Derivative Report
May 31, 2013
Comments
Nifty Vs OI
The Nifty futures open interest decreased by
37.08%
while BankNifty futures open interest is decreased by
28.44% as market closed at 6124.05 levels.
The Nifty Jun future closed at premium of 7.20 point
against a premium of 6.10 points. The July series closed
at a premium of 14.60 points.
The Implied Volatility of at the money options has
decreased from 18.10% to 14.62%.
Nifty PCR-OI has decreased from 1.24 to 1.16 levels.
The total OI of the market is Rs. 1,04,148/- cr. and the
stock futures OI is Rs.28,295/- cr.
Few of the liquid counters where we have seen high cost
of carry are RENUKA, JISLALEQS,
INDHOTEL, NHPC
and CHAMBLEFERT.
View
OI Gainers
FII’s have formed fresh long positions in yesterday’s
OI
PRICE
segment and they continue to buy in cash market
SCRIP
OI
CHANGE
PRICE
CHANGE
segment. Surprisingly we have seen rise in open
(%)
(%)
interest in FII’s data on expiry day which is generally
not the case.
TATAGLOBAL
20892000
0.27
148.00
3.15
Call option activity is increasing in 6300 strike and
-
-
-
-
-
some interest is visible in 6400 too. In put options too
-
-
-
-
-
built-up has been scattered, 6000 strike is emerging
as a strong contender to be viewed as immediate
-
-
-
-
-
support level for the markets.
-
-
-
-
-
NMDC has been correcting from 130 odd levels and
has seen lot of addition of short positions. Stock has
OI Losers
found support around 116 levels and may continue
OI
PRICE
its bounce due to short covering. We suggest going
SCRIP
OI
CHANGE
PRICE
CHANGE
long in counter around 119-120 with stop loss of
(%)
(%)
116 and target of 129.
EXIDEIND
1046000
-46.25
138.35
-0.11
PETRONET
1650000
-45.04
143.05
0.11
ASIANPAINT
236875
-43.25
4913.60
1.92
ONGC
7953000
-43.22
333.90
-0.36
AXISBANK
3709250
-43.11
1432.70
-1.66
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.16
1.09
CIPLA
34.61
BANKNIFTY
0.74
0.80
M&M
38.00
SBIN
0.44
0.39
TATAMTRDVR
37.36
HINDUNILVR
0.93
0.59
TATAMOTORS
41.20
INFY
0.52
0.55
TATASTEEL
40.99
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Derivative Report
May 31, 2013
FII Statistics for 30-May-2013
Turnover on 30-May-2013
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
6894.07
5725.93
1168.14
681785
20939.20
7.49
6,46,935
19933.50
43.53
FUTURES
FUTURES
INDEX
INDEX
70,12,689
214608.78
46.59
17041.27
16657.94
383.33
1818940
55795.31
(5.99)
OPTIONS
OPTIONS
STOCK
STOCK
8064.68
8299.39
(234.71)
1264921
36334.27
3.58
12,51,501
35806.98
24.44
FUTURES
FUTURES
STOCK
STOCK
1194.07
921.67
272.40
111069
3126.04
(29.78)
4,33,100
12762.76
22.22
OPTIONS
OPTIONS
TOTAL
33194.09
31604.93
1589.16
3876715
116194.82
(1.82)
TOTAL
93,44,225
283112.02
41.91
Nifty Spot =6104.30
Lot Size = 50
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
6100
114.40
Buy
6100
89.25
47.20
52.80
6147.20
33.85
66.15
6066.15
Sell
Sell
6200
67.20
6000
55.40
Buy
Buy
6100
114.40
6100
89.25
78.30
121.70
6178.30
56.05
143.95
6043.95
Sell
6300
36.10
Sell
5900
33.20
Buy
6200
67.20
Buy
6000
55.40
31.10
68.90
6231.10
22.20
77.80
5977.80
Sell
6300
36.10
Sell
5900
33.20
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Jun. Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
May 31, 2013
Strategy Date
Symbol
Strategy
Status
29-Apr-2013
TCS
Bull Call Spread
Profit booked on 02-May-2013
06-May-2013
DLF
Bull Call Spread
Profit booked on 16-May-2013
13-May-2013
RELIANCE
Ratio Put Spread
Position squared off
20-May-2013
NIFTY
Ratio Call Spread
Loss on expiry
27-May-2013
BANKNIFTY
Long Call
Loss on expiry
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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