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Daily derivative technical report 18 december
- 1. DERIVATIVE REPORT 18th December2013 SWASTIKA INTELLIGENCE GROUP NIFTY VS OPEN INTEREST Market Internals FII were net buyer by 250cr in cash market after one day sell off figure. DII were net seller in cash market by amount of -97cr. Aggressive writing is seen at both call and put option front which is showing market is likely remain range bound after key event. India VIX is not rising as nifty is sliding which shows there is not too much downside or risk of sharp correction. Indian Government 10-yr bond yield placed at 8.92 mark which has already factored in 25 basis rate hike. US 10-year treasury yield is hovering around 2.84 while dollar index is placed at 80.06 mark ahead of Fed policy next week. Derivative Activity: Nifty closed at 6139 mark while nifty December future closed at 6161 mark with premium of 22 points. Nifty (Jan) Contract closed at 6215 level with premium of 76 points. The cost of carry for December month contract placed at 14.53% vs. 14.83%, whereas total OI is positioned at 26761250, where nifty December future sheds 2.7% in open interest. At the money option implied volatility placed at 17.84% vs. 18.23% mark. OPEN INTEREST GAINERS Scrips Price % Price Change Open Interest (Change) % OI Change BIOCON RELCAPITAL 394.75 351.95 0.83% -2.76% 255000 697000 13% 11% GSKCONS 4392.3 -2.20% 875 9% PETRONET 118.1 -2.40% 182000 9% ZEEL 286.75 1.41% 242000 8% Scrips Price OPEN INTEREST LOOSERS % Price Change Open Interest (Change) % OI Change BAJAJ-AUTO 1873.2 -1.96% -154250 -13% RECLTD 208.3 0.97% -258000 -11% DISHTV 61.95 -0.16% -1312000 -10% SRTRANSFIN COALINDIA 621.5 279.3 0.47% -2.72% -67000 -711000 -9% -9% Swastika Intelligence Group, 1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai
- 2. DERIVATIVE REPORT 18th December2013 SWASTIKA INTELLIGENCE GROUP OPTION DATA ANALYSIS: OI CONCENTRATION CHART CHANGE IN OI ON CALL OPTION FRONT: On call option front highest open interest has been shifted to 6300 mark which is now important hurdle. Writing is seen at 6200-6400 levels which accumulate 12lacs total amount in open interest. ON PUT OPTION FRONT: On put option front highest open interest positioned at 6000 level which is base for this series. Writing is also witnessed at put option front also where 5900 and 6100 levels accumulate 5lacs and 3lacs amount in open interest respectively. IndiaVix down by 0.16% which closed at 18.33 level. PCR OI stands at 0.95 mark while PCR volume stands at 0.82mark. VIX/PCR ratio stands at 19.30 level which shows indecisive stage among the traders. Swastika Intelligence Group, 1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai
- 3. DERIVATIVE REPORT 18th December2013 SWASTIKA INTELLIGENCE GROUP TOATL VOLUME SUMMARY FII STATISTICS Dec 17’13 (IN RS. Cr.) Open Interest Product Net Product No of Contracts Traded Value (Crs) INDEX FUTURES 298494 8951.94 571012 17228.3 594003 18206.89 -0.63 -913.69 1760703 53823.67 0.98 STOCK FUTURES -23.10 1167506 31962.30 0.51 INDEX OPTIONS 2389154 74158.1 1.79 54884 1460.74 6.53 STOCK OPTIONS 284637 8750.3 -955.05 TOTAL Values -20.06 INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Contracts Change (In %) 3577096.00 105453.60 7.38 F&O TOTAL 3543297 109089 DERIVATIVE FOLIO MOST ACTIVE NIFTY CALL OPTION Symbol NIFTY NIFTY NIFTY NIFTY NIFTY Strike Price 6300 6200 6400 6500 6100 Traded Qty. 15943400 15168400 9790500 6254650 2940850 Open Interest 7070200 4223550 5315150 5232550 1901050 MOST ACTIVE STOCK CALL OPTION Symbol SBIN RANBAXY SBIN TCS MCDOWELL-N Strike Price 1800 440 1750 2100 2600 Traded Qty. 1040500 2364000 588375 524875 513625 Open Interest 469375 639500 194250 391250 205750 MOST ACTIVE NIFTY PUT OPTION Symbol NIFTY NIFTY NIFTY NIFTY NIFTY Strike Price 6100 6200 6000 5900 6300 Traded Qty. 12315100 12071700 8566300 4823450 2212400 Open Interest 5066500 3477550 5682450 3633550 2530900 MOST ACTIVE STOCK PUT OPTION Symbol SBIN SBIN SBIN MCDOWELL-N AXISBANK Strike Price 1700 1750 1650 2500 1250 Traded Qty. 868125 421375 328000 259500 444500 Open Interest 256250 111875 231375 191125 235250 Swastika Intelligence Group, 1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai
- 4. DERIVATIVE REPORT 18th December2013 SWASTIKA INTELLIGENCE GROUP Report Prepared by Santosh Meena RESEARCH TEAM Santosh Sahu Amit Khare Vishnu shreekar Sonakshi Bahety Saloni Gupta Designation Derivative & Technical Analyst E-mail ID santosh.meena@swastika.co.in SWASTIKA INTELLIGENCE GROUP Research Head Commodity Analyst Commodity Analyst Research Associate Research Associate research@swastika.co.in Santosh.sahu@swastika.co.in amit.khare@swastika.co.in vishnu.shreekar@swastika.co.in Sonakshi.bahety@swastika.co.in Salony.gupta@swastika.co.in Disclaimer- The document is solely for the personal information of the intended recipient and must not be exceptionally used as the basis for any investment decision. Nothing in this document should be construed as investment, Legal, taxation or financial advice. Swastika Investmart Lt d. is not soliciting any action based upon it. Each recipient of this document should make necessary investigations as they conside r important to arrive at an independent evaluation of an investment in the securities of the companies referred to in this document (including the merits and risks involved). This report has been made based on information that we consider reliable and are publicly available but we do not state that it is accurate or complete and it should not be solely relied upon such, as this document is for. Swastika Investmart Limited, its affiliates, directors, it s proprietary trading and investment businesses may, from time to time, make investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in this document are those of the analyst, and the company may or may not subscribe to all the views expres sed within this document. Swastika Investmart Limited or any of its affiliates/ group companies, or employees shall not be in any way held responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this report. Swastika Investmart Limited has not independently verified the information contained in this document. Accordingly, we cannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced, redistributed or passed on, directly or indirectly. Swastika Intelligence Group, 1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai