Derivative report 19th July 2011


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Derivative report 19th July 2011

  1. 1. Derivative Report India Research July 19, 2011Comments Nifty Vs OI The Nifty futures’ open interest decreased by 1.27% while Minifty futures’ open interest increased by 2.60% as market closed at 5567.05 levels. The Nifty July future closed at a premium of 5.70 points, against a premium of 5.85 points in the last trading session, while the Aug futures closed at a premium of 25.15 points. The Implied Volatility of at the money options increased from 17.30% to 17.90%. The PCR-OI increased from 1.18 to 1.20 points. The total OI of the market is `137,531cr and the stock futures OI is `34,760cr. Few liquid stocks where CoC is positive are MOSERBAER, RUCHISOYA, ALOKTEXT, NHPC and TRIVENI.OI Gainers OI PRICESCRIP OI CHANGE PRICE CHANGE View (%) (%)  A blend of short covering and some long unwindingCIPLA 4250000 17.96 317.05 -2.18 was observed in the Index futures from FIIs and they formed some short positions in the stock futures. TheyINDIANB 1016000 12.89 228.00 2.31 were net sellers of just `93cr in the cash marketAPIL 848000 11.36 606.55 5.61 segment.OIL 14750 9.26 1281.85 -2.14  Yesterday, a considerable build up was observed inESCORTS 5340000 8.94 103.35 -2.18 the 5400 and 5500 Put options, while there was not much change observed in Call options.OI Losers  PUNJLLOYD added around 8% open interest in the OI PRICE last trading session. CoC has also increasedSCRIP OI CHANGE PRICE CHANGE considerably. We may see a positive move up to `79. (%) (%) Traders can trade with positive bias with a stop lossBPCL 1444000 -8.35 672.80 0.11 of `74.50.BHEL 2216375 -6.41 1977.65 2.51  MPHASIS has immediate support around `430. SomeHINDALCO 17624000 -5.50 182.40 3.28 buying was observed in the counter from there. We may see a positive move up to `450. Traders canONGC 10912000 -5.19 276.95 -0.70 form long positions with a stop loss of `424.GLAXO 22500 -4.76 2301.25 -1.87Put-Call Ratio Historical VolatilitySCRIP PCR-OI PCR-VOL SCRIP HVNIFTY 1.20 0.84 APIL 46.66INFY 0.30 0.30 HEXAWARE 42.88RELIANCE 0.46 0.55 TATACOMM 49.01SBIN 0.96 0.55 NCC 39.29TCS 0.53 0.47 BIOCON 35.11SEBI Registration No: INB 010996539 For Private Circulation Only 1
  2. 2. Derivative Report | India ResearchFII Statistics for 18-July-2011 Turnover on 18-July-2011 Open Interest No. of Turnover Change Detail Buy Sell Net Instrument Contracts (Rs. in cr.) (%) Contracts Value Change (Rs. in cr.) (%)INDEX Index Futures 277296 7270.35 -36.14 1257.68 1106.65 151.03 440558 12264.89 -4.64FUTURESINDEX Stock Futures 346584 9978.31 -10.72 4593.48 4768.34 (174.86) 1531984 42645.18 0.15OPTIONSSTOCK Index Options 2208188 62313.57 -19.84 1300.35 1444.51 (144.16) 1150326 32364.83 0.78FUTURESSTOCK Stock Options 94822 2702.99 -21.86 257.29 240.06 17.23 43183 1210.22 -1.19OPTIONSTOTAL 7408.80 7559.56 (150.76) 3166051 88485.12 -4.91 Total 2926890 82265.22 -20.71 Nifty Spot = 5567.05 Lot Size = 50 Bull-Call Spreads Bear-Put Spreads Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP Buy 5600 53.95 Buy 5500 40.65 32.55 67.45 5632.55 21.70 78.30 5478.30 Sell 5700 21.40 Sell 5400 18.95 Buy 5600 53.95 Buy 5500 40.65 46.30 153.70 5646.30 30.70 169.30 5469.30 Sell 5800 7.65 Sell 5300 9.95 Buy 5700 21.40 Buy 5400 18.95 13.75 86.25 5713.75 9.00 91.00 5391.00 Sell 5800 7.65 Sell 5300 9.95Note: Above mentioned Bullish or Bearish Spreads in Nifty (July Series) are given as an information and not as a recommendationNifty Put-Call Analysis For Private Circulation Only SEBI Registration No: INB 010996539 2
  3. 3. Derivative Report | India Research Strategy Date Scrip Strategy Status 04-July-2011 NIFTY Long Call Continue 11-July-2011 RELIANCE Long Call Ladder Continue 18-July-2011 RELINFRA Bull Call Spread ContinueDISCLAIMERThis document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investmentdecision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document shouldmake such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of thecompanies referred to in this document (including the merits and risks involved), and should consult their own advisors to determinethe merits and risks of such an investment.Angel Broking Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, makeinvestment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in thisdocument 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 stocks price movement, outstanding positions andtrading volume, as opposed to focusing on a companys fundamentals and, as such, may not match with a report on a companysfundamentals.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 affiliates/ 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 orother advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of this report orin the past.Neither Angel Broking Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise from orin connection with the use of this information.Note: Please refer to the important `Stock Holding Disclosure report on the Angel website (Research Section).Derivative Research TeamFor Private Circulation Only SEBI Registration No: INB 010996539 3