derivatives report 2nd jan

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  • 7/30/2019 Derivatives Report 2nd Jan

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    www.angelbroking.com 1

    Derivative ReportJan 02, 2013

    Comments

    The N ifty future open interest increased b y 4.08 % whileBankNifty future open interest is increased by 8.78% as

    market closed at 5950.85 levels.

    The Nifty Jan. future closed at premium of 56.65 pointagainst a premium of 46.65 points. The Feb. seriesclosed at a premium of 93 .40 p oints.

    The Implied Volatility of at the money options isdecreased from 13.72% to 12.47%.

    N ifty PC R-O I has increased from 1.0 1 to 1 .02 levels. The total O I of the mar ket is Rs.1,20,9 74 / - cr. and the

    stock futures O I are Rs.36 ,60 8/ - cr .

    Few of the liq uid counters where we ha ve seen high cost-of- car ry are WELCO RP, ASHO KLEY, CHA M BLFERT,

    REN UKA and A DAN IPO WER.

    Ni fty Vs OI

    OI Gainers

    SCRIP O IO I

    C H A N G E(%)

    PRIC EPRIC E

    C H A N G E(%)

    AND HRABANK 3348000 27.40 122.00 3 .44

    SYN DIBAN K 2760000 21.05 132.60 3 .63

    ALBK 6612000 15.35 174.70 2 .97

    VIJAYABAN K 10420000 15.11 64.50 3 .57

    IO B 5820000 14.48 89.90 5 .14

    Put-Call Ratio

    SCRIP PCR-O I PCR-VO L

    NIFTY 1.02 1.02

    BAN KNIFTY 0.81 0.82

    SBIN 1.01 0.94

    RELIANC E 0.45 0.52

    INFY 0.73 0.64

    View

    FIIs continue to buy in cash market segment; theywere net buyers worth of ` 665/- cr. On derivat ivesfront long unwind ing was observed by them in indexfutures, while in i ndex options they formed some longbuil dup in o pen i nterest in yesterdays trade.

    O n options front 6200 -630 0 call opt ion has seensignificant amount of buildup in open interest. Whilein put opt ion 5600, 5900 and 6000 put opt ion hasseen considerable amount of buildup in open interestin yesterdays trading session.

    SBIN saw good amount of long buildup with increasein CoC in yesterdays trade. The stock has seentaking resistance at around ` 2400 from last 2-3expiry; however in yesterdays trade the counter wasable to cross this resistance convincingly with goodcash market volume. This will result in further shortcovering rally in this counter and hence we feel thestock could continue its uptrend. Go long with thestop loss of `2390 and target of ` 2570.

    Historical Volatility

    SCRIP HV

    IOB 39.89

    RELIN FRA 35. 78

    BANKINDIA 39.98

    DENABANK 43.93

    CANBK 39.16

    OI Losers

    SCRIP O IO I

    C H A N G E

    (%)

    PRIC EPRICE

    C H A N G E

    (%)

    PN B 2986000 -10 .73 892.45 2 .24

    N M D C 30318000 -4 .20 168.70 2 .10

    TECHM 1319750 -4 .05 933.65 0 .06

    JUBLFO O D 451000 -3 .94 1312.60 1 .64

    U N I PH O S 11008000 -3 .22 132.40 1 .56

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    D eriva tive Repo rtJan 02, 2013

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    FII Statistics for 01-January-2013

    D etail Buy Sell N et

    O pen Interest

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

    INDEX

    FUTURES278.94 423.08 (144.14) 25285 9 7609.5 2 (1 .54)

    INDEXOPTIONS

    6699 .69 5724 .71 974 .98 1173453 35002 .36 5 .61

    STOC KFUTURES

    493 .40 712 .33 (218 .93 ) 958465 31311 .14 0 .77

    STOC KOPTIONS

    502 .39 550 .97 (48 .57 ) 45112 1343 .91 10 .91

    TO TAL 7974 .43 7411 .09 563 .33 2429889 75266 .93 2 .97

    Turnover on 01-January-2013

    InstrumentNo . o f

    Contracts

    Turnover

    (` in cr.)

    Ch an g e

    (% )

    INDEX

    FUTURES1 ,82 ,009 5356 .31 52 .38

    INDEX

    O PTIO NS17 ,50 ,713 52438 .55 57 .98

    STOC KFUTURES

    3 ,49 ,768 12160 .12 46 .79

    STOC K

    O PTIO NS1 ,45 ,343 4941 .86 27 .44

    TOTAL 24,27,83 3 748 96.83 53.26

    N ifty Spot = 595 0.85 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 91.0543.15 56.85 6043.15

    Buy 5900 44 .4021.55 78.45 5878.45

    Sell 6100 47.90 Sell 5800 22 .85

    Buy 6000 91.0569.15 130.85 6069.15

    Buy 5900 44 .4033.05 166.95 5866.95

    Sell 6200 21.90 Sell 5700 11 .35

    Buy 6100 47.9026.00 74.00 6126.00

    Buy 5800 22 .8511.50 88.50 5788.50

    Sell 6200 21.90 Sell 5700 11 .35

    N ote: Above me ntioned Bullish or Bea rish Spreads in Ni fty (Jan. Series) are given as an inform ation a nd not as a recom mend ation.

    Nifty Put-Call Analysis

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    D eriva tive Repo rtJan 02, 2013

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    Stra tegy D ate Symb ol Stra tegy Status

    31 -D ec-20 12 RELIN FRA Long call 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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