1. Derivative Report
India Research
April 21, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest increased by 4.12%,
while, Minifty futures open interest increased by
0.95%, as market closed at 5230.10 levels.
The Nifty April future closed at a discount of 3.45
points, as against a premium of 3.75 points in the last
trading session, while the May future closed at a
discount of 1.00 points.
The PCR-OI decreased from 1.21 to 1.18 points.
The Implied volatility of At-the-money options has
increased from 21.00% to 18.00%.
The total open interest of the market is Rs1,29,338cr
of which Stock futures’ open interest is Rs37,456cr.
Some liquid stocks where cost of carry is positive are
MCDOWELL-N, PIRHEALTH, ONMOBILE, NAGARFERT
and TTML.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%) Again FIIs selling was visible in the Index futures.
Yesterday, we have observed significant buying in
GLAXO 75900 65.36 1863.05 0.62 the stocks and FIIs have also formed long positions
CANBK 1772800 31.28 402 3.58 in them.
TCS 8676000 30.86 789.5 -2.76 Yesterday, both the 5200 and 5300 calls added
considerable open interest. However, unwinding in
SIEMENS 1018208 25.72 701.05 -1.30
the 5400 call and 5100 put has also been
BAJAJ-AUTO 732400 20.58 2075.45 3.22 observed.
OI Losers In past few trading sessions, KOTALBANK added
significant open interest and showing support
OI PRICE around Rs.730. Most of the banking counters were
SCRIP OI CHANGE PRICE CHANGE positive. We may see a positive move in this counter
(%) (%) around Rs. 760-765. Positional traders can trade
GSPL 12193900 -11.04 93.35 4.65 with positive bias with the stop loss of Rs. 715.
ADANIENT 693200 -10.25 522.45 5.86 Considerable build-up in MCDOWELL-N has taken
place in past 3-4 trading day and the stock is on
INFOSYSTCH 3444000 -7.75 2727.30 -0.89 the lower side of the range. Due to result today,
LICHSGFIN 1685975 -6.92 880.40 3.41 stock may witness some short covering in it.
IDFC 14564150 -5.96 169.40 4.41
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.18 1.01 ADANIENT 36.92
RELIANCE 0.24 0.24 GAIL 37.81
INFOSYSTCH 0.76 0.83 SBIN 24.86
BHARTIARTL 0.44 0.20 BGRENERGY 36.38
SUZLON 0.21 0.16 GESHIP 46.90
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2. Derivative Report | India Research
FII Statistics for 20-April-2010 Turnover on 20-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 586094 15321.63 -17.64
1515.17 1945.36 (430.20) 544196 14447.98 -0.40
FUTURES
INDEX Stock Futures 557760 20649.28 13.06
2708.26 2790.78 (82.52) 1571123 41119.27 1.15
OPTIONS
STOCK Index Options 1869506 49294.61 -26.62
2776.22 2191.45 584.77 935188 30702.96 1.04
FUTURES
STOCK Stock Options 105801 4365.97 4.38
147.98 163.95 (15.98) 28499 893.90 0.23
OPTIONS
TOTAL 7147.62 7091.55 56.08 3079006 87164.12 0.83 Total 3119161 89631.50 -17.18
Nifty Spot = 5230.10 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 26.40 Buy 5200 50.00
19.80 80.20 5319.80 27.00 73.00 5173.00
Sell 5400 6.60 Sell 5100 23.00
Buy 5300 26.40 Buy 5200 50.00
24.50 175.50 5324.50 39.50 160.50 5160.50
Sell 5500 1.90 Sell 5000 10.50
Buy 5400 6.60 Buy 5100 23.00
4.70 95.30 5404.70 12.50 87.50 5087.50
Sell 5500 1.90 Sell 5000 10.50
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 Profit Booked on 08-Apr-2010
12-April-2010 JPASSOCIAT Ratio Call Spread Continue
19-April-2010 BHARTIARTL Long Call Did not trigger
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