Derivative Report
Jun 04, 2013
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 6.40% while
BankNifty futures open interest is decreased by 1.41% as
market closed at 5939.30 levels.
The Nifty Jun future closed at premium of 19.90 point
against a premium of 14.10 points. The July series
closed at a premium of 33.40 points.
The Implied Volatility of at the money options has
increased from 15.99% to 16.42%.
Nifty PCR-OI has decreased from 1.03 to 0.98 levels.
The total OI of the market is Rs. 1,13,397/- cr. and the
stock futures OI is Rs.28,794/- cr.
Few of the liquid counters where we have seen high cost
of carry are ADANIPOWER, UNITECH, JSWENERGY,
GMRINFRA and HINDZINC.
View
OI Gainers
FII’s were net sellers in cash market segment,
OI
PRICE
however the quantum of selling was quite less; they
SCRIP
OI
CHANGE
PRICE
CHANGE
were net sellers worth of
`87/- cr. only. On
(%)
(%)
derivatives front again significant amount of long
unwinding was observed by them in index futures,
TATACOMM
3822000
15.82
195.15
-5.58
while in index options good amount of long buildup
FEDERALBNK
779000
13.31
458.50
1.96
was seen by them in yesterday’s trade.
WIPRO
3295500
13.15
324.95
-0.54
On options front 5900-6200 call option has seen
INFY
2707125
12.32
2514.10
4.63
considerable amount of buildup in open interest and
with call IV’s going up majority of this buildup could
HDIL
39580000
11.73
42.20
4.76
be on the longer side. While in put option 5800 strike
has seen maximum buildup in open interest followed
OI Losers
by decent amount of unwinding observed in 6000
strike which was much of short covering in
OI
PRICE
yesterday’s trading session.
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
IDBI has seen good amount of short buildup in last
OPTOCIRCUI
8226000
-11.24
31.65
2.26
expiry and with rollover also on the higher side
majority of the position has carried forward. Around
GAIL
3563000
-9.38
311.45
1.34
`78-79 the counter has very strong support and
LUPIN
2438500
-8.12
753.25
1.77
hence we feel short covering bounce could be seen in
this stock which could take the counter to around
BANKBARODA
2107500
-7.91
662.25
1.33
`87. Go long with the stop loss of `77.
BAJAJ-AUTO
1089500
-7.67
1759.50
-3.11
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.98
0.94
UNIPHOS
41.62
BANKNIFTY
2.06
1.57
TATACOMM
48.33
SBIN
0.59
0.77
ASIANPAINT
28.52
INFY
0.56
0.53
BAJAJ-AUTO
30.28
RELIANCE
0.42
0.57
ONGC
31.62
1
Derivative Report
Jun 04, 2013
Strategy Date
Symbol
Strategy
Status
03-June-2013
RELIANCE
Long call ladder
Open
Research Team Tel: 022 - 39357800
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