1. Derivative Report
India Research
May 21, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest increased by 0.66%,
while, Minifty futures open interest decreased by
8.20%, as market closed at 4947.60 levels.
The Nifty May future closed at a discount of 6.55
points, as against a premium of 3.25 points in the last
trading session, while the June future closed at a
discount of 12.45 points.
The PCR-OI decreased from 1.03 to 1.02 points.
The Implied volatility of At-the-money options
decreased from 28.50% to 22.00%.
The total open interest of the market is Rs1,44,004cr
of which Stock futures’ open interest is Rs36,348cr.
Some liquid counters were cost of carry is positive are
KSOILS, PIRHEALTH, CHAMBLFERT, STERLINBIO and
GTOFFSHORE.
OI Gainers
OI PRICE
View
SCRIP OI CHANGE PRICE CHANGE
(%) (%) FIIs have again formed short positions in the Index
JISLJALEQS 153500 15.85 916.95 -4.84
futures. They were net sellers of Rs.657cr in the
cash market segment. The US markets closed down
EDUCOMP 4219500 12.76 503.45 -9.17 by 4% and most of the Asian markets are negative.
GAIL 4295250 12.10 441.85 2.23
We may see a gap down opening around 4850
levels.
HINDZINC 564500 11.89 944.65 -2.27
Yesterday, considerable unwinding was visible in
PIRHEALTH 11748000 10.73 570.1 8.48 most of the call and the put options. Some
unwinding was visible also in the 4800 put, which is
OI Losers immediate support for the market. The market may
OI PRICE breach its support level, if unwinding continues
SCRIP OI CHANGE PRICE CHANGE further.
(%) (%)
After a gap down opening, stocks may correct
FEDERALBNK 930994 -17.37 319.00 2.01 further are AUROPHARMA and IDFC. Mainly
banking counters have lot of long positions, due to
BGRENERGY 65600 -16.75 585.80 0.11
long unwinding in them; we may see further
GRASIM 461296 -14.76 2522.90 -2.07 correction in BANKNIFTY.
ANDHRABANK 3928400 -12.59 127.45 -0.62 Any dip can be used to trade with positive bias in
RECLTD 3258450 -11.91 267.30 2.93 oil marketing companies.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.03 1.13 ONGC 48.07
RELIANCE 0.22 0.26 EDUCOMP 65.66
BANKNIFTY 1.90 0.54 ORCHIDCHEM 64.15
RNRL 0.31 0.43 NAGARFERT 42.88
ICICIBANK 0.77 0.54 PIRHEALTH 71.16
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2. Derivative Report | India Research
FII Statistics for 20-May-2010 Turnover on 20-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 831432 19366.93 -24.71
3514.41 4295.47 (781.06) 587029 14464.33 2.55
FUTURES
INDEX Stock Futures 635452 19823.99 -9.38
5448.42 5798.38 (349.96) 1937832 47908.62 -0.34
OPTIONS
STOCK Index Options 2378247 59867.88 -29.16
3552.03 2664.26 887.77 1045752 29196.29 -0.59
FUTURES
STOCK Stock Options 107924 3675.28 -17.61
283.58 261.94 21.64 49974 1495.38 6.80
OPTIONS
TOTAL 12798.44 13020.05 (221.61) 3620587 93064.61 0.14 Total 3953055 102734.08 -24.78
Nifty Spot = 4947.60 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5000 43.20 Buy 4900 55.30
28.85 71.15 5028.85 28.55 71.45 4871.45
Sell 5100 14.35 Sell 4800 26.75
Buy 5000 43.20 Buy 4900 55.30
39.90 160.10 5039.90 43.55 156.45 4856.45
Sell 5200 3.30 Sell 4700 11.75
Buy 5100 14.35 Buy 4800 26.75
11.05 88.95 5111.05 15.00 85.00 4785.00
Sell 5200 3.30 Sell 4700 11.75
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
17-05-2010 CAIRN Long Put Profit booked on 20-05-2010
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