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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
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 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
Email Id : - [email protected]