1. Derivative Report
India Research
April 20, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest increased by 0.76%,
while, Minifty futures open interest decreased by
1.98%, as market closed at 5203.65 levels.
The Nifty April future closed at a premium of 3.75
points, as against a premium of 0.45 points in the last
trading session, while the May future closed at a
premium of 8.00 points.
The PCR-OI decreased from 1.24 to 1.21 points.
The Implied volatility of At-the-money options has
increased from 19.00% to 21.00%.
The total open interest of the market is Rs1,25,706cr
of which Stock futures’ open interest is Rs35,863cr.
Some liquid stocks where cost of carry is positive are
FORTIS, GTLINFRA, GRASIM, ANDHRABANK and
BRFL.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%) FIIs have again formed short positions in the Index
Futures and the Stock futures. They were net sellers
KSOILS 9658300 31.80 69.80 4.96 of Rs.756cr in the cash market segment.
JISLJALEQS 47500 24.18 1087.20 8.14 Yesterday, significant unwinding was visible in the
HINDALCO 20474760 20.87 178.20 2.12 5300 and 5400 Put options. Positions in the 5200
put are still intact. On the other hand, yesterday’s
CANBK 1350400 18.79 388.10 -2.56
build-up in the 5200 call is visible as a buying. Due
BHARATFORG 4778000 16.65 272.85 0.57 to monetary policy, market volatility may be on the
higher side.
OI Losers
RELCAPITAL is trading at its strong support zone of
OI PRICE Rs730. Significant short positions exist in the
SCRIP OI CHANGE PRICE CHANGE counter. Due to short covering we may see a
(%) (%) positive move in the stock. Positional traders can
GESHIP 639600 -13.19 315.35 -2.71 trade with positive bias for the target of Rs 780,
with the stop loss of around Rs710.
INDHOTEL 4713318 -10.33 106.55 -1.34
Traders can use the 5200 call option at Rs.55-60 to
BGRENERGY 129200 -10.28 549.70 -0.25 trade with positive bias in the market.
PANTALOONR 1693200 -9.21 413.00 -0.41
COLPAL 147400 -8.53 723.90 -1.37
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.21 0.83 KSOILS 30.71
RELIANCE 0.25 0.30 JISLJALEQS 57.30
INFOSYSTCH 0.89 0.92 GMRINFRA 39.06
BHARTIARTL 0.44 0.42 SIEMENS 31.15
SUZLON 0.21 0.24 ONGC 23.37
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2. Derivative Report | India Research
FII Statistics for 19-April-2010 Turnover on 19-April-2010
Open Interest
No. of Turnover Change
Detail Buy Sell Net Instrument
Contracts (Rs. in cr.) (%)
Contracts Value Change
(Rs. in cr.) (%)
INDEX Index Futures 739497 18602.60 42.28
1163.75 1992.87 (829.12) 546391 14463.84 1.40
FUTURES
INDEX Stock Futures 491335 18263.20 19.93
4341.47 3526.34 815.13 1553327 40447.54 3.04
OPTIONS
STOCK Index Options 2542970 67181.29 53.56
2741.12 2859.85 (118.73) 925551 30167.64 2.11
FUTURES
STOCK Stock Options 102358 4182.82 10.71
199.36 214.52 (15.17) 28434 891.44 -4.87
OPTIONS
TOTAL 8445.69 8593.58 (147.88) 3053703 85970.46 2.38 Total 3876160 108229.91 42.73
Nifty Spot = 5203.65 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 32.65 Buy 5200 69.60
22.85 77.15 5322.85 35.00 65.00 5165.00
Sell 5400 9.80 Sell 5100 34.60
Buy 5300 32.65 Buy 5200 69.60
29.80 170.20 5329.80 51.50 148.50 5148.50
Sell 5500 2.85 Sell 5000 18.10
Buy 5400 9.80 Buy 5100 34.60
6.95 93.05 5406.95 16.50 83.50 5083.50
Sell 5500 2.85 Sell 5000 18.10
Note: Above mentioned Bullish or Bearish Spreads in Nifty (April Series) are given as an information and not as a recommendation
Nifty Put-Call Analysis
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3. Derivative Report | India Research
Strategy Date Scrip Strategy Status
29-March-2010 SUZLON Long Call Continue
29-March-2010 IDBI Long Call Profit Booked on 06-Apr-2010
05-April-2010 RNRL Long Call Continue
05-April-2010 HUL Long Put Profit Booked on 08-Apr-2010
12-April-2010 JPASSOCIAT Ratio Call Spread Continue
19-April-2010 BHARTIARTL Long Call Did not trigger
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