1. Derivative Report
India Research
April 27, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest decreased by 1.99%,
while, Minifty futures open interest decreased by
0.89%, as market closed at 5322.45 levels.
The Nifty April future closed at a discount of 2.55
points, as against a premium of 0.90 points in the last
trading session, while the May future closed at a
discount of 1.50 points.
The PCR-OI decreased from 1.35 to 1.33 points.
The Implied volatility of At-the-money options has
increased from 15.00% to 17.50%.
Rollover for the Nifty Futures is 25.28% and for Minifty
Futures it is 35.28%. Market wide rollover is 32.90%.
The total open interest of the market is Rs1,38,898cr
of which Stock futures’ open interest is Rs40,833cr.
OI Gainers
OI PRICE
SCRIP OI CHANGE PRICE CHANGE View
(%) (%)
FIIs did some short covering in the Index Futures.
SUNPHARMA 718425 42.48 1603.15 -4.81 They were net buyers of Rs. 234cr in the cash
market segment.
PFC 594000 18.42 282.25 2.99
Yesterday, mainly unwinding was visible in the
GTOFFSHORE 1116000 15.05 453.5 7.80
5200 call option. However, the 5300 put option
ANDHRABANK 5184200 14.18 125.05 3.73 added considerable open interest. For May series,
TATACOMM 2902725 14.07 275.65 -0.72
most of the call options and the 5300 and 5100
put options added significant open interest.
OI Losers Due to profit booking SIEMENS has shown some
OI PRICE weakness and previously the stock has taken
SCRIP OI CHANGE PRICE CHANGE support around Rs.700. Dips around support can
(%) (%) be used to go long for the target of Rs. 725-730.
CESC 577500 -15.59 411.90 4.30 Yesterday, most of the Metal counters have given a
good positive move. JSWSTEEL has short positions
AUROPHARMA 2080400 -12.92 935.15 0.82
in it. Due to short covering further positive move
PETRONET 8276400 -8.82 82.45 0.12 can be expected.
COLPAL 169400 -8.33 754.80 0.46
CONCOR 20500 -7.87 1438.45 -0.44
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.33 0.99 INDIANB 70.66
RELIANCE 0.25 0.21 GTOFFSHORE 43.13
BHARTIARTL 0.38 0.29 STER 38.69
INFOSYSTCH 0.72 0.53 SUNPHARMA 40.00
SUZLON 0.22 0.19 CESC 35.10
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2. Derivative Report | India Research
FII Statistics for 26-April-2010 Turnover on 26-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 421027 11253.83 -29.16
3244.72 3092.46 152.25 529928 14294.84 -2.92
FUTURES
INDEX Stock Futures 766821 26504.11 18.61
2328.04 2128.02 200.02 1681349 44781.67 1.76
OPTIONS
STOCK Index Options 1522109 40532.59 -31.77
6203.54 6172.46 31.08 998952 33138.24 2.00
FUTURES
STOCK Stock Options 97637 3903.34 -18.93
397.15 414.36 (17.21) 35849 1189.35 -0.69
OPTIONS
TOTAL 12173.44 11807.30 366.14 3246078 93404.11 1.01 Total 2807594 82193.87 -19.77
Nifty Spot = 5322.45 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 44.10 Buy 5200 7.15
37.05 62.95 5337.05 4.55 95.45 5195.45
Sell 5400 7.05 Sell 5100 2.60
Buy 5300 44.10 Buy 5200 7.15
43.45 156.55 5343.45 5.95 194.05 5194.05
Sell 5500 0.65 Sell 5000 1.20
Buy 5400 7.05 Buy 5100 2.60
6.40 93.60 5406.40 1.40 98.60 5098.60
Sell 5500 0.65 Sell 5000 1.20
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
26-April-2010 CAIRN Long Call Did not trigger
26-April-2010 PUNJLLYOD Long Call Continue
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