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Derivatives Report 29th February 2012
Derivatives Report 29th February 2012
Derivatives Report 29th February 2012
India Research
Comments
The Nifty futures open interest increased by 2.92% while
Nifty Vs OI
Minifty futures open interest in increased by 3.54% as market closed at 5375.5 levels.
The Nifty March future closed at a premium of 66 point
against a premium of 57.40 points. The April series closed at a premium of 99.35 points.
The Implied Volatility of at the money options is
points.
The total OI of the market is `1,11,515/-cr. and the
OI Gainers
SCRIP GMDCLTD BGRENERGY BATAINDIA ANDHRABANK MPHASIS OI 1236000 976000 1267500 1332000 731000 OI CHANGE (%) 63.06 28.08 26.94 26.38 26.03 PRICE 208.15 336.60 710.60 120.65 421.00 PRICE CHANGE (%) 7.85 14.84 4.32 3.12 1.38
View
FIIs continue to buy in cash market segment; they
were net buyers worth of `728/- cr. On derivatives front they were net buyers in index futures indicating some long buildup by them, while in index options also they were net buyers.
On options front not much of buildup was visible in
OI Losers
SCRIP IRB ARVIND PETRONET INDIACEM EKC OI 1328000 5032000 3684000 3332000 2384000 OI CHANGE (%) -15.09 -11.97 -11.14 -10.14 -8.73 PRICE 188.30 85.25 167.45 95.70 38.55 PRICE CHANGE (%) 11.26 5.90 3.46 6.87 7.53
call option , except 5900 strike price where we have seen some buildup in open interest, while in put option 5200 strike price have seen maximum buildup of open interest and some unwinding was seen in 5300 put option in yesterdays trading session.
The counter of INDHOTEL has seen good amount of
buildup in open interest in yesterdays trading session with sharp increase in cash market volume. We feel majority of the buildup is on the longer side and also the stock has good support around `69-70 levels. Hence we recommend to go long with the target price of `77 and stop loss at `67.
Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE ICICIBANK PCR-OI 1.30 0.64 0.93 0.53 0.97 PCR-VOL 0.98 0.53 0.75 0.54 0.75
Historical Volatility
SCRIP
TATAMTRDVR GMDCLTD RELINFRA BHARATFORG BGRENERGY
HV
84.35 54.30 86.03 56.06 111.45 For Private Circulation Only 1
Turnover on 28-Feb-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)
Instrument
2478.78
1538.43
19748.21 18247.92
Lot Size = 50
Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 172.40 120.45 172.40 79.70 120.45 79.70 40.75 59.25 5540.75 92.70 107.30 5492.70 Risk 51.95 Reward 48.05 BEP 5451.95
Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 96.80 69.20 96.80 48.20 69.20 48.20 21.00 79.00 5179.00 48.60 151.40 5251.40 Risk 27.60 Reward 72.40 BEP 5272.40
Note: Above mentioned Bullish or Bearish Spreads in Nifty (March. Series) are given as an information and not as a recommendation.
Scrip NIFTY
Status Open
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