Derivative Report
Jun 03, 2013
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 12.94%
while BankNifty futures open interest is increased by
5.33% as market closed at 5985.95 levels.
The Nifty Jun future closed at premium of 14.10 point
against a premium of 7.20 points. The July series closed
at a premium of 30.60 points.
The Implied Volatility of at the money options has
increased from 14.62% to 15.99%.
Nifty PCR-OI has decreased from 1.16 to 1.03 levels.
The total OI of the market is Rs. 1,07,670/- cr. and the
stock futures OI is Rs.28,460/- cr.
Few of the liquid counters where we have seen high cost
of carry are IVRCLINFRA, INDHOTEL, BATAINDIA, GAIL
and LUPIN.
View
OI Gainers
Friday’s fall was backed by good amount of selling
OI
PRICE
observed by FII’s in cash market segment; they were
SCRIP
OI
CHANGE
PRICE
CHANGE
net sellers in cash market segment worth of Rs.504/-
(%)
(%)
cr. On derivatives front significant amount of long
unwinding was observed by them in index futures,
GAIL
3932000
53.65
306.05
-3.60
while in index options some short covering was seen
SESAGOA
6878000
37.67
163.90
3.77
by them in Friday’s trading session.
OPTOCIRCUI
9268000
32.63
31.65
-39.07
On options front 6000-6300 call option has seen
LUPIN
2654000
24.66
737.70
-2.75
good amount of buildup in open interest. While in
put option 5800-5900 strike saw maximum buildup
HDIL
35424000
23.89
41.90
-10.43
in open interest and 6000-6100 put option has seen
some unwinding which was much of short covering in
OI Losers
Friday’s trade.
OI
PRICE
HINDPETRO has a very strong support at around
SCRIP
OI
CHANGE
PRICE
CHANGE
`280 levels and it has good amount of shorts
(%)
(%)
standing in it. With crude taking resistance at higher
INFY
2410125
-9.99
2411.70
3.32
levels the counter could see mix of short covering and
long buildup which could take the stock to around
ARVIND
3120000
-9.41
81.95
0.37
`296. Hence we recommend to go long with the stop
ASHOKLEY
9036000
-8.23
23.75
-2.26
loss of `275.
SUNTV
1680500
-8.14
416.25
-0.94
ADANIPORTS
2434000
-7.45
152.05
-1.55
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.03
1.07
OPTOCIRCUI
241.51
BANKNIFTY
1.01
1.00
IOB
46.78
SBIN
0.41
0.53
BANKBARODA
47.30
HINDUNILVR
0.87
0.97
ALBK
51.92
RELIANCE
0.42
0.58
VIJAYABANK
45.27
1
Derivative Report
Jun 03, 2013
Strategy Date
Symbol
Strategy
Status
Research Team Tel: 022 - 39357800
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