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Derivatives Report 13th February 2012

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 Derivative Report India Research Feb 13, 2012 S E B I R egis trati on N o: INB 010 996 539 For Private Circulation Only 1  Comments  The Nifty futures open interest decreased by 3.00% while Minifty futures open interest decreased by 9.80% as market closed at 5381.60 levels.  The Nifty Feb. future closed at a Premium of 16.05 point against a Premium of 24.70 points. The March series closed at a Premium of 46.00 points.  The Implied Volatility of at the money options is increased from 19.80% to 20.43%.  The PCR-OI has being decreased from 1.45 to 1.41 points.  The total OI of the market is `1,37,195.1/-cr. and the stock futures OI are `33,014/-cr.  Few of the liquid counters where we have seen high cost- of-carry are ABGSHIP, TTML, SKUMARSYNF, GMRINFRA and ABIR LANUVO. Nifty Vs OI OI Gainers SCR IP OI OI CHANGE (% ) PRICE PR IC E CHANGE (% ) CUMMINS IND 404500 47.09 459.80 6.73 OIL 206250 42.73 1321.30 2.12 TATACHE M 865000 25.18 357.00 1.55 IFCI 56480000 23.38 38.90 7.61 S OUTHB ANK 8270000 20.38 26.45 -0.75 Put-Call Ratio S CRIP P CR-OI P CR-VOL NIFT Y 1.4 1 1. 08 B ANKNIF TY 1.7 3 1.24 S BIN 0.8 6 0. 68 R E LIA NCE 0. 94 0. 51 ICICIB ANK 0.8 1 0.53 View  FII’s were net buyers in cash market segment; they were net buyer’s worth of ` 196/- cr. on Friday’s trading session. On derivatives front they were net sellers in index futures, while in index options they were net buyers.  On Options front 5500 and 5600 call option have seen some buildup in open interest, while in put option 5400 strike price have seen maximum buildup in open interest on Friday’s trading session.  The counter of DCB has seen good amount of buildup in open interest in the past few trading session. We feel majority of the buildup is on the longer side. Hence we recommend to go long on this stock with the target price of ` 54 and stop loss at ` 45. Historical Volatility SCRIP HV DAB UR 30.59 JINDALSAW 55.49 MRF 51.52 CUMMINSIND 47.51 NHPC 38.11 OI L osers SCR IP OI OI CHANGE (% ) PRICE PRICE CHANGE (% ) VIP IND 1878750 -28.50 114.70 -4.26 OR IENTB ANK 669000 -20.55 303.15 1.68 S UN TV 1506000 -18.33 340.80 3.27 E K C 3096000 -17.13 42.90 -3.92 DELT ACO R P 7858000 -15.07 79.35 -3.41
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8/3/2019 Derivatives Report 13th February 2012

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Derivative ReportIndia Research

Feb 13, 2012

SEBI Registration No: INB 010996539 For Private Circulation Only  1

 

Comments

  The Nifty futures open interest decreased by 3.00% whileMinifty futures open interest decreased by 9.80% as

market closed at 5381.60 levels.

  The Nifty Feb. future closed at a Premium of 16.05 point

against a Premium of 24.70 points. The March seriesclosed at a Premium of 46.00 points.

  The Implied Volatility of at the money options is

increased from 19.80% to 20.43%.

  The PCR-OI has being decreased from 1.45 to 1.41

points.

  The total OI of the market is `1,37,195.1/-cr. and the

stock futures OI are `33,014/-cr.   Few of the liquid counters where we have seen high cost-

of-carry are ABGSHIP, TTML, SKUMARSYNF, GMRINFRAand ABIRLANUVO.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

CUMMINSIND 404500 47.09 459.80 6.73

OIL 206250 42.73 1321.30 2.12

TATACHEM 865000 25.18 357.00 1.55

IFCI 56480000 23.38 38.90 7.61

SOUTHBANK 8270000 20.38 26.45 -0.75

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.41 1.08

BANKNIFTY 1.73 1.24

SBIN 0.86 0.68

RELIANCE 0.94 0.51

ICICIBANK 0.81 0.53

View 

  FII’s were net buyers in cash market segment; theywere net buyer’s worth of ` 196/- cr. on Friday’strading session. On derivatives front they were netsellers in index futures, while in index options theywere net buyers.

  On Options front 5500 and 5600 call option haveseen some buildup in open interest, while in putoption 5400 strike price have seen maximum buildupin open interest on Friday’s trading session.

  The counter of DCB has seen good amount ofbuildup in open interest in the past few tradingsession. We feel majority of the buildup is on thelonger side. Hence we recommend to go long on thisstock with the target price of ` 54 and stop loss at`45.

Historical Volatility

SCRIP HV

DABUR 30.59

JINDALSAW 55.49

MRF 51.52

CUMMINSIND 47.51

NHPC 38.11

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

VIPIND 1878750 -28.50 114.70 -4.26

ORIENTBANK 669000 -20.55 303.15 1.68

SUNTV 1506000 -18.33 340.80 3.27

EKC 3096000 -17.13 42.90 -3.92

DELTACORP 7858000 -15.07 79.35 -3.41

8/3/2019 Derivatives Report 13th February 2012

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 Derivative Report | India Research

For Private Circulation Only  SEBI Registration No: INB 010996539 2

 

FII Statistics for 10-Feb-2012

Detail Buy Sell Net

Open Interest

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

INDEXFUTURES

1871.52 3237.52 (1,366.00) 584754 15699.37 2.30

INDEXOPTIONS

20596.15 19872.10 724.04 1553993 41801.62 3.56

STOCK

FUTURES2026.28 2462.52 (436.25) 1049610 30417.21 0.84

STOCK

OPTIONS929.53 917.52 12.01 58802 1668.06 3.69

Total 25423.47 26489.66 (1,066.19) 3247159 89586.26 2.44

Turnover on 10-Feb-2012 

InstrumentNo. of

ContractsTurnover(Rs. in cr.)

Change(%)

INDEX

FUTURES596964 15198.61 25.14

INDEX

OPTIONS3580474 96709.97 26.84

STOCKFUTURES

652701 18831.4 4.75

STOCKOPTIONS

217585 6329.01 8.20

Total 5047724 137068.99 22.14

Nifty Spot = 5412.35 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 5400 78.6541.55 58.45 5441.55

Buy 5300 44.9021.80 78.20 5278.20

Sell 5500 37.10 Sell 5200 23.10

Buy 5400 78.6564.00 136.00 5464.00

Buy 5300 44.9033.25 166.75 5266.75

Sell 5600 14.65 Sell 5100 11.65

Buy 5500 37.1022.45 77.55 5522.45

Buy 5200 23.1011.45 88.55 5188.55

Sell 5600 14.65 Sell 5100 11.65

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

Nifty Put-Call Analysis

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 Derivative Report | India Research

For Private Circulation Only  SEBI Registration No: INB 010996539 3

 

Strategy Date Scrip Strategy Status

30-01-2012 NIFTY Long Call Ladder Open

06-02-2012 SBIN Short Strangle Open

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Derivative Research Team

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