Derivative Report
May 06, 2013
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 1.04% while
BankNifty futures open interest is increased by 0.89% as
market closed at 5944.00 levels.
The Nifty May future closed at premium of 4.25 point
against a premium of 8.05 points. The June series closed
at a premium of 11.75 points.
The Implied Volatility of at the money options has
decreased from 14.86% to 13.97%.
Nifty PCR-OI has increased from 1.09 to 1.12 levels.
The total OI of the market is Rs. 1,31,026/- cr. and the
stock futures OI is Rs.27,525/- cr.
Few of the liquid counters where we have seen high cost
of carry are
PNB, GRASIM, APOLLYTYRE, CESC and
JPPOWER.
View
OI Gainers
Despite a decent fall in Friday’s market, FII’s continue
OI
PRICE
to buy in cash market segment; they were net buyers
SCRIP
OI
CHANGE
PRICE
CHANGE
worth of `954/- cr. On derivatives front not much of
(%)
(%)
activity was observed in index futures, however in
index options and stock futures some short buildup
DABUR
2316000
61.96
161.05
6.51
was seen by them in Friday’s trade.
APOLLOTYRE
5740000
28.47
98.80
3.27
On options front not much of buildup was observed
ADANIPORTS
2432000
20.75
155.55
5.33
in call option, while in put option considerable
amount of buildup was seen in 5500 and 5800 strike
AMBUJACEM
5414000
20.20
188.80
-1.26
price and with IV’s going down majority of this
SUNPHARMA
3584500
19.78
984.70
1.73
buildup could be on the shorter side. Some
unwiniding was also seen in 5900 put option which
was much of long unwinding in Friday’s trading
OI Losers
session.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
TCS has seen decent amount of short buildup in last
(%)
(%)
expiry and with decent rollover majority of this
buildup has carried forward. In the start of this series
ORIENTBANK
1503000
-12.05
255.85
-1.95
the counter has seen good amount of long buildup
M&M
2644250
-10.71
961.00
0.86
on such a high base of open interest indicating more
short covering bounce could be seen in this stock
GAIL
1719000
-10.56
335.15
-3.37
which could take the counter to around `1482. Go
JINDALSTEL
7809000
-8.54
318.45
3.74
long on dips at around `1410-1420 with the stop
loss of `1380.
INFY
3136875
-8.41
2307.95
0.64
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.12
1.02
DABUR
41.06
BANKNIFTY
1.39
0.96
ADANIPORTS
51.86
HINDUNILVR
1.22
1.00
IOC
34.27
INFY
0.49
0.34
SBIN
39.72
SBIN
0.61
0.65
JSWENERGY
57.15
1
Derivative Report
May 06, 2013
Strategy Date
Symbol
Strategy
Status
29-Apr-2013
TCS
Bull Call Spread
Profit booked on 02-May-2013
Research Team Tel: 022 - 39357800
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