1. Derivative Report
India Research
May 20, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest increased by 6.31%,
while, Minifty futures open interest increased by
40.12%, as market closed at 4919.65 levels.
The Nifty May future closed at a premium of 3.25
points, as against a discount of 2.80 points in the last
trading session, while the June future closed at a
discount of 0.95 points.
The PCR-OI decreased from 1.08 to 1.03 points.
The Implied volatility of At-the-money options
increased from 22.00% to 28.50%.
The total open interest of the market is Rs1,44,408cr
of which Stock futures’ open interest is Rs36,115cr.
Some liquid counters were cost of carry is positive are
IVRCLINFRA, STERLINBIO, KSOILS, ONGC and
PRAJIND.
OI Gainers
OI PRICE
View
SCRIP OI CHANGE PRICE CHANGE
(%) (%) FIIs have formed short positions in the Index futures.
UNITECH 61822500 22.35 71.35 -6.43
They were net sellers of Rs.1384cr in the cash
market segment. The US markets closed down
GESHIP 966000 21.23 280.6 -6.48 around 0.50% but most of the Asian markets are in
ICICIBANK 12935350 14.97 824.45 -7.28 green. We may see a flattish opening.
FSL 34608500 13.88 27.05 -5.09 Yesterday, huge build-up was observed in most of
the Call options and unwinding in many Put
INFOSYSTCH 3061400 13.33 2602.85 -1.00 options, which were mainly in in-the-money puts.
OI Losers Aggressive selling at current level is not advisable.
As lot of short positions is standing in the market.
OI PRICE
Therefore, it is advisable to be cautious while
SCRIP OI CHANGE PRICE CHANGE
(%) (%)
trading with negative bias.
CUMMINSIND 291900 -17.24 569.00 -1.74 Capital goods major BHEL was showing some
strength yesterday, and option data is suggesting
BOSCHLTD 5200 -16.13 5078.30 -0.61 support around current level. Therefore, positional
CHENNPETRO 752400 -15.21 254.65 0.45 traders can form long positions in it.
AUROPHARMA 1626150 -14.60 875.80 -3.12
FEDERALBNK 1126724 -14.25 312.70 1.69
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.03 0.93 GTLINFRA 45.25
RELIANCE 0.21 0.31 ORCHIDCHEM 54.75
RNRL 0.32 0.24 MTNL 47.15
ICICIBANK 0.88 0.51 BEML 41.54
TATASTEEL 0.24 0.39 ICICIBANK 50.79
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2. Derivative Report | India Research
FII Statistics for 19-May-2010 Turnover on 19-May-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 1106995 25723.45 51.08
3674.13 5229.28 (1,555.15) 572432 14052.28 2.94
FUTURES
INDEX Stock Futures 699898 21875.56 28.52
9474.98 6806.50 2,668.49 1944497 47801.33 0.32
OPTIONS
STOCK Index Options 3332606 84515.47 48.38
3131.42 3108.92 22.50 1051930 29286.42 1.34
FUTURES
STOCK Stock Options 129060 4460.61 24.95
342.93 356.39 (13.46) 46794 1378.91 2.98
OPTIONS
TOTAL 16623.47 15501.10 1,122.37 3615653 92518.93 1.06 Total 5268559 136575.09 44.41
Nifty Spot = 4919.65 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5000 46.70 Buy 4900 76.10
27.55 72.45 5027.55 33.85 66.15 4866.15
Sell 5100 19.15 Sell 4800 42.25
Buy 5000 46.70 Buy 4900 76.10
39.85 160.15 5039.85 53.75 146.25 4846.25
Sell 5200 6.85 Sell 4700 22.35
Buy 5100 19.15 Buy 4800 42.25
12.30 87.70 5112.30 19.90 80.10 4780.10
Sell 5200 6.85 Sell 4700 22.35
Note: Above mentioned Bullish or Bearish Spreads in Nifty (May 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
30-04-2010 RELCAPITAL Long Call Ladder Continue
30-04-2010 NAGARFERT Long Call Continue
08-05-2010 HINDUNILVR Short Strangle Continue
17-May-2010 CAIRN Long Put Continue
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