derivatives report 30 nov 2012

7/30/2019 Derivatives Report 30 Nov 2012

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Derivative Report Nov 30, 2012

Comments

The N ifty futures open i nterest decreased b y 9.7 2% whileBankNifty futures open interest is decreased by 10.57%

as market closed at 58 25 .00 levels.

The Nifty Dec. future closed at premium of 44.35 pointagainst a premium of 41.85 points. The Jan. seriesclosed at a premium of 73 .80 p oints.

The Implied Volatility of at the money options is

increased from 11 .63% to 13.50 %.

N ifty PC R-O I has decreased from 1.1 7 to 1 .06 levels.

The total O I of the market is Rs.1,08,011/- cr . and the

stock futures O I are Rs.31,240/ - c r. Few of the liquid counters where we have seen high

C ost-of -C ar ry are TATAM TRD VR, JPPO WER, G VKPIL,

DIVISLAB and GRASIM.

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(%)

HDI L 26584000 10.95 112.60 7 .08

M RF 121000 9 .50 10517.00 4 .41

ABIRLAN U VO 1323500 4 .36 1063.15 0 .76

HI NDZ I NC 1756000 3 .66 137.90 1 .38

CIPLA 11880000 0 .75 404.55 3 .56

Put-Call Ratio

SCRIP PCR-O I PCR-VO L

NIFTY 1.06 0.89

BANKNIFTY 0.95 1.06

SBIN 0.54 0.36

RELIAN CE 0.55 0.48

TATASTEEL 0. 46 0. 46

View

FII’s continues to buy in cash market segment in bigway; in yesterday’s trade also they were net buyer’sworth of ` 1,5 80 / - cr. O n derivatives front they werenet buyers in ind ex futures and in in dex options.

O n op tions front in new series we have observedsignif icant amount of buildup in 5900-6200 callopt ion. While in put opt ion 5600-6000 str ike pricehas seen decent amount of buildup in yesterday’strade. Highest buildup of open interest is in 5600 put

option and 600 0 call option. Rollover i n N IFTY future was bit on the higher side at

72 %, whi le that of BAN KNIFTY future it was in line at68%.

BHEL has seen good amount of short positionsgetting buildup at higher levels and also the rolloverof (82%) was bit on hi gher side indicating m ost of theshort positions has being carried forward. The stockhas seen taking support at around ` 218-220 levels,hence we feel short covering b ounce could be seen i nthis stock which could take the counter to around` 238. Go long with the stop loss of `214.

Historical Volatility

SCRIP HV

TATACHEM 24.88

MRF 26.82

INDUSINDBK 36.55

BAJAJ-AUTO 30.9 4

ASIANPAINT 32.4 4

OI Losers

SCRIP O IO I

C H A N G E

(% )

PRICEPRICE

C H A N G E

(%)

AN DH RABAN K 1542000 -52 .44 108.35 3 .31

BH ARTIARTL 9142000 -38 .00 330.35 1 .22

CANBK 1334500 -37 .46 443.80 1 .04

EXIDEIN D 1972000 -36 .26 143.35 -0 .89

AXISBAN K 3836500 -35 .44 1310.20 1 .40



D eriva tive Repo rtNov 30, 2012


FII Statistics for 29-November-2012

D etail Buy Sell N et

O pen Interest

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

INDEX

FUTURES6819 .98 4473 .59 2346 .39 331495 9701 .83 (29 .09 )

INDEXOPTIONS

15966 .50 15144 .04 822 .46 122025 0 35545 .55 (34 .73 )

STOC KFUTURES

10385 .20 10901 .58 (516 .38 ) 1047002 29279 .39 (13 .31 )

STOC KOPTIONS

1050 .39 957 .55 92 .84 1943 53 .09 (97 .98 )

TO TAL 34222 .07 31476 .76 27 45 .31 2600690 74579 .86 (28 .58 )

Turnover on 29-November-2012

InstrumentNo . o f

Contracts

Turnover

(` in cr.)

Ch an g e

(% )

INDEX

FUTURES7 ,38 ,304 20941 .88 33 .82

INDEX

O PTIO NS76 ,12 ,483 220647 .83 56 .49

STOC KFUTURES

16 ,24 ,517 46869 .17 27 .87

STOC K

O PTIO NS4 ,73 ,042 15362 .99 23 .80

TOTAL 1,04,48,34 6 30382 1.87 47.69

N ifty Spot = 582 5.00 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 5800 126.3553.45 46.55 5853.45

Buy 5800 57 .6025.65 74.35 5774.35

Sell 5900 72.90 Sell 5700 31 .95

Buy 5800 126.3588.55 111.45 5888.55

Buy 5800 57 .6039.85 160.15 5760.15

Sell 6000 37.80 Sell 5600 17 .75

Buy 5900 72.9035.10 64.90 5935.10

Buy 5700 31 .9514.20 85.80 5685.80

Sell 6000 37.80 Sell 5600 17 .75

N ote: Above me ntioned Bullish or Bearish Spreads in N ifty (Dec. Series) a re given as a n information a nd not a s a re commenda tion.

Nifty Put-Call Analysis



D eriva tive Repo rtNov 30, 2012


Stra tegy D ate Symb ol Stra tegy Status

2 9 -O ct-2 01 2 N IFTY Long Put Loss on expiry

0 5- N ov-201 2 TATAM O TO RS Long Put Ladd er Profit booked on 19 -N ov-2 01 2

1 2- N ov-201 2 D LF Bear Put Spread Profit booked on 19 -N ov-2 01 2

1 9 -N ov-20 1 2 AXISBAN K Long Put Loss on expiry

2 6- N ov-201 2 RELIANC E Long C all Profit on expiry

Derivat ive Research Team

Ema il Id : - derivatives.desk@ an gelbroking.com

For Private Circulation O nly

SEBI Registration No: INB 010996539

Research Team Tel: 022 - 393 578 00 E-m ail: research@ang elbroking.com Website: www.angelbroking .com

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derivatives report 30 nov 2012

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