1. Derivative Report
India Research
April 28, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest increased by 1.35%,
while, Minifty futures open interest increased by
1.67%, as market closed at 5308.35 levels.
The Nifty April future closed at a premium of 0.70
points, as against a discount of 2.55 points in the last
trading session, while the May future closed at a
premium of 4.00 points.
The PCR-OI increased from 1.33 to 1.38 points.
The Implied volatility of At-the-money options has
increased from 17.50% to 19.00%.
Rollover for the Nifty Futures is 42.15% and for Minifty
Futures it is 39.91%. Market wide rollover is 47.35%.
The total open interest of the market is Rs1,38,651cr
of which Stock futures’ open interest is Rs40,491cr.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%) FIIs have formed short positions in the Index futures
and the Stock futures, but not in big way. Due to
CONCOR 32250 57.32 1394.3 -3.07 problem pertaining in Greece, world markets are
MARUTI 4275200 29.84 1283.3 -3.78 down. We may see a gap down opening more than
1%; the 5200 level may act as a support for the
POLARIS 2836400 20.60 180.65 -0.99 market, today.
UNIPHOS 3257800 19.33 149.35 0.47
Yesterday, unwinding was witnessed in most of the
APIL 231000 14.93 604.75 -1.18 call and put options. However, the 5300 put option
of May series added around 10,000 contracts.
OI Losers
Mainly long positions are standing in the banking
OI PRICE counters. After a gap down opening, BANKNIFTY
SCRIP OI CHANGE PRICE CHANGE may correct further around 9550 levels, due to
(%) (%) profit booking.
SYNDIBANK 3203400 -15.36 93.05 0.54 Some liquid stocks where rollover is high are GTL,
YESBANK 3867600 -13.23 275.60 -2.03 ADANIENT, GTLINFRA, BRFL and BHARATFORG.
Stocks where rollover is less are PETRONET,
INDIANB 1502600 -11.30 215.25 -2.07 UNIONBANK, GAIL, NAYVELILIG and STERLINBIO.
DRREDDY 934000 -10.64 1258.95 1.18
ISPATIND 89029950 -9.14 20.45 0.25
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.38 1.10 GMRINFRA 45.69
RELIANCE 0.25 0.31 MARUTI 31.78
BHARTIARTL 0.38 0.28 ONGC 23.33
INFOSYSTCH 0.75 0.57 POWERGRID 23.21
SUZLON 0.22 0.20 JPASSOCIAT 39.59
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2. Derivative Report | India Research
FII Statistics for 27-April-2010 Turnover on 27-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 601486 16008.59 42.25
6388.78 6591.65 (202.86) 548618 14759.28 3.53
FUTURES
INDEX Stock Futures 814874 27946.73 5.44
2245.39 1984.54 260.85 1709183 45404.96 1.66
OPTIONS
STOCK Index Options 1650871 43916.36 8.35
6796.94 6945.35 (148.41) 1000764 32844.49 0.18
FUTURES
STOCK Stock Options 96082 3676.18 -5.82
526.77 328.57 198.20 40469 1349.77 12.89
OPTIONS
TOTAL 15957.89 15850.11 107.78 3299034 94358.50 1.63 Total 3163313 91547.86 11.38
Nifty Spot = 5308.35 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 33.45 Buy 5200 5.05
30.30 69.70 5330.30 3.40 96.60 5196.60
Sell 5400 3.15 Sell 5100 1.65
Buy 5300 33.45 Buy 5200 5.05
32.55 167.45 5332.55 3.70 196.30 5196.30
Sell 5500 0.90 Sell 5000 1.35
Buy 5400 3.15 Buy 5100 1.65
2.25 97.75 5402.25 0.30 99.70 5099.70
Sell 5500 0.90 Sell 5000 1.35
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
26-April-2010 CAIRN Long Call Did not trigger
26-April-2010 PUNJLLYOD Long Call Continue
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