1. Derivative Report
India Research
March 26, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest increased by 4.24%,
while, Minifty futures open interest increased by
5.90%, as market closed at 5260.40 levels.
The Nifty April future closed at a premium of 12.60
points as against a premium of 13.70 points in the last
trading session, while the May future closed at a
premium of 13.95 points.
The PCR-OI increased from 1.67 to 1.80 points.
The Implied volatility of At-the-money options
increased from 15.00% to 16.50%.
Rollover for the Nifty Futures is 65.70% and for Minifty
Futures it is 64.59%. Market wide rollover is 76.62%.
The total open interest of the market is Rs1,38,682cr
of which Stock futures’ open interest is Rs36,841cr.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE Yesterday, FIIs buying was visible in Index Futures
(%) (%) and Index options. They were net buyers of
MCLEODRUSS 5405400 79.55 283.1 8.05 Rs. 653cr in the cash market segment.
PATNI 1336400 47.70 577.5 8.68 In options, the 5100 and 5200 put options added
significant open interest. On the other hand 5300
ULTRACEMCO 1094800 40.07 1086.35 -2.22 call added highest open interest.
INDIANB 908600 34.97 163.1 -0.28
After significant unwinding from higher levels in
UNIPHOS 1521800 33.87 151.2 -2.77 TATACHEM, formation of short positions was visible
yesterday. We may see further correction in the
OI Losers stock.
OI PRICE Significant short positions exist in HINDPETRO and
SCRIP OI CHANGE PRICE CHANGE most of the short positions have been rolled over.
(%) (%) Rs295-300 is strong support. Due to short coveting
JISLJALEQS 32000 -24.26 958.50 1.91
we may see a bounce back in the counter.
GLAXO 22800 -20.83 1748.35 0.14 Some stocks where rollover is high are
BALRAMCHIN, GTLINFRA, JPPOWER, RPOWER and
ASIANPAINT 14200 -20.22 1962.15 -0.30 FINANTECH. Stocks where rollover is comparatively
KOTAKBANK 2807750 -16.92 739.65 1.34 less are HINDALCO, RECLTD, SUNPHARMA, PATNI
and SAIL.
WELGUJ 16516800 -14.85 275.90 -0.38
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.80 0.92 PATNI 50.73
RELIANCE 0.71 0.44 RPOWER 29.41
ICICIBANK 1.12 0.67 MCLEODRUSS 58.47
SBIN 0.24 0.15 HEROHONDA 36.96
SUZLON 0.26 0.33 STERLINBIO 48.00
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2. Derivative Report | India Research
FII Statistics for 25-March-2010 Turnover on 25-March-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 847979 21891.41 1.54
5170.80 4931.96 238.84 414283 11102.35 -31.88
FUTURES
INDEX Stock Futures 1235109 41585.92 21.01
5280.30 4626.56 653.74 963420 25340.06 -44.85
OPTIONS
STOCK Index Options 2692628 70260.94 17.51
5826.74 6348.05 (521.31) 779753 25627.00 -11.54
FUTURES
STOCK Stock Options 86969 3232.75 8.85
63.45 97.95 (34.50) 2665 89.70 -89.77
OPTIONS
TOTAL 16341.29 16004.52 336.77 2160121 62159.11 -33.80 Total 4862685 136971.02 15.40
Nifty Spot = 5260.40 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5200 145.00 Buy 5100 48.60
58.05 41.95 5258.05 17.05 82.95 5082.95
Sell 5300 86.95 Sell 5000 31.55
Buy 5200 145.00 Buy 5100 48.60
98.65 101.35 5298.65 29.10 170.90 5070.90
Sell 5400 46.35 Sell 4900 19.50
Buy 5300 86.95 Buy 5000 31.55
40.60 59.40 5340.60 12.05 87.95 4987.95
Sell 5400 46.35 Sell 4900 19.50
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 Tracker
Strategy Date Scrip Strategy Status
02-March-2010 RELIANCE Long Put Ladder Marginal Loss on Expiry
08-March-2010 NIFTY Long Put Loss on Expiry
08-March-2010 TTML Bull Call Spread Loss on Expiry
15-March-2010 DLF Ratio Call Spread Marginal profit on Expiry
22-March-2010 ITC Short Straddle Expired in Profit
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