deirvatives report 3rd jan

7/30/2019 Deirvatives Report 3rd Jan

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Derivative Report Jan 03, 2013

Comments

The Nifty futures open interest increased by 1.75% whileBankNifty futures open interest is increased by 5.32% as

market closed at 5993.25 levels.

The Nifty Jan. future closed at premium of 42.40 pointagainst a premium of 56.65 points. The Feb. seriesclosed at a premium of 82 .15 p oints.

The Implied Volatility of at the money options is

decreased from 12.47% to 12.45%.

N ifty PC R-O I has decreased from 1.0 2 to 0 .99 levels.

The total O I of the mar ket is Rs.1,26,3 01 / - cr. and the

stock futures O I are Rs.37 ,10 7 / - cr .

Few of the liquid counters where we have seen high costof car ry a re N HPC, AD AN IPO RTS, RPO WER, A SHO KLEYand DISHTV.

Ni fty Vs OI

OI Gainers

SCRIP O IO I

C H A N G E(%)

PRIC EPRICE

C H A N G E(%)

CO LPAL 172500 14.05 1527.05 -1 .68

SAIL 23636000 12.45 96.00 3 .92

U N I O N B A N K 4410000 12.21 278.60 -1 .13

SYN DIBAN K 3092000 12.03 133.00 0 .07

TATAG LO BAL 21844000 10.37 166.65 3 .44

Put-Call Ratio

SCRIP PCR-O I PCR-VO L

NIFTY 0.99 0.91

BANKNIFTY 0.78 0.78

SBIN 0.98 0.71

RELIAN CE 0.49 0.44

INFY 0.73 0.62

View

Good amount of buying was observed by FII’s incash market segment; they were net buyers worth of

`1,10 8/ - cr. O n derivatives front they formed goodamount of long buildup in both index futures and inindex options in yesterday’s trading session.

O n options front signif icant amo unt of buildup wasseen in 6200-6400 call opt ion followed by someunwinding in 60 00 str ike price which was ma inly dueto short covering. While in put option 6100 strike

price saw maximum buildup in open interest inyesterda y’s trad e.

CROMPGREAV has seen significant amount of shortpositions standing since last few expiries. After someshort covering bou nce in O ctober series the counterhas again seen decent amount of short buildup inNovember series at around `122-124 levels which isnow acting as stiff resistance. However in yesterday’strade the stock has seen crossing this level withbuildup in open interest and also with the help oflong buildup seen in this counter in last few tradingsession we feel the stock could resume its uptrend onback of short covering. Go long with the stop loss of

`

117 and target of`

136.

Historical Volatility

SCRIP HV

BAJAJ-AUTO 28.8 2

SAIL 35.06

BATAINDIA 24.77

MARUTI 25.69

SIEMENS 18.58

OI Losers

SCRIP O IO I

C H A N G E

(%)

PRIC EPRICE

C H A N G E

(%)

ALBK 5752000 -13 .01 177.70 1 .08

JIN D ALSTEL 5184000 -9 .83 466.15 0 .47

AMBU JACEM 6852000 -8 .49 204.25 0 .98

D LF 20867000 -7 .84 235.20 -0 .21

PN B 2755500 -7 .72 905.50 0 .80



D eriva tive Repo rtJan 03, 2013


FII Statistics for 02 -January -2013

D etail Buy Sell N et

O pen Interest

C ontracts Value Change(` in cr.) (%)

INDEX

FUTURES1423 .18 1049 .29 373 .89 258541 7815 .08 2 .25

INDEXOPTIONS

11481 .29 8933 .87 2547 .43 1272726 38234 .22 8 .46

STOC KFUTURES

765 .08 924 .24 (159 .16 ) 969802 31836 .85 1 .18

STOC KOPTIONS

741 .50 767 .22 (25 .72 ) 51061 1544 .47 13 .19

TO TAL 14411 .06 11674 .63 2736 .43 2552130 79430 .61 5 .03

Turnover on 02-January-2013

InstrumentNo . o f

Contracts

Turnover

(` in cr.)

Ch an g e

(% )

INDEX

FUTURES2 ,15 ,556 6433 .08 20 .10

INDEX

O PTIO NS22 ,00 ,295 66391 .76 26 .61

STOC KFUTURES

4 ,51 ,870 15770 .06 29 .69

STOC K

O PTIO NS2 ,00 ,490 6797 .17 37 .54

TOTAL 30,68,21 1 953 92.06 27.36

N ifty Spot = 599 3.25 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

Action Strike Price Risk Rewa rd BEP Action Strike Price Risk Rewa rd BEP

Buy 6000 102.9047.30 52.70 6047.30

Buy 6000 67 .3531.80 68.20 5968.20

Sell 6100 55.60 Sell 5900 35 .55

Buy 6000 102.9076.40 123.60 6076.40

Buy 6000 67 .3549.60 150.40 5950.40

Sell 6200 26.50 Sell 5800 17 .75

Buy 6100 55.6029.10 70.90 6129.10

Buy 5900 35 .5517.80 82.20 5882.20

Sell 6200 26.50 Sell 5800 17 .75

N ote: Above me ntioned Bullish or Bea rish Spread s in Nifty (Jan. Series) are given as an inform ation a nd not as a recom m enda tion.

Nifty Put-Call Analysis



D eriva tive Repo rtJan 03, 2013


Stra tegy D ate Symb ol Stra tegy Status

31 -D ec-20 12 RELIN FRA Long C all Ladder O pen

Derivative Research Team

Ema il Id : - derivatives.desk@ ang elbroking.com

For Private Circulation O nly

SEBI Registration No: INB 010996539

Research Team Tel: 02 2 - 393 578 00 E-m ail: research@angelbroking .com Website: www.angelbroking. com

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deirvatives report 3rd jan

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