1. Derivative Report
India Research
April 13, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest increased by 3.50%,
while, Minifty futures open interest decreased by
7.25%, as market closed at 5339.70 levels.
The Nifty April future closed at a premium of 4.10
points, as against a premium of 3.15 points in the last
trading session, while the May future closed at a
premium of 7.60 points.
The PCR-OI decreased from 1.39 to 1.29 points.
The Implied volatility of At-the-money options
increased from 16.00% to 17.50%.
The total open interest of the market is Rs1,20,597cr
of which Stock futures’ open interest is Rs35,187cr.
Some liquid stocks where cost of carry is positive are
INDIAINFO, PATNI, SUNTV, PIRHEALTH and GVKPIL.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE A blend of short formations and some profit
(%) (%) booking was visible in the Stock Futures from FIIs
side. Global cues are suggesting a flattish to
CIPLA 4318750 35.97 334 -0.42 negative opening.
VOLTAS 2049300 28.43 189.65 2.04 Yesterday, the 5300 and the 5400 call options
LT 2962800 12.16 1605.4 -2.15 added significant open-interest, and unwinding in
the 5400 and 5200 puts have been witnessed.
PIRHEALTH 2491500 12.08 463 -0.73 Market was moving in a narrow range. Today,
ZEEL 5408200 11.74 291.15 3.24 Infosys result may give some direction to the
market.
OI Losers Yesterday’s build-up in CIPLA may be a buying
OI PRICE position, as cost-of-carry has also increased. We
SCRIP OI CHANGE PRICE CHANGE may see a positive move in the stock. Therefore, it is
(%) (%) advisable to form long positions around Rs.330, for
the target of Rs. 350 with the stop loss of Rs. 323.
CESC 673200 -19.90 412.25 1.18
GODREJIND 1060800 -11.97 160.15 0.60
After a strong positive move, UNIONBANK is
showing resistance around current levels. Due to
ANDHRABANK 4077900 -11.62 116.65 -0.34 profit booking we may see a negative move in it.
ALBK 2672950 -11.30 158.80 -3.52
Shorting is advisable with the stop loss of Rs. 308,
for the target of Rs. 285.
BHUSANSTL 437000 -9.15 1812.75 -0.56
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.29 1.35 DRREDDY 30.42
RELIANCE 0.36 0.38 GAIL 31.25
BHARTIARTL 0.47 0.29 BANKBARODA 33.06
INFOSYSTCH 0.35 0.33 BALRAMCHIN 53.72
SUZLON 0.26 0.13 TV-18 37.12
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2. Derivative Report | India Research
FII Statistics for 12-April-2010 Turnover on 12-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 433844 11211.90 -8.20
984.83 972.07 12.76 518955 14050.05 2.20
FUTURES
INDEX Stock Futures 366307 13670.45 -12.74
2179.86 2350.21 (170.35) 1440793 38494.57 0.29
OPTIONS
STOCK Index Options 1437655 38523.27 2.46
1064.15 1414.83 (350.68) 884202 29611.35 0.30
FUTURES
STOCK Stock Options 70669 2881.97 -14.96
96.75 94.72 2.03 25377 820.75 2.85
OPTIONS
TOTAL 4325.60 4831.83 (506.23) 2869327 82976.71 0.65 Total 2308475 66287.59 -3.74
Nifty Spot = 5339.70 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5400 51.65 Buy 5300 66.75
32.30 67.70 5432.30 26.60 73.40 5273.40
Sell 5500 19.35 Sell 5200 40.15
Buy 5400 51.65 Buy 5300 66.75
45.95 154.05 5445.95 43.90 156.10 5256.10
Sell 5600 5.70 Sell 5100 22.85
Buy 5500 19.35 Buy 5200 40.15
13.65 86.35 5513.65 17.30 82.70 5182.70
Sell 5600 5.70 Sell 5100 22.85
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
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