Derivative Report
Sep 25, 2012
Comments
Nifty Vs OI
The Nifty futures open interest increased by 6.44% while
BankNifty futures open interest is increased by 1.53% as
market closed at 5669.60 levels.
The Nifty Sept. future closed at premium of 12.05 point
against a premium of 15.90 points. The Oct. series
closed at a premium of 33.20 points.
The Implied Volatility of at the money options is
increased from 17.90% to 17.95%.
Nifty PCR-OI has decreased from 1.25 to 1.23 levels.
The total OI of the market is `1,66,788/- cr. and the
stock futures OI are `35,341/- cr.
Few of the liquid counters where we have seen high
rollovers are JSWENERGY, SUZLON, MCDOWELL N,
JSWSTEEL and MCLEODRUSS.
View
OI Gainers
FII’s continue to buy heavily in cash market segment;
OI
PRICE
they were net buyer worth of
`1,596/- cr in
SCRIP
OI
CHANGE
PRICE
CHANGE
yesterday’s trade. On derivatives front they were net
(%)
(%)
sellers in index futures however in open interest terms
they formed significant amount of positions, while in
INDIANB
139000
40.40
193.80
1.88
index options they were net buyers.
TATACHEM
1521000
29.01
320.25
-0.97
On options front 5800-5900 call option has seen
ABB
229750
24.69
785.35
0.83
significant amount of buildup in open interest
followed by some unwinding in 5500 call option,
MCDOWELL-N
13906500
18.65
1054.40
6.33
while in put option
5500 strike price has seen
NMDC
1066000
14.38
189.60
-2.74
maximum buildup in yesterdays trading session.
Rollover in NIFTY futures is at
25% and in
OI Losers
BANKNIFTY future it is 20%, more or less inline with
last three month average rollover.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
We have seen significant amount of open interest
(%)
(%)
getting buildup in NTPC in last 5-6 trading session
GMDCLTD
164000
-37.40
196.55
-0.46
which is much of long and short both. The stock has
seen trading in the narrow price band of `164-174
TATACOFFEE
322750
-35.55
976.85
-0.66
levels since last few trading session. Since the stock is
MAX
388000
-27.61
196.80
-2.25
trading at its lower price band short covering bounce
is expected in this counter which could take the stock
CROMPGREAV
5726000
-25.52
123.55
5.24
to around `180. Go long at around 165-167 levels
VIPIND
1280000
-23.54
85.85
4.81
with the stop loss of `160.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.23
1.01
RUCHISOYA
56.22
BANKNIFTY
1.51
0.92
EXIDEIND
33.29
SBIN
1.17
0.76
SUZLON
55.42
ICICIBANK
1.08
0.80
BEL
30.19
INFY
1.10
1.10
ADANIPOWER
64.22
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Derivative Report
Sep 25, 2012
Strategy Date
Symbol
Strategy
Status
03-Sep-2012
AXISBANK
Long Call Ladder
Strategy close with no profit no loss on 21-Sep-2012
10-Sep-2012
NIFTY
Long Call
Profit booked on 12-Sep-2012
17-Sep-2012
BHEL
Ratio Call Spread
Strategy close with no profit no loss on 21-Sep-2012
24-Sep-2012
BHARTIARTL
Bull Call Spread
Open
Research Team Tel: 022 - 39357800
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