1. Derivative Report
India Research
July 19, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest increased by 3.23%,
while, Minifty futures open interest increased by 3.74%
as market closed at 5393.90 levels.
The Nifty July future closed at a premium of 4.35
points, against a premium of 2.80 points in the last
trading session, while the Aug future closed at a
premium of 1.60 points.
The PCR-OI is at the same level of 1.41 points.
The Implied volatility of At-the-money options has
increased from 16.50% to 17.00%.
The total OI of the market is Rs1,54,341cr and the
stock futures OI is Rs41,875cr.
Few liquid counters where cost-of-carry is positive are
PFC, GTL, STERLINBIO, FSL and ISPATIND.
OI Gainers
OI PRICE
View
SCRIP OI CHANGE PRICE CHANGE
(%) (%) FII’s have formed some long positions in the stock
futures. They continued their buying in the cash
PFC 2605000 80.53 324.80 4.00
market segment. Although the US markets closed
ZEEL 2075000 25.23 313.20 2.72 down by 2.5%, Asian markets are showing strength.
SGX Nifty is suggesting an opening around 5360
TCS 6552500 18.93 833.65 6.59
levels.
AUROPHARMA 1614000 17.87 1004.70 3.60
In the last trading session, considerable build-up
UNIONBANK 3221000 15.04 327.15 0.54
was visible in the 5300 and 5400 put options.
OI Losers Significant long positions exist in BANKNIFTY. Many
OI PRICE heavy weights like SBIN and AXISBANK are looking
SCRIP OI CHANGE PRICE CHANGE weak. Correction due to profit booking may come
(%) (%) in it. Therefore, it is advisable to short around
10,000 levels, for the target of 9,600 with the stop
TULIP 806250 -11.52 183.20 6.67 loss of 10,200.
HCLTECH 4057000 -10.87 373.30 4.38
UNIPHOS may inch up due to short covering.
JISLJALEQS 110250 -6.77 1208.40 0.59 Negative opening can be used to trade with positive
MCDOWELL-N 1485000 -6.25 1368.55 1.96 bias, for the target of Rs183, with the stop loss of
Rs171.
DCHL 7216000 -4.80 141.60 0.71
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.41 1.16 TCS 41.63
RELIANCE 0.17 0.20 TULIP 40.54
BANKNIFTY 2.33 0.89 TATATEA 33.34
TATASTEEL 0.58 0.32 HCLTECH 35.94
ONGC 0.84 0.28 IFCI 42.00
SEBI Registration No: INB 010996539 For Private Circulation Only 1
2. Derivative Report | India Research
FII Statistics for 16-July-2010 Turnover on 16-July-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 339369 8593.62 -27.49
766.40 834.05 (67.65) 649993 17479.52 1.02
FUTURES
INDEX Stock Futures 511522 15525.49 -5.27
3618.01 2955.20 662.81 2040378 54998.28 1.95
OPTIONS
STOCK Index Options 1291243 34629.91 -26.71
1399.90 981.49 418.41 1203774 32636.96 1.59
FUTURES
STOCK Stock Options 114651 3690.31 2.37
106.94 133.56 (26.62) 55908 1572.66 0.68
OPTIONS
TOTAL 5891.24 4904.30 986.95 3950053 106687.42 1.67 Total 2256785 62439.33 -21.06
Nifty Spot = 5393.90 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5400 60.65 Buy 5300 33.45
40.35 59.65 5440.35 17.70 82.30 5282.30
Sell 5500 20.30 Sell 5200 15.75
Buy 5400 60.65 Buy 5300 33.45
56.05 143.95 5456.05 25.15 174.85 5274.85
Sell 5600 4.60 Sell 5100 8.30
Buy 5500 20.30 Buy 5200 15.75
15.70 84.30 5515.70 7.45 92.55 5192.55
Sell 5600 4.60 Sell 5100 8.30
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. Derivative Report | India Research
Strategy Date Scrip Strategy Status
28-June-2010 RELIANCE Long Put Continue
05-July 2010 TATASTEEL Put Hedge Profit booked on 13-July-2010
12-Jun-2010 RENUKA Long Call Continue
12-Jun-2010 ITC Long Put Continue
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