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Lkp securities derivatives daily report

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Lkp securities derivatives daily report

  1. 1. Derivatives Daily Date Nifty Spot Nifty Future Pre / Nifty Future PCR PCR VIX Most Active Most Active Dis Total OI (OI) (Volume) Call (OI) Put(OI) P/E P/B 27-Aug 5287 5,285 -2.65 30,820,300 0.75 1.14 29.42 5500 5300 15.24 2.62 26-Aug 5477 5,467 -9.40 29,794,600 0.87 1.23 26.38 5600 5300 15.80 2.71 Chg -3.45% -3.33% 3.44% 11.52% Nifty Options Data is for the expiry 29-Aug-13 28-Aug-13 The India VIX witnessed an addition of 11.52% at 29.42 as compared to its previous close of 26.38 on Monday. Nifty August 2013 futures closed at 5284.80 on Tuesday at a discount of 2.65 points over spot closing of 5,287.45. Nifty September 2013 futures ended at 5302.35 at a premium of 14.90 points over spot closing. Nifty August futures saw contraction of 1.44 million (mn) units taking the total outstanding open interest (OI) to 19.92 mn units. The Nifty Put Call Ratio (PCR) OI wise stood at 0.75 for August month contract. The top five scrips with highest PCR on OI were Bharat Forg 2.39, MRF 1.50, Infosys 1.47, Wipro 1.42, and Power Grid 1.33. From the most active contracts, JP Associates August 2013 futures last traded at a discount of 0.05 points at 32.55 compared with spot closing of 32.60. The number of contracts traded was 21,805. DLF August 2013 futures last traded at a premium of 0.75 points at 130.50 compared with spot closing of 129.75. The number of contracts traded was 32,089. Tata Steel August 2013 futures last traded at a discount of 1.05 points at 271.65 compared with spot closing of 272.70. The number of contracts traded was 21,780. HDFC Bank August 2013 futures were at a discount of 2.60 points at 563.20 compared with spot closing of 565.80. The number of contracts traded was 26,116. Yes Bank August 2013 futures were at a premium of 2.35 points at 236.35 compared with spot closing of 234.00. The number of contracts traded was 36,253. Nifty CNX NIFTY NIFTY PREMIUM  / DISCOUNT CNX NIFTY vs INDIA VIX MARKET OVERVIEW 23 24 25 26 27 28 29 30 5150 5200 5250 5300 5350 5400 5450 5500 21-Aug 22-Aug 23-Aug 26-Aug 27-Aug Nifty Futures VIX 5150 5200 5250 5300 5350 5400 5450 5500 21-Aug 22-Aug 23-Aug 26-Aug 27-Aug -12 -10 -8 -6 -4 -2 0 2 4 6 8 Prem / Disc Nifty Futures LKP Advisory
  2. 2. Curr. Prev. LTP Net Curr. Prev. LTP Net IV IV Chg IV IV Chg 4800 8700 -2500 - - 486 -173.25 4800 791850 -31300 57 56 0.9 0.35 4900 20300 -2700 - 105 366 -237.90 4900 1316100 -6800 50 51 1.5 0.70 5000 208750 -18800 - - 288 -176.35 5000 3347050 -70800 44 47 3 1.20 5100 174200 -175750 - - 183 -185.40 5100 4485600 1151200 36 40 5 3.25 5200 1952850 915800 26 - 98 -170.20 5200 6755100 663200 33 34 19 15.75 5300 5085100 2917950 29 - 40 -132.90 5300 7792450 -76550 33 30 61 52.05 5400 6247150 1975550 29 15 11.2 -79.15 5400 3540350 -3108500 32 30 129 102.65 5500 6814300 -19450 32 21 3.2 -32.90 5500 2434100 -2702050 40 30 223 157.50 5600 5925450 -2431900 37 22 1.4 -7.65 5600 1479050 -428750 42 36 315 176.50 5700 4625600 -637750 44 24 0.8 -1.20 5700 1510550 -209800 57 45 415 182.30 Nifty Options Data is for the expiry 29-Aug-13 Nifty Put OI Chg in OI Nifty Call Options Strike Nifty Call OI Chg in OI Nifty Put Options Strike CHANGE IN OPEN INTEREST ( Total )  vs  NIFTY FUTURESOI PCR, VOL PCR  vs  NIFTY FUTURES OPEN INTEREST – NIFTY CALL & NIFTY PUT Nifty calls, 5,500 SP from the Aug month expiry was the most active call with contraction of 0.01 million open interest. Nifty puts, 5,300 SP from the Aug month expiry was the most active put with contraction of 0.07 million open interest. The maximum OI outstanding for Calls was at 5,500 SP (6.81 mn) and that for Puts was at 5,300 SP (7.79 mn). 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 4800 4900 5000 5100 5200 5300 5400 5500 5600 5700 5800 Millions NIFTY CALL Open Interest NIFTY PUT Open interest 5150 5200 5250 5300 5350 5400 5450 5500 0.00 0.20 0.40 0.60 0.80 1.00 1.20 1.40 21-Aug 22-Aug 23-Aug 26-Aug 27-Aug OI PCR Vol PCR Nifty Futures 5150 5200 5250 5300 5350 5400 5450 5500 21-Aug 22-Aug 23-Aug 26-Aug 27-Aug -1000000 -500000 0 500000 1000000 1500000 2000000 2500000 3000000 3500000 4000000 4500000 Change in OI Nifty Futures LKP Advisory
  3. 3. Nifty Bullish Call Spread Nifty Bearish Put Spread Action Strike Max Max Action Strike Max Max Profit Loss Profit Loss Buy 5500 Buy 5600 Sell 5600 Sell 5500 Buy 5600 Buy 5500 Sell 5700 Sell 5400 Buy 5500 Buy 5600 Sell 5700 Sell 5400 Note:Above spread are provided for information purposes. Most Active Calls Most Active Puts Scrip Strike Price Spot Turnover Expiry Scrip Strike Price Spot Turnover Expiry Price (Rs Crs.) Price (Rs Crs.) JPASSOCIAT 35 0.25 33 152 29-Aug-13 SBIN 1500 15.00 1520 182 29-Aug-13 SBIN 1550 10.70 1520 137 29-Aug-13 RELIANCE 800 6.50 806 100 29-Aug-13 RELIANCE 820 5.05 806 110 29-Aug-13 ICICIBANK 800 11.50 803 71 29-Aug-13 SBIN 1600 3.40 1520 99 29-Aug-13 MCDOWELL-N 2100 27.00 2113 86 29-Aug-13 JPASSOCIAT 37 0.10 33 61 29-Aug-13 RELIANCE 820 15.85 806 59 29-Aug-13 STOCK FUTURES LONG BUILDUP (Price rise OI rise) SHORT BUILDUP   (Price fall OI rise) Stock CMP Price OI (NSE+BSE) Recovery Stock CMP Price OI (NSE+BSE) Fall from Chg Chg %Delivery chg chg %Delivery High INFY 3056 0.8% 5.1% 63% 1% IRB 65 -8.9% 2.8% 32% 8% DRREDDY 2167 0.8% 16.8% 52% 2% FINANTECH 133 -8.1% 1.8% 12% 10% MCLEODRUSS 251 0.4% 1.0% 34% 2% HDFCBANK 562 -8.1% 4.5% 69% 7% SESAGOA 168 0.4% 10.0% 16% 7% HDFC 686 -7.8% 7.4% 61% 7% HCLTECH 948 0.3% 1.5% 47% 1% SRTRANSFIN 501 -7.2% 7.0% 50% 7% SHORT UNWINDING   (Price rise OI fall) LONG UNWINDING   (Price fall OI fall) Stock CMP Price OI (NSE+BSE) Recovery Stock CMP Price OI (NSE+BSE) Fall from Chg Chg %Delivery chg chg %Delivery High CESC 299 1.6% -8.0% 59% 3% YESBANK 236 -9.7% -4.5% 32% 8% DABUR 157 0.3% -7.7% 60% 2% JPPOWER 12 -9.3% -7.6% 30% 13% #N/A #N/A #N/A #N/A #N/A #N/A JPASSOCIAT 33 -9.0% -3.0% 16% 12% #N/A #N/A #N/A #N/A #N/A #N/A PFC 106 -8.5% -2.1% 51% 10% #N/A #N/A #N/A #N/A #N/A #N/A RECLTD 171 -8.4% -4.6% 33% 11% 2 Premium 303.45 303.45 208.95 9 91 117.50 2 1 14 186 117.50 Premium 3.1 1.3 1.3 0.8 3.1 0.8 98 100 198 6 95 208.95 NIFTY OPTIONS Long positions were witnessed in stocks like INFY & DRREDDY Short positions were witnessed in stocks like IRB & FINANTECH STOCK OPTIONS LKP Advisory
  4. 4. 27-Aug-13 Buy Sell Net OI % OI % Rs. Crs 27-Aug 26-Aug % FII's Rs. Crs Value Chg Contracts Chg Chg Contribution INDEX FUTURES 6445 6987 -542 17921 1% 699,473 4.5% INDEX FUTURES 23779 17937 33% 56% INDEX OPTIONS 32693 32833 -140 62362 -1% 2,380,392 2.7% INDEX OPTIONS 229134 168589 36% 29% TOTAL INDEX 39138 39820 -682 TOTAL INDEX 252913 186525 36% STOCK FUTURES 9513 9112 400 28430 -1% 1,164,533 3.1% STOCK FUTURES 31543 24887 27% 59% STOCK OPTIONS 872 876 -3 3331 -3% 135,323 1% STOCK OPTIONS 8890 8745 2% 20% TOTAL STOCKS 10385 9988 397 TOTAL STOCKS 40433 33632 20% FIIs contribution to the total Derivatives turnover 34% 36% The information in this documents has been printed on the basis of publicly available information, internal data and other reliable sources believed to be true and is for general guidance only. While every effort is made to ensure the accuracy and completeness of information contained, the company makes no guarantee and assumes no liability for any errors or omissions of the information. No one can use the information as the basis for any claim, demand or cause of action. LKP Securities Ltd., and affiliates, including the analyst who have issued this report, may, on the date of this report, and from time to time, have long or short positions in, and buy or sell the securities of the companies mentioned herein or engage in any other transaction involving such securities and earn brokerage or compensation or act as advisor or have other potential conflict of interest with respect to companies mentioned herein or inconsistent with any recommendation and related information and opinions. LKP Securities Ltd., and affiliates may seek to provide or have engaged in providing corporate finance, investment banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of this report or in the past. SECTOR PERFORMANCE LKP Securities Ltd. Ph: (91-22) 66351234 FAX: (91-22) 66351249 E Mail: lkpadvisory@lkpsec.com web: http://www.lkpsec.com FII's ACTIVITY IN DERIVATIVES NSE DERIVATIVES TURNOVER                    -8.0% -7.0% -6.0% -5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0% Energy Materials Utilities Consumer Durables & Apparel Consumer Services Media Automobiles & Components Retailing Food Beverage & Tobacco Household & Personal Products Banks Real Estate Diversified Financials Pharma., Biotech. & Life Sciences Health Care Equipment & Services Capital Goods Transportation Software & Services Telecommunication Services Utilities LKP Advisory

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