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Derivatives Report 08 Oct 2012
Derivatives Report 08 Oct 2012
Comments
The Nifty futures open interest increased by 3.15% while
Nifty Vs OI
BankNifty futures open interest is decreased by 9.56% as market closed at 5746.95 levels.
The Nifty Oct. future closed at premium of 29.60 point
against a premium of 38.10 points. The Nov. series closed at a premium of 60.55 points.
The Implied Volatility of at the money options is
of-Carry are WELCORP, ULTRACEMCO, STRANSFIN, EXIDEIND and HDFC. View OI Gainers
SCRIP HDFC SRTRANSFIN DABUR AMBUJACEM LUPIN OI 17845000 634000 2196000 10136000 2875500 OI CHANGE (%) 79.06 42.47 21.73 12.47 7.39 PRICE 749.95 646.50 132.90 216.30 568.15 PRICE CHANGE (%) -4.87 2.05 3.24 -0.46 -2.02 FIIs continue to buy in cash market segment; they
were net buyers worth of `4,352/- cr, the huge figure could be due to HDFC block deal. On derivatives front they were net sellers in index futures with good amount of buildup in open interest indicating some short buildup by them, while in index option they were net buyers in Fridays trade.
On options front 5800-6000 call option has seen
good amount of buildup in open interest followed by decent unwinding in 6200 strike price, while in put option 5500 strike price has seen maximum buildup in Fridays trading session.
The counter of HEROMOTOCO is very much heavy
OI Losers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)
in terms of open interest indicating lot of short positions standing in this couter. `1780 is the good support for this stock and also the difference in cash price and future price has narrowed down which could result in closure of the arbitrage position. Hence we feel short covering bounce could be seen in this stock which could take the counter to around `1880. Go long at around `1790-1810 levels with the stop loss of `1760.
Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN INFY TATASTEEL PCR-OI 1.06 0.98 1.14 0.78 0.44 PCR-VOL 1.08 0.74 0.82 1.06 0.37
Historical Volatility
SCRIP HDFC DABUR SUNPHARMA HCLTECH WIPRO HV 35.96 29.09 21.85 26.92 29.87
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Derivative Report
Oct 05, 2012
Turnover on 05-October-2012
No. of Contracts Turnover (` in cr.) Change (%)
Instrument
1957.66
2573.91
26044.34 26608.28
Lot Size = 50
Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5900 5800 6000 5900 6000 Price 71.50 34.60 71.50 14.50 34.60 14.50 20.10 79.90 5920.10 57.00 143.00 5857.00 Risk 36.90 Reward 63.10 BEP 5836.90
Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5600 5700 5500 5600 5500 Price 51.30 27.00 51.30 13.80 27.00 13.80 13.20 86.80 5586.80 37.50 162.50 5662.50 Risk 24.30 Reward 75.70 BEP 5675.70
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Oct. Series) are given as an information and not as a recommendation.
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Derivative Report
Oct 05, 2012
Symbol SBIN
Status Open
E-mail: research@angelbroking.com
Website: www.angelbroking.com
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