1. Derivative Report
India Research
April 22, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest increased by 2.40%,
while, Minifty futures open interest increased by
0.04%, as market closed at 5244.90 levels.
The Nifty April future closed at a premium of 0.25
points, as against a discount of 3.45 points in the last
trading session, while the May future closed at a
premium of 3.00 points.
The PCR-OI increased from 1.18 to 1.20 points.
The Implied volatility of At-the-money options has
decreased from 18.00% to 16.50%.
The total open interest of the market is Rs1,31,831cr
of which Stock futures’ open interest is Rs38,691cr.
Some liquid stocks where cost of carry is positive are
GTLINFRA, CIPLA, PATELENG, INDIAINFO and LUPIN.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%) Although FIIs have formed short positions in the
Index futures, their buying interest in the Stock
CONCOR 19000 28.81 1452.95 3.64 futures is showing mixed trend.
GODREJIND 1118000 28.74 168.65 5.64 Yesterday, mainly unwinding was visible in most of
LUPIN 470750 26.89 1645.3 -1.59 the call options, build up in In-the-money puts have
also been observed.
UNIPHOS 2769200 20.76 144.65 0.17
ORCHIDCHEM is showing support around Rs.152-
ADANIENT 835600 20.54 544.35 4.19
154. We may see fresh long formation in the
OI Losers counter, as most of the Pharma stocks witnessed
buying interest. Cost of carry is also supporting the
OI PRICE positive move.
SCRIP OI CHANGE PRICE CHANGE
(%) (%) Base metal prices on the LME are negative. Due to
long unwinding we may see negative move in
IBREALEST 14972100 -20.44 174.60 3.47 HINDALCO as in the past few trading sessions
UNITECH 67198500 -17.55 85.50 2.33 significant long formations have been observed in
the counter.
PFC 626400 -14.14 267.30 0.79
HEROHONDA 2181200 -12.62 1889.15 1.98
FORTIS 11235900 -10.11 163.35 2.13
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.20 1.07 HCLTECH 47.26
RELIANCE 0.24 0.29 PANTALOONR 37.53
INFOSYSTCH 0.41 0.10 YESBANK 42.74
BHARTIARTL 0.70 0.57 GLAXO 22.28
SUZLON 0.21 0.16 OPTOCIRCUI 36.06
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2. Derivative Report | India Research
FII Statistics for 21-April-2010 Turnover on 21-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 390511 10207.45 -33.38
1066.06 1440.79 (374.73) 549983 14619.98 1.06
FUTURES
INDEX Stock Futures 527547 19549.87 -5.32
1964.98 1601.52 363.46 1584450 41586.82 0.85
OPTIONS
STOCK Index Options 1367550 36062.67 -26.84
3628.03 3092.58 535.45 945266 31363.01 1.08
FUTURES
STOCK Stock Options 95037 3920.96 -10.19
146.13 197.03 (50.90) 30626 961.06 7.46
OPTIONS
TOTAL 6805.21 6331.92 473.28 3110325 88530.87 1.02 Total 2380645 69740.94 -22.19
Nifty Spot = 5244.90 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 26.65 Buy 5200 35.40
20.90 79.10 5320.90 22.60 77.40 5177.40
Sell 5400 5.75 Sell 5100 12.80
Buy 5300 26.65 Buy 5200 35.40
25.00 175.00 5325.00 30.15 169.85 5169.85
Sell 5500 1.65 Sell 5000 5.25
Buy 5400 5.75 Buy 5100 12.80
4.10 95.90 5404.10 7.55 92.45 5092.45
Sell 5500 1.65 Sell 5000 5.25
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
19-April-2010 BHARTIARTL Long Call Did not trigger
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