1. Derivative Report
India Research
April 29, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest increased by 3.60%,
while, Minifty futures open interest increased by
2.90%, as market closed at 5215.45 levels.
The Nifty April future closed at a premium of 1.25
points, as against a premium of 0.70 points in the last
trading session, while the May future closed at a
premium of 0.75 points.
The PCR-OI decreased from 1.38 to 1.24 points.
The Implied volatility of April At-the-money options has
increased from 17.50% to 19.00% and it is 21% for
May series.
Rollover for the Nifty Futures is 59.17% and for Minifty
Futures it is 52.52%. Market wide rollover is 65%.
The total open interest of the market is Rs1,18,811cr
of which Stock futures’ open interest is Rs38,868cr.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE FIIs have formed short positions in the Index futures,
(%) (%) while a blend of long unwinding and some short
PIRHEALTH 6702000 17.67 522.2 1.30 formation is visible in Stock futures. They have
started buying in options segment.
GTOFFSHORE 1409000 15.21 447.75 -2.32
Yesterday, huge unwinding was visible in the 5200
APIL 262200 13.51 609.85 0.84 and 5300 Put options and build-up in the 5200
TECHM 2724000 12.32 770 -4.22 and 5300 call options. Expiry below 5200 level is
unlikely as highest positions exist at this strike put
RANBAXY 4616800 10.68 433.1 -3.12 option. In May series the 5200 and 5300 call and
put both options added significant open interest.
OI Losers
Positional traders can form long positions in NTPC
OI PRICE
around Rs 204, for the target of Rs 212. As stock is
SCRIP OI CHANGE PRICE CHANGE
(%) (%) moving around its support levels.
CUMMINSIND 139650 -21.81 536.05 3.88 As market is not giving any directional move,
comparatively good rollover is witnessed in Stock
ASIANPAINT 17200 -21.10 2089.55 1.28 futures. Some liquid stocks where rollover is less are
CANBK 1622400 -19.94 408.10 -2.58 RECLTD, SIEMENS, MUNDRAPORT, UNIONBANK
and TATAMOTORS. Stocks where short positions
SCI 1173600 -19.17 162.70 -0.28 exist and rollover in high are SESAGOA, IDEA,
LICHSGFIN 1507475 -17.74 902.00 -0.55 TATASTEEL and DLF.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.24 1.15 RNRL 38.84
RELIANCE 0.18 0.25 CONCOR 47.64
BHARTIARTL 0.38 0.43 ICSA 43.86
INFOSYSTCH 0.73 1.02 TECHM 31.30
ICICIBANK 1.02 1.18 GMRINFRA 54.92
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2. Derivative Report | India Research
FII Statistics for 28-April-2010 Turnover on 28-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 975412 25141.05 57.05
5246.97 6111.40 (864.43) 595427 15717.80 8.53
FUTURES
INDEX Stock Futures 1025358 34727.73 24.26
5992.62 5389.65 602.97 1752902 45750.86 2.56
OPTIONS
STOCK Index Options 3108373 82095.69 86.94
7348.96 8273.28 (924.32) 1001227 32317.35 0.05
FUTURES
STOCK Stock Options 135916 4823.87 31.22
497.74 305.74 192.00 47129 1549.18 16.46
OPTIONS
TOTAL 19086.29 20080.07 (993.79) 3396685 95335.19 2.96 Total 5245059 146788.34 60.34
Nifty Spot = 5215.45 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5200 129.95 Buy 5100 81.80
50.55 49.45 5250.55 25.65 74.35 5074.35
Sell 5300 79.40 Sell 5000 56.15
Buy 5200 129.95 Buy 5100 81.80
86.75 113.25 5286.75 44.35 155.65 5055.65
Sell 5400 43.20 Sell 4900 37.45
Buy 5300 79.40 Buy 5000 56.15
36.20 63.80 5336.20 18.70 81.30 4981.30
Sell 5400 43.20 Sell 4900 37.45
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
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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