Derivatives Report - June 28, 2010


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Derivatives Report - June 28, 2010

  1. 1. Derivative Report India Research June 28, 2010 Comments Nifty Vs OI  The Nifty futures’ open interest decreased by 29.67%, while, Minifty futures open interest decreased by 31.44%, due to expiry. Market closed at 5269.05 levels.  The Nifty July future closed at a premium of 14.65 points, against a discount of 3.75 points in the last trading session, while the Aug future also closed at a premium of 16.35 points.  The PCR-OI decreased from 1.87 to 1.29 points.  The Implied volatility of At-the-money options is 18%.  The total OI of the market is Rs.1,05286cr and the stock futures OI is Rs31,158cr.  Some liquid counters where cost of carry is positive are RELMEDIA, RCOM, NOIDATOLL, ISPATIND and TTML. OI Gainers View OI PRICE SCRIP OI CHANGE PRICE CHANGE  A blend of short formations and long unwinding (%) (%) was visible in the Index futures from FIIs side. They formed some short positions in the Stock futures. As BPCL 3544000 37.23 620.70 12.70 suggested by SGX Nifty we may see a flattish IOC 4192000 36.33 377.95 10.71 opening. Day traders can trade with negative bias today. HINDPETRO 8256000 19.40 402.20 14.41 APIL 351500 13.28 662.75 5.13  In the last trading session, most of the Put options added significant open interest. However, there was CHENNPETRO 885000 13.14 250.45 2.62 no significant change on the Call side. OI Losers  NTPC is showing a positive move from its support levels. We expect a positive move up to Rs202. OI PRICE Traders can form long positions around Rs196, with SCRIP OI CHANGE PRICE CHANGE the stop loss of Rs 194. (%) (%)  Some profit booking was visible in PNB in the last ABB 603500 -43.36 873.35 -1.09 trading session and most of the banking counters BGRENERGY 269500 -42.18 700.45 -2.61 are weak. We may see a negative move in the ASIANPAINT 23875 -38.94 2399.45 -2.46 stock. Traders can trade with negative bias for the target of Rs 1010, with the stop loss of Rs1058. UNIONBANK 1257000 -38.73 303.75 -2.68 ROLTA 2084000 -34.93 168.50 -1.61 Put-Call Ratio Historical Volatility SCRIP PCR-OI PCR-VOL SCRIP HV NIFTY 1.29 1.21 HINDPETRO 78.57 RELIANCE 0.17 0.13 BPCL 72.38 BANKNIFTY 8.49 3.22 IOC 65.50 TATASTEEL 0.40 0.33 ONGC 45.62 ONGC 1.04 0.79 ESSAROIL 51.89 SEBI Registration No: INB 010996539 For Private Circulation Only 1
  2. 2. Derivative Report | India Research FII Statistics for 25-June-2010 Turnover on 25-June-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 679154 16600.82 -39.84 1251.28 2855.00 (1,603.71) 661310 17348.79 1.37 FUTURES INDEX Stock Futures 631332 18255.94 -47.21 6007.26 4330.67 1,676.59 1458760 38394.77 8.19 OPTIONS STOCK Index Options 1506232 39874.25 -55.22 1044.75 1280.68 (235.94) 1039211 27037.06 1.04 FUTURES STOCK Stock Options 90732 2691.44 -25.52 89.90 71.50 18.40 14869 408.21 59.74 OPTIONS TOTAL 8393.19 8537.85 (144.66) 3174150 83188.84 4.46 Total 2907450 77422.45 -50.00 Nifty Spot = 5269.05 Lot Size = 50 Bull-Call Spreads Bear-Put Spreads Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP Buy 5400 71.95 Buy 5300 113.90 36.00 64.00 5436.00 31.80 68.20 5268.20 Sell 5500 35.95 Sell 5200 82.10 Buy 5400 71.95 Buy 5300 113.90 54.95 145.05 5454.95 54.80 145.20 5245.20 Sell 5600 17.00 Sell 5100 59.10 Buy 5500 35.95 Buy 5200 82.10 18.95 81.05 5518.95 23.00 77.00 5177.00 Sell 5600 17.00 Sell 5100 59.10 Note: Above mentioned Bullish or Bearish Spreads in Nifty (July Series) are given as an information and not as a recommendation Nifty Put-Call Analysis For Private Circulation Only SEBI Registration No: INB 010996539 2
  3. 3. Derivative Report | India Research Strategy Date Scrip Strategy Status DISCLAIMER: This document is not for public distribution and has been furnished to you solely for your information and must not be reproduced or redistributed to any other person. Persons into whose possession this document may come are required to observe these restrictions. Opinion expressed is our current opinion as of the date appearing on this material only. While we endeavor to update on a reasonable basis the information discussed in this material, there may be regulatory, compliance, or other reasons that prevent us from doing so. Prospective investors and others are cautioned that any forward- looking statements are not predictions and may be subject to change without notice. Our proprietary trading and investment businesses may make investment decisions that are inconsistent with the recommendations expressed herein. The information in this document has been printed on the basis of publicly available information, internal data and other reliable sources believed to be true and are for general guidance only. While every effort is made to ensure the accuracy and completeness of information contained, the company takes no guarantee and assumes no liability for any errors or omissions of the information. No one can use the information as the basis for any claim, demand or cause of action. Recipients of this material should rely on their own investigations and take their own professional advice. Each recipient of this document should make such investigations as it deems necessary to arrive at an independent evaluation of an investment in the securities of 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. Price and value of the investments referred to in this material may go up or down. Past performance is not a guide for future performance. Certain transactions - futures, options and other derivatives as well as non-investment grade securities - involve substantial risks and are not suitable for all investors. Reports based on technical analysis centers on studying charts of a stock's price movement 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. We do not undertake to advise you as to any change of our views expressed in this document. While we would endeavor to update the information herein on a reasonable basis, Angel Broking, its subsidiaries and associated companies, their directors and employees are under no obligation to update or keep the information current. Also there may be regulatory, compliance, or other reasons that may prevent Angel Broking and affiliates from doing so. Prospective investors and others are cautioned that any forward-looking statements are not predictions and may be subject to change without notice. Angel Broking Limited and affiliates, including the analyst who has issued this report, may, on the date of this report, and from time to time, have long or short positions in, and buy or sell the securities of the companies mentioned herein or engage in any other transaction involving such securities and earn brokerage or compensation or act as advisor or have other potential conflict of interest with respect to company/ies mentioned herein or inconsistent with any recommendation and related information and opinions. Angel Broking Limited and 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. Sebi Registration No.: INB 010996539 Derivative Research Team For Private Circulation Only SEBI Registration No: INB 010996539 3