a premium of 10.95 points, against a premium of 10.15 points in the last trading session, while the Sep futures closed at a premium of 28.55 points. The Implied Volatility of at the money options increased from 16.80% to 17.00% for Aug. series. The PCR-OI decreased from 0.99 to 0.84 points. The total OI of the market is ` 155,259cr and the stock futures OI is `37,373cr. The Nifty futures’ rollover is 70.90% and rollover of Minifty futures is 73.50%, while the market wide rollover is 83.28%. Nifty Vs OI OI Gainers SCR IP OI OI CHANGE (%) PRICE PRICE CHANGE (% ) ARVIND 3812000 153.46 90.40 3.61 CESC 1306000 36.33 344.65 1.14 MPHASIS 1261000 32.11 459.85 5.20 ANDHRABANK 3002000 28.62 136.85 -0.33 P F C 8752000 23.70 186.05 -3.33 Put-Call Ratio SCR IP P CR-O I P CR -VOL NIFT Y 0.8 4 0.8 7 INFY 0.3 0 0.4 9 R E L IANC 0.34 0.59 S B IN 0.6 3 1.1 9 BA NKNIFT Y 0. 82 0. 80 View FIIs’ selling was observed in the Index futures and the stock futures. Open interest has gone down significantly due to expiry of July series. FIIs were net buyers of ` 64cr in the cash market segment. Yesterday, significant build up was observed in the most of the call and put options of Aug series. However, the 5700 call and the 5400 put have highest open interest. HINDALCO accumulated significant short positions in the past few trading sessions. We may see a positive move due to short covering. Traders can trade with positive bias around ` 165 for the target of ` 173. Keep a stop loss of ` 162. In Aug series, most of the stocks have seen high rol l over l ike B HEL , SE S AGO A, R E LIANCE and SA IL, while Index futures have witnessed less rollover in comparison with last month. Historical Volatility SCRIP HV WE L COR 46.77 GLAXO 24.22 VIJAYABANK 46.30 DAB UR 28.82 E DUCOM 40. 45 OI Losers SCR IP OI OI CHANGE (% ) PRICE PRICE CHANGE (% ) OIL 30750 -44.09 1300.20 3.26 CHENNPETRO 119000 -32.39 220.65 0.02 OR B ITCO R P 2316000 -30.32 37.55 -7.28 RELMEDIA 1212000 -26.99 117.30 -7.57 SUNTV 1732000 -14.89 340.35 6.84
