1. Derivative Report
India Research
May 27, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest decreased by 8.26%,
while, Minifty futures open interest decreased by
16.72%, as market closed at 4917.40 levels.
The Nifty May future closed at a discount of 0.35
points, as against a premium of 2.60 points in the last
trading session, while the June future closed at a
discount of 13.25 points.
The PCR-OI has decreased from 0.99 to 0.78 points.
The Implied volatility of At-the-money options
decreased from 31.50% to 29.00%.
Rollover for the Nifty Futures is 52.05% and market
wide rollover is 60.96%.
The total open interest of the market is Rs1,54,207cr
of which Stock futures’ open interest is Rs35,452cr.
Some liquid counters were cost of carry is positive are
IDEA, STERLINBIO, UNIPHOS, STER and EDUCOMP.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE Yesterday, significant short covering was visible in
(%) (%) most of the stocks. FIIs also covered some of their
HINDZINC 573000 17.36 931.95 0.71
short positions in the Index futures and the Stock
futures, still minor selling of Rs167cr was visible in
INDHOTEL 5311826 16.33 98.65 -3.00 the cash market segment.
CANBK 1304500 12.56 391.10 -1.77 A significant unwinding was visible in most of the
CUMMINSIND 308050 12.10 536.05 -1.33 call and the put options, yesterday. In June series
the 5100 call option and most of the out-of-money
RECLTD 4128150 10.38 277.95 4.00 put options added considerable open interest.
OI Losers In the last trading session, CANBK added
considerable open interest. The stock has
OI PRICE
immediate support around current levels. Day
SCRIP OI CHANGE PRICE CHANGE
(%) (%)
traders can use negative opening around Rs386
level to trade with positive bias for the target price
GRASIM 101000 -74.06 1838.80 -20.71 of Rs396-398.
HOTELEELA 4980500 -17.72 45.60 3.40 Some liquid counters where rollover is high are
MINIFTY 1786160 -16.72 4917.40 2.30 GTL, ADANIENT, LICHSGFIN, BHARATFORG and
BALRAMCHIN. Stocks were rollover is less are
PANTALOONR 1314950 -13.48 364.90 1.49 DCHL, CHENNPETRO, ANDHRABANK,
UNIPHOS 2216800 -13.30 167.70 5.50 STERLINBIO and, CIPLA.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 0.78 1.04 GRASIM 114.12
RELIANCE 0.20 0.34 TCS 39.16
BANKNIFTY 1.92 0.71 INFOSYSTCH 30.36
ICICIBANK 0.85 0.88 IDFC 54.64
RNRL 0.35 0.41 GMRINFRA 55.40
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2. Derivative Report | India Research
FII Statistics for 26-May-2010 Turnover on 26-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 1046038 24155.94 -20.73
8323.96 7129.88 1,194.08 741539 18139.38 -8.38
FUTURES
INDEX Stock Futures 1055283 30052.08 -5.28
6553.02 6747.85 (194.82) 2216104 54453.44 0.75
OPTIONS
STOCK Index Options 3024691 74544.16 -10.90
7040.72 5977.75 1,062.97 1044666 28899.35 -0.96
FUTURES
STOCK Stock Options 96649 3300.64 -12.26
162.59 244.29 (81.70) 54006 1637.03 1.68
OPTIONS
TOTAL 22080.29 20099.76 1,980.53 4056315 103129.20 -1.47 Total 5222661 132052.82 -11.74
Nifty Spot = 4917.40 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5000 109.30 Buy 4900 160.85
39.95 60.05 5039.95 36.75 63.25 4863.25
Sell 5100 69.35 Sell 4800 124.10
Buy 5000 109.30 Buy 4900 160.85
68.30 131.70 5068.30 65.45 134.55 4834.55
Sell 5200 41.00 Sell 4700 95.40
Buy 5100 69.35 Buy 4800 124.10
28.35 71.65 5128.35 28.70 71.30 4771.30
Sell 5200 41.00 Sell 4700 95.40
Note: Above mentioned Bullish or Bearish Spreads in Nifty (June 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 Profit booked on 21-05-2010
17-May-2010 CAIRN Long Put Profit booked on 20-05-2010
24-May-2010 MARUTI Long Call Continue
24-May-2010 STER Long Call Continue
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