Derivative Report
Jun 05, 2013
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 1.43% while
BankNifty futures open interest is decreased by 1.64% as
market closed at 5919.45 levels.
The Nifty Jun future closed at premium of 12.90 point
against a premium of 19.90 points. The July series
closed at a premium of 27.25 points.
The Implied Volatility of at the money options has
increased from 16.42% to 16.76%.
Nifty PCR-OI has remained unchanged at 0.98 levels.
The total OI of the market is Rs. 1,17,058/- cr. and the
stock futures OI is Rs.28,967/- cr.
Few of the liquid counters where we have seen high cost
of carry are SUNPHARMA, GMRINFRA, GSPL, RENUKA
and HEXAWARE.
View
OI Gainers
FII’s activity in cash market segment has slowed
OI
PRICE
down a bit; they were net buyers worth of Rs.85/- cr.
SCRIP
OI
CHANGE
PRICE
CHANGE
only. On derivatives front they continue to unwind
(%)
(%)
their long positions in index futures, while in index
options some long buildup was seen by them in
IDEA
6468000
21.90
135.45
3.80
yesterday’s trade.
TATACOMM
4332000
13.34
196.20
0.84
On options front 6100 call option has seen decent
PFC
6840000
10.25
179.10
-1.56
amount of buildup in open interest, while in put
ADANIPORTS
2750000
9.82
155.35
1.04
option 5600 and 5900 strike has seen maximum
buildup followed by some unwinding in 6000-6100
HDFC
7401000
8.21
854.20
-1.84
put option in yesterday’s trading session.
TATAMTRDVR has seen significant amount of short
OI Losers
buildup in last series and with rollover on the higher
OI
PRICE
side majority of these positions has got carried
SCRIP
OI
CHANGE
PRICE
CHANGE
forward. The bounce on expiry day was mainly due
(%)
(%)
to short covering and the stock has seen fresh
ORIENTBANK
1674000
-9.22
248.30
1.35
accumulation of shorts in yesterday’s trade. With
stock facing resistance at around `172-174 levels,
ZEEL
4573000
-9.21
238.90
0.97
we feel the counter could see some downward
PTC
4108000
-8.06
56.50
2.07
pressure in near term which could take the stock to
around `160. Go short at around `169-170 with the
OPTOCIRCUI
7664000
-6.83
32.50
2.69
stop loss of `175.
HDIL
36968000
-6.60
41.80
-2.87
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.98
0.86
BATAINDIA
42.05
BANKNIFTY
1.86
0.79
IDEA
38.74
SBIN
0.54
0.49
BIOCON
23.60
RELIANCE
0.39
0.43
DISHTV
44.31
INFY
0.51
0.63
AMBUJACEM
27.15
1
Derivative Report
Jun 05, 2013
Strategy Date
Symbol
Strategy
Status
03-June-2013
RELIANCE
Long call ladder
Open
Research Team Tel: 022 - 39357800
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