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Derivatives Report 12 Jul 2012
Derivatives Report 12 Jul 2012
Derivatives Report 12 Jul 2012
Comments
The Nifty futures open interest decreased by 1.02% while
Nifty Vs OI
BankNifty futures open interest is decreased by 0.42% as market closed at 5306.30 levels.
The Nifty July future closed at premium of 16.60 point
against premium of 12.80 points. The August series closed at a premium of 42.35 points.
The Implied Volatility of at the money options is
OI Gainers
SCRIP FEDERALBNK WIPRO GESHIP KTKBANK MPHASIS OI 474000 4223500 177000 7204000 307500 OI CHANGE (%) 28.28 26.26 25.53 20.39 19.19 PRICE 438.00 376.90 265.45 101.05 384.75 PRICE CHANGE (%) -1.28 -2.65 3.14 2.01 -0.29
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There was muted performance by FIIs in cash market
segment; they were net buyers of `84/-cr. only in yesterdays trading session. On derivatives front they were net sellers in index futures, while in index options they continue to be net buyers, however in open interest front the activity was quite flat.
On options front not much of buildup was observed
in both call and put option except 5100 put option which have seen maximum buildup in yesterdays trading session. However decent unwinding was seen in 4900 and 5300 put option.
The
OI Losers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)
recent bounce back in the counter of TATAMOTORS was mainly due to short covering. The stock has decent short positions and also on call options front the 240-260 strike price continues to add significant amount of buildup and its much of the short buildup as the IV is quite low. Hence the stock could see some selling pressure at higher levels which could take the counter to around `225. Go short with the stop loss of `246.
Put-Call Ratio
SCRIP NIFTY INFY BANKNIFTY SBIN RELIANCE PCR-OI 1.20 1.01 1.07 0.66 0.41 PCR-VOL 1.12 0.83 1.15 0.51 0.32
Historical Volatility
SCRIP WIPRO NMDC CUMMINSIND GESHIP RELIANCE HV 24.63 38.66 34.41 34.27 24.72
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Derivative Report
July 12, 2012
Turnover on 11-July-2012
No. of Contracts Turnover (` in cr.) Change (%)
Instrument
11512.36 11864.83
Lot Size = 50
Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 80.85 36.50 80.85 12.70 36.50 12.70 23.80 76.20 5423.80 68.15 131.85 5368.15 Risk 44.35 Reward 55.65 BEP 5344.35
Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 58.25 27.05 58.25 11.65 27.05 11.65 15.40 84.60 5184.60 46.60 153.40 5253.40 Risk 31.20 Reward 68.80 BEP 5268.80
Note: Above mentioned Bullish or Bearish Spreads in Nifty (July Series) are given as an information and not as a recommendation.
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Derivative Report
July 12, 2012
E-mail: research@angelbroking.com
Website: www.angelbroking.com
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