derivatives report 19th january 2012

8/3/2019 Derivatives Report 19th January 2012

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Derivative ReportIndia Research

Jan 19, 2012

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures open interest decreased by 2.52% whileMinifty futures open interest decreased by 4.14% as

market closed at 4955.80 levels.

The Nifty Jan. future closed at a Premium of 1.70 point

against a Premium of 9.70 points. The February Seriesclosed at a Premium of 24.85 points.

The Implied Volatility of at the money options is

increased from 21.40% to 21.45%.

The PCR-OI has being increased from 1.38 to 1.41

points.

The total OI of the market is `1,28,862/-cr. and the

stock futures OI are `30,950/-cr. Stocks were cost of carry is positive are RUCHISOYA,

ABGSHIP, VIDEOIND, JPPOWER and AUROPHARMA.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

BOMDYEING 495000 65.55 435.65 9.30

VOLTAS 3888000 27.31 82.25 -10.60

AREVAT&D 477000 22.31 187.65 4.31

DELTACOR 9700000 20.98 72.40 6.86

ESSAROIL 9732000 20.92 51.15 -12.11

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.41 1.14

INFY 0.36 0.39

BANKNIFTY 1.86 0.95

SBIN 1.44 0.58

RELIANCE 0.84 0.49

View

Yesterday also FII’s were net buyers in cash marketsegment; they were net buyers worth of ` 876/- cr.On Derivatives front they were net sellers in indexfutures, while in index options they were net buyers.

On Options front most of the call option have seensome unwinding except 5100 strike price wheresome buildup of open interest was visible, while input options 4700 and 4900 strike price have seenmaximum buildup of open interest in yesterday’s

trade. After INFY result we have seen huge formation of

short positions in most of the IT major. HoweverWIPRO has not seen much of short positions addedwhich reflects strength in this counter. Hence werecommend to go long on WIPRO at around ` 400-405 levels with the target price of ` 431 and stop lossat ` 386 as we expect formation of long position inthis counter.

Historical Volatility

SCRIP HV

VOLTAS 78.08

BOMDYEING 61.82

ESSAROIL 99.57

POLARIS 54.20

SOUTHBANK 38.51

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

SOUTHBANK 1770000 -17.67 22.35 -3.46

KFA 6888000 -12.85 25.35 1.00

JUBLFOO D 1037250 -12.69 806.30 -3.02

CO LPAL 99500 -12.14 958.80 -0.67

CHAMBLFERT 4146000 -11.94 76.55 -2.42



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 18-Jan-2012

Detail Buy Sell Net

Open Interest

Contracts Value Change(Rs. in cr.) (%)

INDEXFUTURES

1622.00 1992.34 (370.34) 552296 13565.16 0.12

INDEXOPTIONS

13352.66 12674.95 677.70 1521917 37674.84 1.60

STOCK

FUTURES2873.87 2880.34 (6.46) 1088950 27852.81 0.90

STOCK

OPTIONS1051.45 951.00 100.46 60573 1607.56 5.45

Total 18899.99 18498.63 401.36 3223736 80700.38 1.18

Turnover on 18-Jan-2012

InstrumentNo. of

ContractsTurnover(Rs. in cr.)

Change(%)

Index Futures 435669 10140.50 -4.70

Index Options 2993319 73912.73 -16.27

Stock Futures 723817 18009.55 6.44

Stock Options 267751 6867.44 -3.01

Total 4420556 108930.23 -11.38

Nifty Spot = 4955.80 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP

Buy 5000 38.2028.40 71.60 5028.40

Buy 4900 36.6022.65 77.35 4877.35

Sell 5100 9.80 Sell 4800 13.95

Buy 5000 38.2036.05 163.95 5036.05

Buy 4900 36.6031.10 168.90 4868.90

Sell 5200 2.15 Sell 4700 5.50

Buy 5100 9.807.65 92.35 5107.65

Buy 4800 13.958.45 91.55 4791.55

Sell 5200 2.15 Sell 4700 5.50

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Jan. Series) are given as an information and not as a recommendation.

Nifty Put-Call Analysis



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 3

Strategy Date Scrip Strategy Status

02-Jan-2012 TATASTEEL Ratio Bull Call Spread Loss Booked on 12-01-2012

09-Jan-2012 DLF Long Call Profit Booked on 11-01-2012

16-Jan-2012 NIFTY Put Hedge Open

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Derivative Research Team

Email Id : - [email protected]

derivatives report 19th january 2012

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