Derivative Report
Jun 06, 2013
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 1.42% while
BankNifty futures open interest is decreased by 2.86% as
market closed at 5923.85 levels.
The Nifty Jun future closed at premium of 14.45 point
against a premium of 12.90 points. The July series
closed at a premium of 30.15 points.
The Implied Volatility of at the money options has
decreased from 16.76% to 16.14%.
Nifty PCR-OI has remained unchanged at 0.98 levels.
The total OI of the market is Rs. 1,22,554/- cr. and the
stock futures OI is Rs.29,552/- cr.
Few of the liquid counters where we have seen high cost
of carry are PUNJLLOYD, INDHOTEL, UNITECH,
APOLLOTYRE and JPASSOCIAT.
View
OI Gainers
There has being muted performance by FII’s in cash
OI
PRICE
market segment since last few trading sessions; they
SCRIP
OI
CHANGE
PRICE
CHANGE
were net buyers worth of
`89/- cr. only. On
(%)
(%)
derivatives front some long unwinding was seen in
index futures, while in index options long buildup was
PFC
8104000
18.48
173.75
-2.94
observed by them in yesterday’s trade.
RCOM
39720000
14.97
116.30
5.59
On options front 5900 and 6200 call option has
IDEA
7332000
13.36
136.10
1.18
seen good amount of buildup in open interest, while
FINANTECH
772000
12.17
828.50
1.92
in put option 5700-5800 strike has seen maximum
buildup in open interest followed by some unwinding
TECHM
1509250
11.88
917.60
-2.40
in 6000 strike in yesterday’s trading session.
The recent bounce in CAIRN was mainly due to short
OI Losers
covering and the counter has not seen much of the
OI
PRICE
long positions getting buildup in this rally. The stock
SCRIP
OI
CHANGE
PRICE
CHANGE
in last few trading session has seen taking resistance
(%)
(%)
at around `290-292 levels and hence we feel the
SIEMENS
667500
-6.90
579.70
-0.65
counter could see some downward pressure in near
term which could take the stock to around `275. Go
M&M
2427500
-6.18
986.55
0.26
short with the stop loss of `298.
GAIL
3234000
-6.15
314.95
1.09
BATAINDIA
2069500
-5.76
865.75
-0.07
BPCL
5121000
-4.58
373.65
0.51
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.98
0.87
JISLJALEQS
56.02
BANKNIFTY
1.82
1.00
OFSS
49.81
SBIN
0.52
0.61
IVRCLINFRA
72.33
RELIANCE
0.46
0.34
BIOCON
25.51
INFY
0.49
0.67
CHAMBLFERT
45.29
1
Derivative Report
Jun 06, 2013
Strategy Date
Symbol
Strategy
Status
03-June-2013
RELIANCE
Long call ladder
Open
Research Team Tel: 022 - 39357800
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