www.angelbroking.com 1 Derivative Report Apr 30, 20 13 Comments The Nift y f ut ur es op en in t e rest increase d by 2.27% while BankNifty futures open interest is increased by 6.52% as market closed at 5904.10 levels. The Nift y Ma y . fu t ure closed at pr emiu m o f 14 .10 p oint against a premium of 16.30 points. The J un se ries closed at a premium of 25.05 points. The Im pli e d V olatili t y o f at t he mone y op t ions has increased from 13.10% to 13.21%. Nifty P CR -O I has remained unc hanged at 1.05 lev els. T he t ot al OI of t he ma rk e t is R s . 1,11 ,56 4 / - cr . an d t he st ock fut ures OI is R s.25,763/ - cr. Few of the liquid counters where we have seen high cost of carry are GMR INFR A, GSP L, PUNJ LL OYD, DABUR an d T AT ACOMM. Nifty Vs OI OI Gaine rs SCR IP OI OI CHANGE (% ) PRICE PRICE CHANGE ( % ) UNIONBANK2967000 21.50 245.60 4.43 INDALSTEL 8641000 19.37 301.30 -4.59 IOB 7272000 18.59 63.60 -5. 21 HINDUNILVR 7092500 17.02 497.35 6.96 APOLLOTYR E 4192000 16.83 95.15 4.25 Put -Call R atio SCRIP PCR-OI PCR-VOL NIFTY 1.05 1.11 BA NKNIFTY 1.34 1.14 INFY 0.44 0.39 R EL IANCE 0.48 0.45 SB IN 0.61 0.68 View FII’s have being buying continuously in cash market segment; in yesterday’s trade also they were net buy ers w orth of Rs .620/ - cr. On derivatives front not much of activity was observed by them in index futures, however good amount of short buildup was seen by them in index options and stock futures in yesterday’s trade. On options front th e activ ity in call option has being seen in 6100 strike price where some buildup was observed, while in put option 5700 and 5900 strikes saw maximum buildup in open interest in yesterday’s trading session. HINDUNILVR has seen significant amount of long buildup in yesterday’s trade post its positive result. T he coun t er ha s go od amoun t of short po s it ions there in this stock which is still intact. Hence we feel the stock could see some short covering bounce from current level which could take the counter to around Rs.532. Go long with the stop loss of Rs.484. Historical Volatility SCRIP HV HINDUNILVR 41.20 IOB 40.63 SIEMENS 55.65 INDHO TEL 35.89 APOLLOTYRE 42.58 OI Losers SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE ( % ) SUNTV 18390 00 -8. 55 4 22.95 0.46 EXIDEIND 2136000 -8. 40 134.95 -3.79 LICHSGFIN 10625000 -7. 38 252.10 1.57 HEROMOTOCO 14410 00 -7. 27 1648.80 3.36 INDIACEM 33800 00 -4. 41 83.05 1.83
The Nifty futures open interest increased by 2.27% whileBankNifty futures open interest is increased by 6.52% asmarket closed at 5904.10 levels.
The Nifty May. future closed at premium of 14.10 pointagainst a premium of 16.30 points. The Jun series closedat a premium of 25.05 points.
The Implied Volatility of at the money options has
increased from 13.10% to 13.21%.
Nifty PCR-OI has remained unchanged at 1.05 levels.
The total OI of the market is Rs. 1,11,564/- cr. and the
stock futures OI is Rs.25,763/- cr.
Few of the liquid counters where we have seen high costof carry are GMRINFRA, GSPL, PUNJLLOYD, DABUR and
TATACOMM.
Nifty Vs OI
OI Gainers
SCRIP OIOI
CHANGE(%)
PRICEPRICE
CHANGE(%)
UNIONBANK 2967000 21.50 245.60 4.43
INDALSTEL 8641000 19.37 301.30 -4.59
IOB 7272000 18.59 63.60 -5.21
HINDUNILVR 7092500 17.02 497.35 6.96
APOLLOTYRE 4192000 16.83 95.15 4.25
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 1.05 1.11
BANKNIFTY 1.34 1.14
INFY 0.44 0.39
RELIANCE 0.48 0.45
SBIN 0.61 0.68
View
FII’s have being buying continuously in cash marketsegment; in yesterday’s trade also they were netbuyers worth of Rs.620/- cr. On derivatives front notmuch of activity was observed by them in indexfutures, however good amount of short buildup wasseen by them in index options and stock futures inyesterday’s trade.
On options front the activity in call option has beingseen in 6100 strike price where some buildup was
observed, while in put option 5700 and 5900 strikessaw maximum buildup in open interest in yesterday’strading session.
HINDUNILVR has seen significant amount of longbuildup in yesterday’s trade post its positive result. The counter has good amount of short positions therein this stock which is still intact. Hence we feel thestock could see some short covering bounce fromcurrent level which could take the counter to aroundRs.532. Go long with the stop loss of Rs.484.
Research Team Tel: 022 - 39357800 E-mail: [email protected] Website: www.angelbroking.co
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