Derivative Report India Research Dec 28, 2011 S E B I R egis trati on N o: INB 010 996 539 For Private Circulation Only1 Comments The Nifty futures open interest decreased by 0.59% while Minifty futures open interest decreased by 4.51% as market closed at 4750.50 levels. The Nifty Dec. future closed at a Premium of 0.40 point against a Premium of 8.70 points. The January Series closed at a Premium of 16.80 points. The Implied Volatility of at the money options is increased from 25.08% to 27.42%. The PCR-OI has being decreased from 0.95 to 0.93 points. The total OI of the market is `1,38,636.50cr . and the stock futures OI are `29,032.32/- cr .Few of the liquid counters where we have seen high rol l over s ar e CO R E E DUTE C, R UCHISOY A, JS WS TE E L, PUN JL LOYD and BHAR ATF OR G. Nifty Vs OI OI Gainers SCR IP OI OI CHANGE (% ) PRICE PR IC E CHANGE (% ) JINDAL SA W 1544000 30.41 126.20 -1.41 FOR TIS 7342000 20.05 83.15 -6.52 MR F 45625 19.67 6806.15 -2.20 GLA XO 8875 18.33 1926.05 0.34 HOTE LE EL A 3944000 14.39 29.60 -3.58 Put-Call Ratio S CRIP P CR-OI P CR-VOL NIFT Y 0.9 3 0. 91 S BIN 0.3 8 0. 60 B ANKNIF TY 0.9 3 0. 97 R E LIA NCE 0. 57 0. 66 ICICIB ANK 0.4 9 0.67 ViewFII’s were net buyers in cash market segment in ye ste rd ay’ s trad e; they we re net buyer’ s worth of ` 21 4/ - cr. O n Derivatives front they w ere ne t buye rs in index futures and index options. On Options front Nifty 4800 put option have seen some unwinding, while in call options 4600 strike have seen unwinding and some buildup was visible in 4700 call option. In recent past we have seen open position getting buildup in NHPC and we believe it is a blend of long and short position getting buildup in this counter. The stocks has yet to see the meaningful bounce back after very sharp correction. Hence we recommend to go long on this counter between ` 18.50-19 level with the target price of ` 21 and stop loss at ` 17.50. Historical Volatility SCRIP HV F OR TIS 54 .6 5 BAJAJHLDNG 27.63 MRPL 52.04 CIPLA 25.62 VOLT AS 50.5 5 OI L osers SCR IP OI OI CHANGE (% ) PRICE PRICE CHANGE (% ) SY NDIB ANK 1706000 -13.93 75.65 1.07 MTNL 14952000 -9.23 23.95 -1.44 GMRINFR A 61432000 -9.01 19.65 -3.68 JS WENER GY 5740000 -7.89 38.60 -0.90 STER 33122000 -7.49 91.55 -1.61
SEBI Registration No: INB 010996539 For Private Circulation Only 1
Comments
The Nifty futures open interest decreased by 0.59% whileMinifty futures open interest decreased by 4.51% as
market closed at 4750.50 levels.
The Nifty Dec. future closed at a Premium of 0.40 point
against a Premium of 8.70 points. The January Seriesclosed at a Premium of 16.80 points.
The Implied Volatility of at the money options is
increased from 25.08% to 27.42%.
The PCR-OI has being decreased from 0.95 to 0.93
points.
The total OI of the market is `1,38,636.50cr. and the
stock futures OI are `29,032.32/-cr. Few of the liquid counters where we have seen high
rol lovers are CO REEDUTEC, RUCHISOYA, JSWSTEEL,PUNJLLOYD and BHARATFORG.
Nifty Vs OI
OI Gainers
SCRIP OIOI
CHANGE(%)
PRICEPRICE
CHANGE(%)
JINDALSAW 1544000 30.41 126.20 -1.41
FORTIS 7342000 20.05 83.15 -6.52
MRF 45625 19.67 6806.15 -2.20
GLAXO 8875 18.33 1926.05 0.34
HOTELEELA 3944000 14.39 29.60 -3.58
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 0.93 0.91
SBIN 0.38 0.60
BANKNIFTY 0.93 0.97
RELIANCE 0.57 0.66
ICICIBANK 0.49 0.67
View
FII’s were net buyers in cash market segment inyesterday’s trade; they were net buyer’s worth of`214/ - cr. On Derivatives front they were net buyersin index futures and index options.
On Options front Nifty 4800 put option have seensome unwinding, while in call options 4600 strikehave seen unwinding and some buildup was visiblein 4700 call option.
In recent past we have seen open position gettingbuildup in NHPC and we believe it is a blend of longand short position getting buildup in this counter. Thestocks has yet to see the meaningful bounce backafter very sharp correction. Hence we recommend togo long on this counter between `18.50-19 level withthe target price of `21 and stop loss at ` 17.50.
For Private Circulation Only SEBI Registration No: INB 010996539 3
Strategy Date Scrip Strategy Status
28-11-2011 RELINFRA Long Call Did not triggered
05-12-2011 TATAMOTORS Long Put Open
12-12-2011 NIFTY Short Strangle Book Profit
19-12-2011 NIFTY Long Call Did not triggered
26-12-2011 TATASTEEL Long Call Open
DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment
decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should
make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the
companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine
the merits and risks of such an investment.
Angel Broking Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make
investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in this
document are those of the analyst, and the company may or may not subscribe to all the views expressed within.
Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and
trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's
fundamentals.
The information in this document has been printed on the basis of publicly available information, internal data and other reliablesources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as thisdocument is for general guidance only. Angel Broking or any of its affili ates/ group companies shall not be in any way responsiblefor any loss or damage that may arise to any person from any inadvertent error in the information contained in this report . AngelBroking Limited has not independently verified all the information contained within this document. Accordingly, we cannot testify, normake any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. WhileAngel Broking Limited endeavours to update on a reasonable basis the information discussed in this material, there may beregulatory, compliance, or other reasons that prevent us from doing so.
This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced,
redistributed or passed on, directly or indirectly.
Angel Broking Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment banking or
other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of this report or
in the past.
Neither Angel Broking Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise from or
in connection with the use of this information.
No te: Please refer to the im portant ` Stock Holdi ng Disclosure' report on the Angel website (Research Section).
