1. Derivative Report
India Research
April 07, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest decreased by 1.06%,
while, Minifty futures open interest increased by
2.01%, as market closed at 5366.00 levels.
The Nifty April future closed at a premium of 1.10
points as against a discount of 2.50 points in the last
trading session, while the May future closed at a
premium of 5.60 points.
The PCR-OI increased from 1.27 to 1.29 points.
The Implied volatility of At-the-money options is at
15.00%.
The total open interest of the market is Rs1,09,143cr
of which Stock futures’ open interest is Rs34,011cr.
Some liquid stocks where cost of carry is positive are
TTML, NAGARFERT, PIRHEALTH, OPTOCIRCUI and
MUNDRAPORT.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%) FIIs continue to trade with positive bias in the
futures segment and they were net buyers of
ONMOBILE 475750 68.95 420 5.12 Rs.262cr in the cash market segment. Global cues
PFC 855600 51.06 271.95 3.78 are flat. We may see a flattish to positive opening.
BEL 408480 41.63 2006.9 -4.54 Again buying in the options segment was visible
from FIIs, and significant build-up was observed in
BGRENERGY 160800 30.52 552.7 1.38
the 5400 call options, 5300 and 5400 put options.
ANDHRABANK 3958300 29.20 119.45 3.87
Telecom stocks are under-performer in the market.
OI Losers RCOM and BHARTIARTL both the stocks are
showing resistance around Rs.180 and Rs.320
OI PRICE respectively, from the options data. We advise
SCRIP OI CHANGE PRICE CHANGE traders to trade with negative bias in them.
(%) (%)
EKC is consolidating around current levels in the
JISLJALEQS 30000 -30.23 1050.95 4.30
past few trading sessions and the stock is showing
DABUR 588600 -19.85 167.90 2.57 some build-up too. Traders can form long positions
in this counter for the target of Rs.134, with the stop
GESHIP 754800 -14.31 317.35 5.48
loss of Rs. 121.
ALBK 2560250 -12.99 161.35 5.56
IDBI 13802400 -11.56 124.10 3.24
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.29 1.20 GESHIP 37.47
RELIANCE 0.39 0.43 IOB 40.45
BHARTIARTL 0.56 0.19 FEDERALBNK 38.13
SUZLON 0.30 0.21 BEL 38.95
INFOSYSTCH 0.33 0.19 HCLTECH 33.20
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2. Derivative Report | India Research
FII Statistics for 06-April-2010 Turnover on 06-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 295910 7852.35 -17.20
844.92 493.93 350.99 513773 13965.23 0.18
FUTURES
INDEX Stock Futures 456681 16403.35 10.89
2947.68 1765.43 1,182.25 1327797 35651.16 4.91
OPTIONS
STOCK Index Options 995675 26639.01 -17.52
1024.20 953.36 70.84 859537 29033.47 0.80
FUTURES
STOCK Stock Options 76017 2722.44 5.95
106.95 89.36 17.59 14201 426.27 7.89
OPTIONS
TOTAL 4923.75 3302.08 1,621.67 2715308 79076.13 2.68 Total 1824283 53617.14 -9.34
Nifty Spot = 5366.00 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5400 59.25 Buy 5300 54.15
35.85 64.15 5435.85 23.75 76.25 5276.25
Sell 5500 23.40 Sell 5200 30.40
Buy 5400 59.25 Buy 5300 54.15
52.40 147.60 5452.40 37.25 162.75 5262.75
Sell 5600 6.85 Sell 5100 16.90
Buy 5500 23.40 Buy 5200 30.40
16.55 83.45 5516.55 13.50 86.50 5186.50
Sell 5600 6.85 Sell 5100 16.90
Note: Above mentioned Bullish or Bearish Spreads in Nifty (April 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 Continue
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