derivatives

1. daring
derivatives
November 11, 2011
Derivatives Summary
Nifty (November) futures’ premium over spot Nifty NIFTY SNAPSHOT
decreased to 16.05 points from a premium of 26.20 Current Previous % Change
points. Nifty (Curr. MTH) 5237.1 5315.55 -1.48%
Total open interest in the market was Rs125,177 crore Nifty CoC 7.48% 11.30% -33.80%
and Rs119 crore was added in open interest. OI 29412450 29079600 1.14%
Nifty call options added 11.84 lakh shares in open Vol 19627550 14414550 36.16%
interest whereas put options added 11.34 lakh shares PCR(OI) 1.34 1.35 -0.74%
in open interest. PCR ( VOL) 0.98 1.11 -11.71%
Jain Irrigation Systems (21%), JP Power (16%), Tulip
OPEN INTEREST
(16%), Tata Motor DVR (13%) and BPCL (12%) were the
top open interest gainers in the market. CE PE Strike IV
8000000 26.94% 30.00%
Jet Airways (-32%), Allahabad Bank (-16%), Ashok 7000000
25.21%
23.52%
22.42% 25.00%
Leyland (-13%) and On Mobile (-13%) were the top open 6000000
21.19%
20.15% 19.28%
Implied volatility
interest losers in the market.
Open interest
20.00%
5000000
4000000 15.00%
Overall volumes in futures & options stood at 42.38 3000000
10.00%
lakh contracts with a turnover of Rs110,661 crore 2000000
4976500
7083400
1571700
5068850
2920550
4760650
5830950
3763650
6749250
1145600
5431500
355700
895950
436500
whereas volumes in Nifty futures were marginally 1000000
5.00%
higher compared with previous trading volumes. 0 0.00%
4900
5000
5100
5200
5300
5400
5500
Strike price
Market commentary PX
Px CE Px PE
400
Bears resurge
350
For a second straight session the Nifty commenced 300
Closing Price
trading on a timid note, side lining positive global cues. 250
351.25
The market soon turned volatile; the tussle between the 200
272.55
260.95
150
bulls and the bears continued till late afternoon. Better
190.85
178.3
100
than expected quarterly numbers of banking giant State
125.8
112.6
15.75
78.95
29.05
11.45
28.1
61.7
50
Bank of India (SBIN), gains in Hindustan Unilever, Wipro,
48
0
TCS, Hero Moto Corp, ITC and HDFC and positive opening
4900
5000
5100
5200
5300
5400
5500
of European indices failed to support the bulls and the Strike price
participants’ confidence in the market. As the day
progressed losses in SBIN, BPCL, Tata Steel, DLF, Hindalco MOST ACTIVE INDEX CALL OPTION
Industries, Maruti Suzuki, Reliance Communications,
Strike Curr. IV Pre. IV Curr. OI Chg OI % Chg IV %
Sterlite Industries, Ranbaxy, Axis Bank, Tata Motors, IDFC
5300 C 21.04% 21.05% 5830950 17.72% -0.03%
and Reliance Industries along with select other index
5400 C 20.32% 20.22% 6749250 -0.08% 0.50%
components added further pain to the market. The Nifty
finally closed lower by 68 points or 1.29% at 5221. 5500 C 19.73% 19.54% 5431500 -3.73% 0.96%
5600 C 19.86% 19.25% 3177450 -8.25% 3.18%
Daily view 5200 C 22.01% 22.10% 2920550 16.57% -0.40%
Average IV 20.59% 20.43% - - 0.79%
For Private Circulation only
Around 3.32 lakh shares were added in open interest
MOST ACTIVE INDEX PUT OPTION
with a significant decrease in the cost of carry
Strike Curr. IV Pre. IV Curr. OI Chg OI % Chg IV %
indicating short positions built up at higher levels.
5300 P 21.34% 21.32% 3763650 3.91% 0.07%
On the options front implied volatility has seen an up
5200 P 22.84% 22.85% 4760650 -0.57% -0.05%
tick indicating that the market will remain uncertain
5000 P 25.99% 26.00% 7083400 14.68% -0.06%
in the coming days. Also, from the past couple of
5100 P 24.47% 24.58% 5068850 -3.10% -0.45%
trading sessions fresh short positions have been
accumulated indicating any close below the 5200 mark 4900 P 27.35% 27.44% 4976500 9.33% -0.32%
on the Nifty can take it to lower targets of 5000-4950. Average IV 24.40% 24.44% - - -0.17%
visit us at sharekhan.com Daring Derivatives — November 11, 2011 — 1

2. Derivative Activity
MOST ACTIVE STOCK CALL OPTIONS MOST ACTIVE STOCK PUT OPTIONS
Strike Curr. Pre. Curr. OI IV Strike Curr. Pre. Curr. OI IV
IV (%) IV (%) OI Chg % Chg % IV (%) IV (%) OI Chg % Chg %
SBIN 2000 C 39.12% 42.76% 956375 195.75% -8.52% SBIN 1900 P 38.41% 45.33% 239625 -8.10% -15.26%
HINDUNILVR 400 C 23.83% 24.24% 1536000 10.19% -1.69% HINDUNILVR 380 P 25.59% 23.26% 1355000 76.20% 10.02%
RELIANCE 900 C 29.35% 29.25% 796750 14.60% 0.35% TATASTEEL 460 P 40.16% 41.07% 259500 10.66% -2.21%
TATASTEEL 480 C 40.87% 40.55% 710000 22.52% 0.79% RELIANCE 860 P 30.48% 32.50% 197000 -16.08% -6.23%
ICICIBANK 900 C 36.89% 36.99% 488000 0.77% -0.27% AXISBANK 1100 P 31.74% 35.59% 187000 184.41% -10.82%
MOST ACTIVE STOCK FUTURES FII'S FUTURE & OPTIONS ACTIVITY (IN CRS) 08 NOV 2011
Strike CoC Curr. CoC Pre OI Curr. OI Chg. OI % Buy Sell Difference
SBIN 11.57% 15.42% 7334750 9.67% INDEX FUTURES 1440.36 1183.86 256.49
ICICIBANK 5.50% 13.98% 14453250 -2.19% INDEX OPTIONS 10304.14 10151.57 152.58
TATASTEEL -0.27% -4.15% 20968500 -1.96% STOCK FUTURES 1136.87 1354.73 -217.85
TATAMOTORS 5.93% 13.83% 48157500 -4.92% STOCK OPTIONS 304.74 294.87 9.87
DLF -11.47% -12.69% 22399000 -1.05% TOTAL 13186.11 12985.02 201.08
View Futures: Advance Decline (AD) Ratio
Weekly
Advance 18
VWAP Trend Lower Range Higher Range
Decline 212
5200 5200 5450-5600
*If Nifty is above VWAP (Volume Weighted Average Price) on closing basis Unchanged 1
then bias is positive and if closes below then bias is negative
Monthly Total 231
Lower Range Higher Range
AD Ratio 0.08
4950 5450-5600
Derivative Calls
Date Scrips Buy/Sell Initiation Range Stoploss Target Remark
9-Nov-11 HDFC Buy 686.8-687.20 680 698-710 Close @ 686.10
9-Nov-11 ONGC Sell 277.90-278.10 278 ® 274-270 1st Tgt Achvd. Book Full Profits @ 275
8-Nov-11 ICICI Bank Buy 888-890 875 920-940 Stopped Out
Derivative Ideas
Date Scrips Buy/Sell Initiation Range Stoploss Target Time Frame Remark
9-Nov-11 Nifty Sell 5290-5293 5332 5240 Intraday Close @ 5304.00
8-Nov-11 Nifty Sell 5292-5294 5330 5263-5243 1-2 Days Close @ 5310.50
Strategy Tracker - 4
Date Scrips Buy/Sell Initiation Range Stoploss Target Timeframe Remark Mark
to Market
8-Nov-11 Nifty CE 5400 (1 Lot) Buy 55-56 0 0 Expiry Open @ 26.00
(1355.00)
8-Nov-11 Nifty CE 5500 (1 Lot) Sell 25-27 0 0 Expiry Open @ 10.20
2 — Daring Derivatives — November 11, 2011 visit us at sharekhan.com

3. Strategy Tracker - 3
Date Scrips Buy/Sell Initiation Range Stoploss Target Timeframe Remark Mark
to Market
4-Nov-11 Sesa Goa CE 220 (1 Lot) Buy 6 0 0 Expiry Open @ 1.70
(2100.00)
4-Nov-11 Sesa Goa CE 230 (1 Lot) Sell 3-3.10 0 0 Expiry Open @ 0.80
Strategy Tracker - 2
Date Scrips Buy/Sell Initiation Range Stoploss Target Timeframe Remark Mark
to Market
31-Oct-11 JP Associate CE 80 (1 Lot) Buy 3.00-3.10 0 0 Expiry Open @ 2.10
31-Oct-11 JP Associate CE 85 (1 Lot) Sell 1.20-1.40 0 0 Expiry Open @ 0.60 200.00
31-Oct-11 JP Associate CE 90 (1 Lot) Sell 0.50-0.60 0 0 Expiry Open @ 0.30
Strategy Tracker - 1
Date Scrips Buy/Sell Initiation Range Stoploss Target Timeframe Remark Mark
to Market
28-Oct-11 SBIN CE 1950 (2 Lots) Buy 64-65 0 0 Expiry Open @ 26.00
28-Oct-11 SBIN CE 2000 (2 Lots) Sell 44-45 0 0 Expiry Open @ 15.50 1425.00
28-Oct-11 SBIN CE 2100 (2 Lots) Sell 20-21 0 0 Expiry Open @ 5.20
For Private Circulation only
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visit us at sharekhan.com Daring Derivatives — November 11, 2011 — 3