The document provides a summary of derivative market activity in India for May 27, 2010. It notes that open interest for Nifty futures decreased by 8.26% while Minifity futures decreased by 16.72%. The Nifty May future closed at a discount while the June future closed at a discount of 13.25 points. Some stocks like Hindzinc, Indhotel, and Canbk saw increases in open interest while stocks like Grasim, HotelEela, and Minifty saw decreases in open interest.
The document provides a summary of derivative market activity in India for August 20, 2010. Key points include:
- Open interest for Nifty futures increased 3.31% while Mini Nifty futures increased 18.91% as the market closed at 5540.20.
- Nifty August futures closed at a discount of 12.50 points.
- Implied volatility of at-the-money options decreased from 13% to 12%.
- Total open interest in the market was Rs. 1,88,226cr with stock futures open interest at Rs.51,756cr.
- The open interest for Nifty futures decreased by 6.04% while the open interest for Minifity futures decreased by 1.88% as the market closed at 5296.85 levels.
- The July Nifty future closed at a premium of 12.60 points and the August future closed at a premium of 16.20 points. The PCR-OI remained at the same level of 1.29 points.
- The implied volatility of at-the-money options decreased from 19.55% to 18%.
- The open interest in Nifty futures increased by 1% while Minifity futures decreased by 0.6% as the market closed at 5415.45 levels.
- Nifty September futures closed at a premium of 10.75 points while October futures closed at a premium of 13.2 points.
- Implied volatility of at-the-money options decreased from 17.5% to 16.5%.
- CumminsIndia, Bosch, and PFC saw increases in open interest of over 20% while HCC, Suntv, and Canbk saw decreases of over 5%.
The key points from the document are:
1) Open interest in Nifty futures decreased slightly while open interest in Minifut futures decreased more sharply as the market closed lower.
2) Put-call ratio increased from 1.20 to 1.32 as implied volatility rose slightly.
3) FIIs were net buyers in the cash segment and formed short positions in index futures.
The derivative report provides an analysis of the Indian derivatives market on October 19, 2010. It summarizes that the Nifty futures open interest increased by 2.65% while the Minifity interest decreased by 6.74%. It also notes that implied volatility decreased and certain stocks like GSPL and RELMEDIA saw increased options open interest. The report further provides commentary on specific stocks and strategies, and details on FII positions and turnover in the derivatives market.
The document provides a summary of derivative market activity in India for June 24, 2010. It notes that open interest for Nifty futures increased by 9.31% while the implied volatility of at-the-money options rose. Specific stocks that saw increases or decreases in open interest are also mentioned. The put-call ratio for various stocks is provided. Finally, the status of previous derivative strategies is reviewed.
Derivatives Report - September 22, 2010Angel Broking
The document provides a summary of derivative market activity in India for September 22, 2010. It notes that open interest for Nifty futures decreased by 2.74% while Minifity futures decreased by 5.82% as the market closed at 6009.05. Implied volatility of at-the-money options increased from 16% to 18%. Few stocks where cost-of-carry is positive are listed. Significant short positions exist in PATNI and it is advisable to trade SAIL with a negative bias.
The document provides a summary of derivative market activity in India for July 27, 2010. Key points include:
- Open interest for Nifty and Mini Nifty futures decreased by 4.23% and 4.53% respectively as the market closed at 5418.60.
- Nifty July futures closed at a premium while August futures closed at a higher premium.
- Total open interest in the market was Rs. 1,70,070cr with stock futures open interest at Rs. 44,921cr.
- Notable gainers in open interest included Maruti, Indian Bank, and CESC while losers included Lupin, Allahabad Bank, and APL Apollo Tubes.
The document provides a summary of derivative market activity in India for August 20, 2010. Key points include:
- Open interest for Nifty futures increased 3.31% while Mini Nifty futures increased 18.91% as the market closed at 5540.20.
- Nifty August futures closed at a discount of 12.50 points.
- Implied volatility of at-the-money options decreased from 13% to 12%.
- Total open interest in the market was Rs. 1,88,226cr with stock futures open interest at Rs.51,756cr.
- The open interest for Nifty futures decreased by 6.04% while the open interest for Minifity futures decreased by 1.88% as the market closed at 5296.85 levels.
- The July Nifty future closed at a premium of 12.60 points and the August future closed at a premium of 16.20 points. The PCR-OI remained at the same level of 1.29 points.
- The implied volatility of at-the-money options decreased from 19.55% to 18%.
- The open interest in Nifty futures increased by 1% while Minifity futures decreased by 0.6% as the market closed at 5415.45 levels.
- Nifty September futures closed at a premium of 10.75 points while October futures closed at a premium of 13.2 points.
- Implied volatility of at-the-money options decreased from 17.5% to 16.5%.
- CumminsIndia, Bosch, and PFC saw increases in open interest of over 20% while HCC, Suntv, and Canbk saw decreases of over 5%.
The key points from the document are:
1) Open interest in Nifty futures decreased slightly while open interest in Minifut futures decreased more sharply as the market closed lower.
2) Put-call ratio increased from 1.20 to 1.32 as implied volatility rose slightly.
3) FIIs were net buyers in the cash segment and formed short positions in index futures.
The derivative report provides an analysis of the Indian derivatives market on October 19, 2010. It summarizes that the Nifty futures open interest increased by 2.65% while the Minifity interest decreased by 6.74%. It also notes that implied volatility decreased and certain stocks like GSPL and RELMEDIA saw increased options open interest. The report further provides commentary on specific stocks and strategies, and details on FII positions and turnover in the derivatives market.
The document provides a summary of derivative market activity in India for June 24, 2010. It notes that open interest for Nifty futures increased by 9.31% while the implied volatility of at-the-money options rose. Specific stocks that saw increases or decreases in open interest are also mentioned. The put-call ratio for various stocks is provided. Finally, the status of previous derivative strategies is reviewed.
Derivatives Report - September 22, 2010Angel Broking
The document provides a summary of derivative market activity in India for September 22, 2010. It notes that open interest for Nifty futures decreased by 2.74% while Minifity futures decreased by 5.82% as the market closed at 6009.05. Implied volatility of at-the-money options increased from 16% to 18%. Few stocks where cost-of-carry is positive are listed. Significant short positions exist in PATNI and it is advisable to trade SAIL with a negative bias.
The document provides a summary of derivative market activity in India for July 27, 2010. Key points include:
- Open interest for Nifty and Mini Nifty futures decreased by 4.23% and 4.53% respectively as the market closed at 5418.60.
- Nifty July futures closed at a premium while August futures closed at a higher premium.
- Total open interest in the market was Rs. 1,70,070cr with stock futures open interest at Rs. 44,921cr.
- Notable gainers in open interest included Maruti, Indian Bank, and CESC while losers included Lupin, Allahabad Bank, and APL Apollo Tubes.
The document provides a summary of derivative market activity in India for October 20, 2010. It notes that open interest for Nifty futures decreased while open interest for Minifity futures increased. The Nifty October future closed at a premium while the November future also closed at a premium. Implied volatility of at-the-money options increased. Several stocks saw increases and decreases in open interest. The document also provides analysis of bullish and bearish option strategies and reviews open derivative positions.
The document provides a summary of derivative market activity in India for June 10, 2010. It notes that open interest for Nifty futures decreased slightly while open interest for Minifty futures decreased more sharply. Some individual stocks saw increases in open interest like Hindalco and declines like GMDCLTD. Implied volatility for at-the-money options decreased. FII activity showed net buying in index futures and stock futures.
The key points from the document are:
1) Nifty futures open interest increased slightly while Minifutures interest decreased significantly. The Nifty closed at a discount and implied volatility decreased.
2) Several stocks saw increases in open interest like JISLJALEQS, EDUCOMP, and GAIL. Others like FEDERALBNK and BGRENERGY saw decreases.
3) The put-call ratio decreased slightly and historical volatility remained high for some stocks like ONGC and EDUCOMP.
4) Various trading strategies are mentioned like bull-call spreads, bear-put spreads, and updates on previous recommendations.
The open interest in Nifty futures decreased by 1.64% while the open interest in Mini Nifty futures decreased by 14.88% as the market closed at 5262.45 levels. Put-call ratio increased slightly to 1.17. Some stocks saw an increase in open interest such as ASIANPAINT, EDUCOMP, OPTOCIRCUI, and TECHM, while others such as INDIANB, SIEMENS, MCLEODRUSS, and SCI saw a decrease. Bullish and bearish option strategies on Nifty are presented for April series.
The derivative report summarizes developments in the Indian derivatives market on August 17, 2010. Open interest in Nifty futures increased slightly while decreasing for MiniNifty futures. The Nifty August future was at a discount while the September future was at a premium. Implied volatility and total open interest in the market increased. Specific stocks like Cairn, Sesa Goa, and Alkem saw large increases in open interest while others like Petronet and Minifity saw decreases. FII activity and option strategies are also summarized.
The document provides a summary of derivative market activity in India for August 05, 2010. Key points include:
- Open interest for Nifty futures increased 3.71% while for Minifity futures it rose 15.55% as the market closed at 5467.85.
- Nifty August futures closed at a discount of 7.65 points and September futures at a discount of 3.20 points.
- Total open interest in the market was Rs. 1,40,468 crore with stock futures open interest at Rs. 42,614 crore.
- SOBHA, SRTRANSFIN, and PUNJLLOYD saw increases in open interest of over 10
The document provides a summary of derivative market activity in India for June 09, 2010. It notes that open interest in Nifty futures increased by 6.29% while Minifity futures open interest decreased by 18.44%. Implied volatility of at-the-money options increased from 26% to 27%. Some individual stocks saw increases in open interest over 50% while others saw decreases between 11-16%. The document also provides commentary on specific stocks and strategies for traders to consider.
The summary provides an overview of key information from the derivative report on the Indian market from March 26, 2010:
- Nifty futures open interest increased 4.24% while Minifty futures open interest rose 5.90% as the market closed at 5260.40.
- The PCR-OI for Nifty increased from 1.67 to 1.80. Implied volatility of at-the-money options rose from 15% to 16.50%.
- Significant short positions exist in stocks like HINDPETRO and most short positions have been rolled over. Support at Rs295-300 may lead to a bounce back.
- FII were net buyers of Rs.653cr in
The derivative report provides an analysis of the derivatives market in India on April 09, 2010. It summarizes that open interest in Nifty futures decreased by 1.05% while open interest in Minifutures decreased by 16.99%. The report also lists top gainers and losers in terms of changes in open interest, provides analysis of various spreads trades, and recaps open derivative strategies and their current status.
The document provides a summary of derivative market activity in India for June 28, 2010. It notes that open interest for Nifty futures decreased by 29.67% due to contract expiry, while the Nifty closed at 5269.05 levels. Put-call ratios decreased and implied volatility was 18%. Some individual stocks saw increases or decreases in open interest. Analysts provide comments on expected market movements and strategies such as bull-call spreads and bear-put spreads.
This document provides a summary of derivative market activity in India on April 19, 2010. Key points include:
- Open interest in Nifty futures decreased slightly while open interest in Mini Nifty futures decreased more sharply.
- The PCR for Nifty is currently 1.24.
- Some stocks with positive cost of carry include STERLINBIO, SCI, TTML, GTLINFRA and MTNL.
- FII data shows a net sell in index futures and stock futures, while volatility is decreasing across many stocks.
The document is a derivatives report from India Research dated May 03, 2010. It provides the following key information:
1) The Nifty and Mini Nifty futures open interest decreased by 20.08% and 26.75% respectively due to contract expiry. The market closed at 5278 levels.
2) Certain stocks like ASHOKLEY, BGRENERGY, and ADANIENT saw increases in open interest, while stocks like CROMPGREAV, NAGARCONST, and ZEEL saw decreases in open interest.
3) FIIs were net buyers of Rs. 356 crore in the cash market segment and have formed long positions in stock futures. Global cues are weak and
The document provides a summary of derivative market activity in India as of September 13, 2010. Key points include:
- Open interest in Nifty and Mini Nifty futures increased between 3-5% as the markets closed at 5640.05.
- Nifty September futures closed at a discount of 8.20 points while October futures closed at a discount of 3.15 points.
- Total open interest in the market was Rs. 1,90,183 crore with stock futures open interest at Rs. 50,452 crore.
- Voltas, Ashok Leyland, and BankIndia saw open interest increases over 15% while Opto Circuits, Ultratech C
The document provides a summary of derivative trading activity in India for April 20, 2010. It notes that open interest for Nifty futures increased slightly while open interest for Minifutures decreased. It also provides details on specific derivative contracts that saw increases or decreases in open interest. Additionally, it analyzes positions and activity in specific stocks and indexes and provides commentary on signals from options data and recommendations for trades.
The July 1, 2010 derivative report from India Research provides the following key points:
- The Nifty futures' open interest increased 5.53% while Mini Nifty increased 16.3% as the market closed at 5312.50. PCR-OI increased from 1.26 to 1.30. Implied volatility of at-the-money options increased from 18% to 19%.
- Notable OI gainers were SUNTV, IOC, DISHTV and DABUR. OI losers included PFC, OPTOCIRCUI, SAMRUDDHI and KOTAKBANK.
- FII were net buyers of Rs. 540.02
The document provides a summary of derivative market activity in India as of June 30, 2010. Key points include:
- Nifty futures open interest increased 1.72% while Mini Nifty interest decreased 16.07% as the market closed at 5256.15.
- The Nifty July future closed at a premium of 10.30 points and the August future at a premium of 10.75 points.
- Implied volatility of at-the-money options increased from 18% to 19%.
- Total open interest in the market was Rs. 1,14,659 crore with stock futures open interest at Rs. 33,488 crore.
- Some stocks with positive cost of carry included
- The open interest for Nifty futures decreased by 5.96% while Minifty futures decreased by 9.95% as the market closed at 6177.35.
- The Nifty October future closed at a premium of 20.15 points compared to 39.95 points in the previous session, while the November future closed at a premium of 39 points.
- The PCR-OI for the market decreased from 1.39 to 1.35.
The derivative report summarizes developments in the Indian derivatives market on August 25, 2010. Open interest in Nifty futures increased by 1.64% while open interest in Minifity futures decreased by 8.09%. The Nifty August future closed at a premium while the September future closed at a higher premium. Key put-call ratios and historical volatilities are also mentioned. Some stocks that saw significant changes in open interest are highlighted.
The summary discusses the Indian derivatives market activity for July 14, 2010. Open interest for Nifty futures increased by 2.49% while Minifity futures increased by 9.12%. Nifty July futures closed at a premium while August futures closed at a higher premium. Put-call ratios increased slightly. Implied volatility decreased. Several stocks saw significant changes in their open interest such as increases for PFC, JINDALSWHL, and decreases for CROMPGREAV. The document provides analysis of spreads, historical volatility, and previous trading strategies.
- The open interest for Nifty futures decreased by 1.45% while Minifty futures decreased by 10.73% as the market closed at 6101.50 levels.
- Nifty October future closed at a premium of 33.65 points, while November future closed at a premium of 57.45 points. The PCR-OI increased from 1.18 to 1.27.
- Implied volatility of at-the-money options decreased from 19.50% to 18%. Total open interest of the market is Rs. 1,88,691cr and stock futures open interest is Rs. 53,447cr.
Derivatives Report - September 27, 2010Angel Broking
The document provides a summary of derivative market activity in India for September 27, 2010. It notes that open interest for Nifty futures increased slightly while open interest for Mini Nifty futures increased more significantly. The Nifty September future closed at a premium. Implied volatility for at-the-money options decreased. Specific stocks that saw increases in open interest included SOBHA, FINANTECH, and JINDALSWHL. Stocks with decreases in open interest included IDEA, ZEEL, and HINDZINC. The document also provides details on FII positions, turnover, volatility levels for various stocks, suggested trading strategies, and open derivative strategies.
- The open interest for Nifty futures increased 10.05% while for Minifity futures it rose 10.97% as the market closed at 6233.90.
- Nifty October futures closed at a premium of 39.95 points while November futures closed at a premium of 58.95 points.
- Implied volatility of at-the-money options decreased from 17.25% to 16.75%.
- FIIs were net sellers in the index futures and continued to form short positions in stock futures while being net buyers in the cash market.
The document provides a summary of derivative market activity in India for October 20, 2010. It notes that open interest for Nifty futures decreased while open interest for Minifity futures increased. The Nifty October future closed at a premium while the November future also closed at a premium. Implied volatility of at-the-money options increased. Several stocks saw increases and decreases in open interest. The document also provides analysis of bullish and bearish option strategies and reviews open derivative positions.
The document provides a summary of derivative market activity in India for June 10, 2010. It notes that open interest for Nifty futures decreased slightly while open interest for Minifty futures decreased more sharply. Some individual stocks saw increases in open interest like Hindalco and declines like GMDCLTD. Implied volatility for at-the-money options decreased. FII activity showed net buying in index futures and stock futures.
The key points from the document are:
1) Nifty futures open interest increased slightly while Minifutures interest decreased significantly. The Nifty closed at a discount and implied volatility decreased.
2) Several stocks saw increases in open interest like JISLJALEQS, EDUCOMP, and GAIL. Others like FEDERALBNK and BGRENERGY saw decreases.
3) The put-call ratio decreased slightly and historical volatility remained high for some stocks like ONGC and EDUCOMP.
4) Various trading strategies are mentioned like bull-call spreads, bear-put spreads, and updates on previous recommendations.
The open interest in Nifty futures decreased by 1.64% while the open interest in Mini Nifty futures decreased by 14.88% as the market closed at 5262.45 levels. Put-call ratio increased slightly to 1.17. Some stocks saw an increase in open interest such as ASIANPAINT, EDUCOMP, OPTOCIRCUI, and TECHM, while others such as INDIANB, SIEMENS, MCLEODRUSS, and SCI saw a decrease. Bullish and bearish option strategies on Nifty are presented for April series.
The derivative report summarizes developments in the Indian derivatives market on August 17, 2010. Open interest in Nifty futures increased slightly while decreasing for MiniNifty futures. The Nifty August future was at a discount while the September future was at a premium. Implied volatility and total open interest in the market increased. Specific stocks like Cairn, Sesa Goa, and Alkem saw large increases in open interest while others like Petronet and Minifity saw decreases. FII activity and option strategies are also summarized.
The document provides a summary of derivative market activity in India for August 05, 2010. Key points include:
- Open interest for Nifty futures increased 3.71% while for Minifity futures it rose 15.55% as the market closed at 5467.85.
- Nifty August futures closed at a discount of 7.65 points and September futures at a discount of 3.20 points.
- Total open interest in the market was Rs. 1,40,468 crore with stock futures open interest at Rs. 42,614 crore.
- SOBHA, SRTRANSFIN, and PUNJLLOYD saw increases in open interest of over 10
The document provides a summary of derivative market activity in India for June 09, 2010. It notes that open interest in Nifty futures increased by 6.29% while Minifity futures open interest decreased by 18.44%. Implied volatility of at-the-money options increased from 26% to 27%. Some individual stocks saw increases in open interest over 50% while others saw decreases between 11-16%. The document also provides commentary on specific stocks and strategies for traders to consider.
The summary provides an overview of key information from the derivative report on the Indian market from March 26, 2010:
- Nifty futures open interest increased 4.24% while Minifty futures open interest rose 5.90% as the market closed at 5260.40.
- The PCR-OI for Nifty increased from 1.67 to 1.80. Implied volatility of at-the-money options rose from 15% to 16.50%.
- Significant short positions exist in stocks like HINDPETRO and most short positions have been rolled over. Support at Rs295-300 may lead to a bounce back.
- FII were net buyers of Rs.653cr in
The derivative report provides an analysis of the derivatives market in India on April 09, 2010. It summarizes that open interest in Nifty futures decreased by 1.05% while open interest in Minifutures decreased by 16.99%. The report also lists top gainers and losers in terms of changes in open interest, provides analysis of various spreads trades, and recaps open derivative strategies and their current status.
The document provides a summary of derivative market activity in India for June 28, 2010. It notes that open interest for Nifty futures decreased by 29.67% due to contract expiry, while the Nifty closed at 5269.05 levels. Put-call ratios decreased and implied volatility was 18%. Some individual stocks saw increases or decreases in open interest. Analysts provide comments on expected market movements and strategies such as bull-call spreads and bear-put spreads.
This document provides a summary of derivative market activity in India on April 19, 2010. Key points include:
- Open interest in Nifty futures decreased slightly while open interest in Mini Nifty futures decreased more sharply.
- The PCR for Nifty is currently 1.24.
- Some stocks with positive cost of carry include STERLINBIO, SCI, TTML, GTLINFRA and MTNL.
- FII data shows a net sell in index futures and stock futures, while volatility is decreasing across many stocks.
The document is a derivatives report from India Research dated May 03, 2010. It provides the following key information:
1) The Nifty and Mini Nifty futures open interest decreased by 20.08% and 26.75% respectively due to contract expiry. The market closed at 5278 levels.
2) Certain stocks like ASHOKLEY, BGRENERGY, and ADANIENT saw increases in open interest, while stocks like CROMPGREAV, NAGARCONST, and ZEEL saw decreases in open interest.
3) FIIs were net buyers of Rs. 356 crore in the cash market segment and have formed long positions in stock futures. Global cues are weak and
The document provides a summary of derivative market activity in India as of September 13, 2010. Key points include:
- Open interest in Nifty and Mini Nifty futures increased between 3-5% as the markets closed at 5640.05.
- Nifty September futures closed at a discount of 8.20 points while October futures closed at a discount of 3.15 points.
- Total open interest in the market was Rs. 1,90,183 crore with stock futures open interest at Rs. 50,452 crore.
- Voltas, Ashok Leyland, and BankIndia saw open interest increases over 15% while Opto Circuits, Ultratech C
The document provides a summary of derivative trading activity in India for April 20, 2010. It notes that open interest for Nifty futures increased slightly while open interest for Minifutures decreased. It also provides details on specific derivative contracts that saw increases or decreases in open interest. Additionally, it analyzes positions and activity in specific stocks and indexes and provides commentary on signals from options data and recommendations for trades.
The July 1, 2010 derivative report from India Research provides the following key points:
- The Nifty futures' open interest increased 5.53% while Mini Nifty increased 16.3% as the market closed at 5312.50. PCR-OI increased from 1.26 to 1.30. Implied volatility of at-the-money options increased from 18% to 19%.
- Notable OI gainers were SUNTV, IOC, DISHTV and DABUR. OI losers included PFC, OPTOCIRCUI, SAMRUDDHI and KOTAKBANK.
- FII were net buyers of Rs. 540.02
The document provides a summary of derivative market activity in India as of June 30, 2010. Key points include:
- Nifty futures open interest increased 1.72% while Mini Nifty interest decreased 16.07% as the market closed at 5256.15.
- The Nifty July future closed at a premium of 10.30 points and the August future at a premium of 10.75 points.
- Implied volatility of at-the-money options increased from 18% to 19%.
- Total open interest in the market was Rs. 1,14,659 crore with stock futures open interest at Rs. 33,488 crore.
- Some stocks with positive cost of carry included
- The open interest for Nifty futures decreased by 5.96% while Minifty futures decreased by 9.95% as the market closed at 6177.35.
- The Nifty October future closed at a premium of 20.15 points compared to 39.95 points in the previous session, while the November future closed at a premium of 39 points.
- The PCR-OI for the market decreased from 1.39 to 1.35.
The derivative report summarizes developments in the Indian derivatives market on August 25, 2010. Open interest in Nifty futures increased by 1.64% while open interest in Minifity futures decreased by 8.09%. The Nifty August future closed at a premium while the September future closed at a higher premium. Key put-call ratios and historical volatilities are also mentioned. Some stocks that saw significant changes in open interest are highlighted.
The summary discusses the Indian derivatives market activity for July 14, 2010. Open interest for Nifty futures increased by 2.49% while Minifity futures increased by 9.12%. Nifty July futures closed at a premium while August futures closed at a higher premium. Put-call ratios increased slightly. Implied volatility decreased. Several stocks saw significant changes in their open interest such as increases for PFC, JINDALSWHL, and decreases for CROMPGREAV. The document provides analysis of spreads, historical volatility, and previous trading strategies.
- The open interest for Nifty futures decreased by 1.45% while Minifty futures decreased by 10.73% as the market closed at 6101.50 levels.
- Nifty October future closed at a premium of 33.65 points, while November future closed at a premium of 57.45 points. The PCR-OI increased from 1.18 to 1.27.
- Implied volatility of at-the-money options decreased from 19.50% to 18%. Total open interest of the market is Rs. 1,88,691cr and stock futures open interest is Rs. 53,447cr.
Derivatives Report - September 27, 2010Angel Broking
The document provides a summary of derivative market activity in India for September 27, 2010. It notes that open interest for Nifty futures increased slightly while open interest for Mini Nifty futures increased more significantly. The Nifty September future closed at a premium. Implied volatility for at-the-money options decreased. Specific stocks that saw increases in open interest included SOBHA, FINANTECH, and JINDALSWHL. Stocks with decreases in open interest included IDEA, ZEEL, and HINDZINC. The document also provides details on FII positions, turnover, volatility levels for various stocks, suggested trading strategies, and open derivative strategies.
- The open interest for Nifty futures increased 10.05% while for Minifity futures it rose 10.97% as the market closed at 6233.90.
- Nifty October futures closed at a premium of 39.95 points while November futures closed at a premium of 58.95 points.
- Implied volatility of at-the-money options decreased from 17.25% to 16.75%.
- FIIs were net sellers in the index futures and continued to form short positions in stock futures while being net buyers in the cash market.
The document provides a derivative report on the Indian market from June 21, 2010. It summarizes that day's trading activity including noting a decrease in Nifty futures open interest. It also lists the top gainers and losers by open interest change and provides analysis on specific stocks. Historical volatility numbers and potential options strategies like spreads are mentioned. Prior recommended strategies are also summarized.
The key points from the document are:
1) The Nifty futures open interest increased 3.6% while the Minifutures open interest rose 2.9% as the market closed at 5215.45.
2) The April Nifty future closed at a premium of 1.25 points while the May future closed at a premium of 0.75 points.
3) The PCR-OI decreased from 1.38 to 1.24 as implied volatility rose for April and May series options.
4) Rollover for Nifty futures was 59.17% and for Minifutures was 52.52% while the overall market rollover was 65%.
This document summarizes derivative market activity in India for July 19, 2010. Open interest for Nifty futures increased 3.23% while open interest for Mini Nifty futures rose 3.74%. The Nifty July future closed at a premium of 4.35 points. Implied volatility of at-the-money options increased from 16.50% to 17%. Total open interest in the market was Rs. 1,54,341 crore with stock futures open interest at Rs. 41,875 crore. PFC, GTL, STERLINBIO, FSL and ISPATIND were liquid counters with positive cost-of-carry.
Derivatives Report - September 20, 2010Angel Broking
The document provides a summary of derivative market activity in India for September 20, 2010. It notes that open interest for Nifty futures decreased slightly while increasing for Mini Nifty futures. The put-call ratio also decreased. Some individual stocks like NEYVELILIG and DIVISLAB saw increased open interest and potential for price increases. The document also provides analysis of volatility and strategies like bull-call spreads and bear-put spreads.
The Nifty futures open interest decreased by 28.45% while the Minifity futures open interest decreased by 13.34% as the market closed at 6143.40. The Nifty October future closed at a premium of 32.90 points against a premium of 10.85 points in the previous session, while the November future closed at a premium of 44.20 points. The PCR-OI decreased from 2.00 to 1.36. FIIs were net buyers of Rs. 1,825 crores in the cash market segment and significant build up was seen in the 6200 and 6300 call option series.
The document provides a summary of derivative market activity in India for April 05, 2010. Key points include:
- Nifty futures open interest increased 0.95% while Mini Nifty increased 14.11% as the market closed at 5290.50
- Nifty April futures closed at a premium of 16.30 points and May futures at a premium of 21.65 points
- The total open interest in the market is Rs. 1,00,843 crore with stock futures open interest at Rs. 33,108 crore.
The derivative report provides an analysis of the Indian derivatives market for July 07, 2010. It summarizes that the Nifty futures open interest decreased by 1.29% while the Minifity futures open interest increased by 5%. Key gainers in open interest were Hexaware, IOB, and PNB. Key losers were Bosch, Samruddhi, and Ashok Leyland. The report also provides analysis of specific stocks and strategies, noting some trades such as long put positions in Reliance and put hedges in Nifty.
The document provides a derivative report for India from August 10, 2010. It summarizes key data points around Nifty futures, open interest, implied volatility, and top gainers and losers by open interest. It also provides analysis on specific stocks and strategies, and discloses Angel Broking's positions in various calls and put spreads.
Derivatives Report - September 24, 2010Angel Broking
The document provides a derivative report on the Indian market from September 24, 2010. It summarizes that the Nifty and Minifity futures open interest decreased while the Nifty September future closed at a premium. The total derivatives market open interest is Rs. 2,12,938 crores. A few stocks have positive cost of carry including APOLLOTYRE, DABUR and JINDALSWHL. The report also provides analysis on specific stocks, option strategies and FIIs trading activity.
The document provides a summary of derivative market activity in India for August 19, 2010. It notes that open interest for Nifty futures increased 2.14% while Minifutures increased 26.29%. The Nifty August future closed at a premium of 3.90 points. Put-call ratios for Nifty increased to 1.57. Implied volatility of at-the-money options decreased. Total open interest in the market was Rs. 1,80,788 crore with stock futures open interest at Rs. 50,692 crore. FIIs were net buyers of Rs. 675 crore in the cash market.
The derivative report provides an analysis of the derivatives market activity and key trends on August 19, 2010. Open interest in Nifty futures increased 2.14% while Minifity futures increased 26.29%. The report also covers put-call ratios, open interest gainers and losers, volatility analysis and recommended trading strategies.
The Nifty futures open interest decreased slightly while the Minifuties open interest decreased more sharply as the market closed at 5304.10. The implied volatility of at-the-money options has decreased. Some stocks with positive cost of carry include KFA, JPPOWER, HOTELEELA, FSL and IOC. FIIs were net buyers of stocks and continued to form long positions in stock futures.
The derivative report provides a summary of developments in the Indian derivatives market on May 20, 2010. It notes that open interest in Nifty futures increased by 6.31% while open interest in Minifutures increased by 40.12%. Put-call ratios decreased for most stocks while implied volatility increased. FIIs were net sellers in the cash market. The report also provides analysis of specific options strategies and their status.
The derivative report provides an analysis of the Indian derivatives market for October 1, 2010. Open interest in Nifty futures increased 2.8% while open interest in Mini Nifty futures rose 1.76%. Nifty October futures closed at a premium of 3.55 points. Put-call ratios increased for several stocks and indices including Nifty and Bank Nifty. Significant positions were observed in 6000 strike call and put options for the October series.
This document provides a summary of derivative trading activity in India for June 15, 2010. Open interest for Nifty futures increased by 1.69% while open interest for Minifity futures increased by 15.77%. The Nifty June future closed at a premium while the July future closed at a premium of 2.60 points. Some stocks saw increases in open interest like Unitech (23.69%), Polaris (14.81%), and Cummins (14.44%) while others saw decreases like Dr. Reddy's (11.53%), GMDC (-8.81%), and Tech Mahindra (-8.28%). Put-call ratios and historical volatility are also reported for various stocks.
The document provides a derivative report for India from September 7, 2010. It summarizes key metrics like open interest for various indices and stocks. It notes the Nifty futures open interest increased 3.68% while the minimum futures increased 32.08%. It also provides analysis on implied volatility, put-call ratios, and recommendations for certain derivative strategies.
The Indian markets are expected to open higher, tracking gains in most Asian markets. Spain has asked for a bailout of up to €100 billion for its banking system. Chinese exports grew more than expected in May. In India, shares extended gains for a fifth session despite weak global cues as major central banks held off on additional stimulus. The key support and resistance levels for the Nifty are 5,023 and 5,114 respectively. L&T has bagged orders worth Rs. 483 crore to build commercial vessels in Qatar. Vedanta Resources has acquired a 24.5% stake in Raykal Aluminium for Rs. 201 crore.
Axis Bank reported a 27.0% year-over-year increase in net profit to Rs. 942 crore for the first quarter of fiscal year 2012, in line with analyst estimates. Business growth momentum slowed as advances declined 7.4% quarter-over-quarter and deposits fell 3.0% quarter-over-quarter, moderating the bank's cash-deposit ratio to 40.5% from 41.1% last quarter. However, asset quality remained healthy with slippage ratio declining to 0.8% and gross and net NPA ratios stable.
1) For 1QFY2012, Electrosteel Castings reported 16.4% sales growth but margins declined due to higher raw material costs. EBITDA fell 18.2% and net profit declined 7.2%.
2) While sales volumes grew, costs increased more due to a rise in raw material costs as a percentage of sales.
3) The company maintains a buy recommendation due to initiatives in steelmaking and backward integration that should lower costs starting in FY2013 and valuation remains attractive.
1) For 1QFY2012, Persistent Systems reported revenues of ₹224 crore, up 5.2% over the previous quarter and 23.6% over the same period last year.
2) EBITDA was ₹40 crore, up 5.3% over the previous quarter but margins declined.
3) PAT was ₹28 crore, down 16.8% over the previous quarter due to higher taxes.
4) Management maintained revenue guidance of 29% growth for FY2012 and expects PAT to remain flat despite higher tax rates.
HT Media reported a 22.7% year-over-year increase in revenue to ₹494 crore for the first quarter of FY2012. Revenue was also up 5.8% quarter-over-quarter. Advertising revenue grew 17% year-over-year, with 18% growth in English and 15% growth in Hindi. Operating profit rose 11.8% year-over-year to ₹87.8 crore due to higher other income and lower tax rates, although operating margins contracted by 174 basis points. The company maintained its Accumulate rating based on expectations of continued revenue growth and margin expansion.
The summary is:
1) The derivative report analyzes the performance of the Nifty futures, options, and key stocks from the previous trading session on July 18, 2011.
2) It provides details on changes in open interest, premium levels, volatility, and turnover for various derivatives contracts.
3) Trading strategies and technical analysis is also given for some stocks along with risk-reward profiles of sample spreads trades for the Nifty.
The market ended lower, with the Sensex and Nifty closing down 0.3%. Mid- and small-cap indices closed higher. Select heavyweights like Hindalco Industries and BHEL gained 1-3%, while TCS and Tata Motors lost 1-2%. In corporate news, Motherson Sumi Systems agreed to acquire an 80% stake in Peguform for €141.5 million. HDFC Bank, Cadila Healthcare, Crompton Greaves, and Ashok Leyland are scheduled to announce their quarterly results. The trend for the day will be decided by whether Nifty trades above or below the levels of 18,533/5,572 in early trade.
- GSM subscriber additions in India continued their declining trend in June 2011, with net additions of 9.6 million, down 10% from the previous month.
- All major operators except BSNL reported a drop in subscriber additions. Bharti and Vodafone each added 2.1 million subscribers.
- The total GSM subscriber base reached 598.8 million in June 2011, with Bharti, Vodafone, Idea and BSNL maintaining their major market shares.
The document provides a technical analysis of the Indian stock market indices Sensex and Nifty for the week of July 16, 2011. It summarizes that the indices declined over 1.5% for the week and are currently trading in a range between 18,326/5496 on the downside and 19,132/5740 on the upside. It notes that a break above or below this range would dictate the direction of the upcoming trend. The analysis also lists pivot levels for 50 Nifty stocks to watch in the coming week.
The document provides a summary of derivative market activity in India for July 18, 2011. Key points include:
- Nifty futures open interest increased 0.67% while Mini Nifty increased 3.48% as the market closed at 5581.10
- Nifty July futures closed at a premium of 5.85 points and August futures at a premium of 22.60 points
- Implied volatility of at-the-money options decreased from 18% to 17.3%
- Total open interest in the market was Rs. 135,158 crore with stock futures open interest at Rs. 34,675 crore.
The indices opened flat but traded choppily throughout the day. Metal, auto and realty stocks declined while IT stocks gained. The indices are currently trading in a range between 18,326-18,810/5496-5653 on the downside and 19,132-19,094/5740-5700 on the upside. A break above these resistance levels could lead to further gains while a break below support could result in losses extending to 17,805-17,950/5350-5400. Pivot levels for 50 Nifty stocks are provided.
- The key Indian stock indices declined slightly, with the Sensex and Nifty closing down 0.3%.
- GSM subscriber additions in India continued their declining trend in June across most major operators such as Idea, Bharti Airtel, and Vodafone. Total GSM subscriber addition was 9.6 million, down 10% from the previous month.
- Tata Motors reported flat annual global sales growth in June 2011 compared to the previous year.
- South Indian Bank reported a 41.2% year-over-year increase in net profit to Rs. 82 crores for the first quarter of fiscal year 2012, slightly below analyst estimates.
- Business growth remained strong, with advances growth of 31.2% and deposits growth of 35.5% year-over-year. However, net interest margins compressed by 29 basis points sequentially to 2.8% due to a sharp rise in the bank's cost of deposits.
- Non-interest income was boosted by treasury gains, but fee income growth was modest. Asset quality was stable with gross and net NPAs rising marginally, and provision coverage at a comfortable 73.1%.
Bajaj Auto reported marginally lower-than-expected results for the first quarter of fiscal year 2012, with net sales growth of 22.8% year-over-year driven by a 17.7% increase in volumes. However, operating margins contracted by 145 basis points quarter-over-quarter to 19.1% due to a 150 basis point increase in raw material costs. As a result, net profit grew by 20.5% year-over-year to ₹711 crore, which was slightly below analyst estimates. Going forward, the analyst expects further margin pressure and has revised downward its earnings estimates for fiscal years 2012 and 2013 to factor in higher raw material costs and changes to export incentives.
1) Tata Consultancy Services (TCS) reported strong results for the first quarter of fiscal year 2012, outperforming expectations with revenue growth of 6.3% over the previous quarter and 31.4% over the same quarter of the previous fiscal year.
2) A key highlight was 7.4% quarter-over-quarter growth in business volumes. While profit margins declined due to wage hikes, net profit remained flat due to foreign exchange gains.
3) Management maintained a positive outlook, highlighting strong demand environment and deal pipeline, and expects pricing increases later in the fiscal year.
The document summarizes the Indian stock market outlook and performance on July 15, 2011. It reports that domestic indices closed with modest gains of 0.1-0.4%, while global indices declined. Wholesale price inflation in India rose to 9.44% in June 2011, above estimates and persisting above 9% for seven months, driven by increases in primary articles and fuel costs. Key benchmark levels are identified for determining if the market may continue rallying or correct in the near term.
The summary is:
1) The derivative report analyzes the movement in Nifty futures, options, and individual stocks between July 14-15, 2011.
2) Nifty futures open interest decreased while mini Nifty open interest increased as the market closed at 5599.80.
3) Implied volatility of at-the-money options increased from 17.6% to 18%.
The Sensex and Nifty indices opened lower and traded with volatility, closing marginally lower. On the sectoral front, Realty, Banks and Healthcare gained while IT and FMCG fell. The advance-decline ratio favored advancing stocks. On the daily chart, prices tested but did not close above the downward gap area of 18,679-18,589/5,601-5,580 levels. Immediate resistance is seen at 18,735/5,633, while 18,449/5,541 is crucial support.
1) Infosys reported modest revenue growth of 3.2% qoq for 1QFY2012. EBITDA and margins declined due to wage hikes.
2) Guidance for 2QFY2012 revenue growth was lower than expected at 3.5-5% qoq. Annual revenue growth guidance was unchanged.
3) The analyst revised EPS estimates down and cut the target price to INR 3,200 due to macro concerns and muted guidance.
This document summarizes a derivative report from India Research dated July 13, 2011. Some key points:
- The Nifty futures open interest increased 0.51% while Minifty futures open interest rose 8.2% as the market closed at 5526.15.
- Implied volatility of at-the-money options increased from 18% to 19.75%. PCR-OI decreased from 1.20 to 1.15.
- Total open interest of the market is Rs. 125,816 crore and stock futures open interest is Rs. 33,500 crore.
- FII were net sellers of Rs. 969 crore in the cash market segment. Put-call
1. Derivative Report
India Research
May 27, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest decreased by 8.26%,
while, Minifty futures open interest decreased by
16.72%, as market closed at 4917.40 levels.
The Nifty May future closed at a discount of 0.35
points, as against a premium of 2.60 points in the last
trading session, while the June future closed at a
discount of 13.25 points.
The PCR-OI has decreased from 0.99 to 0.78 points.
The Implied volatility of At-the-money options
decreased from 31.50% to 29.00%.
Rollover for the Nifty Futures is 52.05% and market
wide rollover is 60.96%.
The total open interest of the market is Rs1,54,207cr
of which Stock futures’ open interest is Rs35,452cr.
Some liquid counters were cost of carry is positive are
IDEA, STERLINBIO, UNIPHOS, STER and EDUCOMP.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE Yesterday, significant short covering was visible in
(%) (%) most of the stocks. FIIs also covered some of their
HINDZINC 573000 17.36 931.95 0.71
short positions in the Index futures and the Stock
futures, still minor selling of Rs167cr was visible in
INDHOTEL 5311826 16.33 98.65 -3.00 the cash market segment.
CANBK 1304500 12.56 391.10 -1.77 A significant unwinding was visible in most of the
CUMMINSIND 308050 12.10 536.05 -1.33 call and the put options, yesterday. In June series
the 5100 call option and most of the out-of-money
RECLTD 4128150 10.38 277.95 4.00 put options added considerable open interest.
OI Losers In the last trading session, CANBK added
considerable open interest. The stock has
OI PRICE
immediate support around current levels. Day
SCRIP OI CHANGE PRICE CHANGE
(%) (%)
traders can use negative opening around Rs386
level to trade with positive bias for the target price
GRASIM 101000 -74.06 1838.80 -20.71 of Rs396-398.
HOTELEELA 4980500 -17.72 45.60 3.40 Some liquid counters where rollover is high are
MINIFTY 1786160 -16.72 4917.40 2.30 GTL, ADANIENT, LICHSGFIN, BHARATFORG and
BALRAMCHIN. Stocks were rollover is less are
PANTALOONR 1314950 -13.48 364.90 1.49 DCHL, CHENNPETRO, ANDHRABANK,
UNIPHOS 2216800 -13.30 167.70 5.50 STERLINBIO and, CIPLA.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 0.78 1.04 GRASIM 114.12
RELIANCE 0.20 0.34 TCS 39.16
BANKNIFTY 1.92 0.71 INFOSYSTCH 30.36
ICICIBANK 0.85 0.88 IDFC 54.64
RNRL 0.35 0.41 GMRINFRA 55.40
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2. Derivative Report | India Research
FII Statistics for 26-May-2010 Turnover on 26-May-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 1046038 24155.94 -20.73
8323.96 7129.88 1,194.08 741539 18139.38 -8.38
FUTURES
INDEX Stock Futures 1055283 30052.08 -5.28
6553.02 6747.85 (194.82) 2216104 54453.44 0.75
OPTIONS
STOCK Index Options 3024691 74544.16 -10.90
7040.72 5977.75 1,062.97 1044666 28899.35 -0.96
FUTURES
STOCK Stock Options 96649 3300.64 -12.26
162.59 244.29 (81.70) 54006 1637.03 1.68
OPTIONS
TOTAL 22080.29 20099.76 1,980.53 4056315 103129.20 -1.47 Total 5222661 132052.82 -11.74
Nifty Spot = 4917.40 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5000 109.30 Buy 4900 160.85
39.95 60.05 5039.95 36.75 63.25 4863.25
Sell 5100 69.35 Sell 4800 124.10
Buy 5000 109.30 Buy 4900 160.85
68.30 131.70 5068.30 65.45 134.55 4834.55
Sell 5200 41.00 Sell 4700 95.40
Buy 5100 69.35 Buy 4800 124.10
28.35 71.65 5128.35 28.70 71.30 4771.30
Sell 5200 41.00 Sell 4700 95.40
Note: Above mentioned Bullish or Bearish Spreads in Nifty (June 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
30-04-2010 RELCAPITAL Long Call Ladder Continue
30-04-2010 NAGARFERT Long Call Continue
08-05-2010 HINDUNILVR Short Strangle Profit booked on 21-05-2010
17-May-2010 CAIRN Long Put Profit booked on 20-05-2010
24-May-2010 MARUTI Long Call Continue
24-May-2010 STER Long Call Continue
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