Derivative Report
May 24, 2013
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 4.59% while
BankNifty futures open interest is decreased by 13.57%
as market closed at 5967.05 levels.
The Nifty May future closed at discount of 0.95 point
against a premium of 9.55 points. The June series closed
at a premium of 8.55 points.
The Implied Volatility of at the money options has
increased from 16.28% to 17.88%.
Nifty PCR-OI has decreased from 1.18 to 1.12 levels.
The total OI of the market is Rs. 1,66,381/- cr. and the
stock futures OI is Rs.33,180/- cr.
Few of the liquid counters where we have seen high cost
of
carry
are JSWENERGY,
CAIRN, DISHTV,
CROMPGREAV and RENUKA.
View
Despite of sharp fall observed in our market in
OI Gainers
yesterday’s trade, FII’s continue to buy in our market;
OI
PRICE
they were net buyers worth of
`316/- cr. On
SCRIP
OI
CHANGE
PRICE
CHANGE
derivatives front long unwinding was seen by them in
(%)
(%)
index futures, while in index option they covered
JPASSOCIAT
70196000
16.10
67.30
-8.40
there shorts in yestrday’s trading session.
TATASTEEL
23765000
11.53
299.55
-1.71
On options front 5900-6100 call option has seen
considerable amount of buildup in open interest,
CROMPGREAV
9090000
11.10
97.30
-9.70
followed by some unwinding in 6200-6300 strikes.
LT
6011750
6.98
1418.20
-6.40
While in put option 5700-5800 strikes has seen
maximum buildup in open interest and 5900-6200
RELCAPITAL
9147000
6.61
337.20
-6.95
put option has seen decent amount of unwinding
which was much of short covering. Most of the
OI Losers
buildup in both call and put is on the longer side as
IV’s of both have gone up significantly.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
The recent fall in RELIANCE was mainly due to long
(%)
(%)
unwinding. The counter has seen good amount of
OFSS
559125
-41.28
2661.00
8.94
long buildup in start of this series which is still intact.
IV’s of call option has also increased indicating
SUNTV
1445500
-12.15
409.75
-2.37
buying in call option and put IV’s has being coming
VOLTAS
5812000
-10.25
84.10
0.30
down and majority of the buildup in put option is in
780 strike which could act as the support for this
HDIL
31936000
-9.23
50.65
-10.30
stock. Hence we recommend to go long at around
RENUKA
58458000
-8.55
21.90
-1.35
`782-786 levels with the target price of `826 and
stop loss at `765.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.12
1.13
SBIN
51.82
BANKNIFTY
1.28
1.15
OFSS
54.13
SBIN
0.57
0.75
RANBAXY
59.96
HINDUNILVR
1.28
1.47
RELINFRA
70.88
INFY
0.64
0.52
CROMPGREAV
74.29
1
Derivative Report
May 24, 2013
Strategy Date
Symbol
Strategy
Status
29-Apr-2013
TCS
Bull Call Spread
Profit booked on 02-May-2013
06-May-2013
DLF
Bull Call Spread
Profit booked on 16-May-2013
13-May-2013
RELIANCE
Ratio Put Spread
Position squared off
20-May-2013
NIFTY
Ratio Call Spread
Open
Research Team Tel: 022 - 39357800
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