Derivatives report 25-nov-2011


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The Utter bearishness is evident from this roll over report

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Derivatives report 25-nov-2011

  1. 1. Derivative Report India Research Comments Nov 25, 2011  The Nifty futures’ open interest decreased by 7.29% while Nifty Vs OI Minifty futures’ open interest decreased by 4.78% as market closed at 4756.45 levels.  The Nifty Dec. future closed at a Premium of 25.15 point against a Premium of 14.20 points. The January Series closed at a Premium of 44.15 points.  The Implied Volatility of at the money options is decreased from 36.55% to 26.63%.  The PCR-OI has increased from 0.86 points to 0.90 points.  The total OI of the market is `1,50,363.62cr. and the stock futures OI are `30,745.55cr.  Few of the liquid counters where we have seen high cost of carry are RUCHISOYA, GITANJALI, FSL, TTML and GTOFFSHORE.OI Gainers View OI PRICESCRIP OI CHANGE PRICE CHANGE  Despite of strong bounce back in yesterday’s market (%) (%) FII’s continue to sell heavily in the cash market segment; they were net sellers of worth `1636/- cr.INDIAINFO 2576000 46.36 62.30 9.39 On Derivatives front FII’s rolled over less of theirBOSCHLTD 6875 41.03 6949.40 0.72 position in index futures as they were net sellers in index futures and the open interest went downMUNDRAPORT 8778000 36.18 117.70 -4.73 significantly, while in index options they were netVIPIND 4645000 35.72 118.70 1.28 buyers.INDIANB 409000 34.98 189.80 0.74  On options front deep out of the money put options and at the money put options like Nifty 4200, 4500OI Losers and 4700 strike price have seen descent buildup, while in call options strikes ranging from 4700-5100 OI PRICE have seen maximum buildup.SCRIP OI CHANGE PRICE CHANGE  There are very few counters which have seen less (%) (%) rollover and they are – GAIL, BPCL, ITC,GVKPIL 51112000 -18.27 10.45 1.95 INDUSINDBK and KOTAKBANK.NHPC 46233000 -17.74 22.30 -0.67  IOC is starting December series on a very lighter note. Also we have seen crude correction from higherJSWISPAT 34127000 -15.63 10.10 0.50 levels. Counter has strong support around `255KSOILS 26276000 -12.32 6.80 -0.73 levels. We suggest to go long with target of `284 and stop loss of `251.NTPC 16244000 -12.24 158.80 1.37Put-Call Ratio Historical VolatilitySCRIP PCR-OI PCR-VOL SCRIP HVNIFTY 0.90 1.00 SOUTHBANK 49.73SBIN 0.22 0.51 BRFL 67.45BANKNIFTY 0.54 0.63 RAYMOND 53.56RELIANCE 0.28 0.50 IFCI 96.09ICICIBANK 0.35 0.48 APOLLOTYRE 47.64SEBI Registration No: INB 010996539 For Private Circulation Only 1
  2. 2. Derivative Report | India ResearchFII Statistics for 24-Nov-2011 Turnover on 24-Nov-2011 Open Interest No. of Turnover ChangeDetail Buy Sell Net Instrument Contracts (Rs. in cr.) (%) Contracts Value Change (Rs. in cr.) (%)INDEX Index Futures 1229290 27262.41 -1.27 5220.00 5527.78 (307.78) 505845 11892.78 -42.31FUTURESINDEX Stock Futures 1426642 30135.07 15.90 22086.85 22007.00 79.85 1635014 38889.82 -26.47OPTIONSSTOCK Index Options 8314054 198016.63 8.07 7533.00 7228.35 304.65 1124275 24631.92 -14.21FUTURESSTOCK Stock Options 166185 3870.45 7.75 162.19 145.17 17.03 5975 137.63 -84.58OPTIONSTotal 35002.04 34908.30 93.74 3271109 75552.14 -26.49 Total 11136171 259284.55 7.84 Nifty Spot =4756.45 Lot Size = 50 Bull-Call Spreads Bear-Put Spreads Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP Buy 4800 141.65 Buy 4700 123.15 48.15 51.85 4848.15 31.95 68.05 4668.05 Sell 4900 93.50 Sell 4600 91.20 Buy 4800 141.65 Buy 4700 123.15 84.30 115.70 4884.30 56.25 143.75 4643.75 Sell 5000 57.35 Sell 4500 66.90 Buy 4900 93.50 Buy 4600 91.20 36.15 63.85 4936.15 24.30 75.70 4575.70 Sell 5000 57.35 Sell 4500 66.90Note: Above mentioned Bullish or Bearish Spreads in Nifty (Dec. 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 31/10/2011 NIFTY Long Call Loss on Expiry 08/11/2011 MARUTI Long Put Profit on Expiry 14/11/2011 ICICIBANK Long Call Loss on Expiry 21/11/2011 TATASTEEL Long Put Loss on ExpiryDISCLAIMERThis 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 TeamEmail Id : - derivatives.desk@angelbroking.comFor Private Circulation Only SEBI Registration No: INB 010996539 3