Derivative Report
May 28, 2013
Comments
Nifty Vs OI
The Nifty futures open interest increased by 1.44% while
BankNifty futures open interest is increased by 5.23% as
market closed at 6083.15 levels.
The Nifty May future closed at premium of 0.30 point
against a premium of 1.85 points. The June series closed
at a premium of 19.60 points.
The Implied Volatility of at the money options has
increased from 15.27% to 16.39%.
Nifty PCR-OI has increased from1.12 to 1.18 levels.
The total OI of the market is Rs. 1,74,020/- cr. and the
stock futures OI is Rs.35,720/- cr.
Few of the liquid counters where we have seen high roll-
over are HEROMOTOCO, INDIACEM, PUNJLLOYD, NHPC
and HDIL.
View
OI Gainers
After a pause FII’s again seen being net buyers in
OI
PRICE
cash market segment; they were net buyers worth of
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs.406/- cr. On derivatives front some long buildup
(%)
(%)
was seen by them in index futures, while in index
INDIACEM
7552000
31.20
70.30
-1.87
options long unwinding was observed by them in
yesterday’s trading session.
CROMPGREAV
11106000
19.04
93.95
-2.23
On options front 5900-6000 call option has seen
BANKBARODA
2666000
13.64
682.25
-1.35
decent amount of unwinding followed by some
CIPLA
7979000
12.98
401.50
-1.51
buildup observed in 6100 strike which has highest
buildup in open interest in call option. While in put
ULTRACEMCO
895375
12.79
2013.65
3.24
option 6000-6100 strike has seen significant amount
OI Losers
of buildup in open interest in yesterday’s trade.
OI
PRICE
Rollover in NIFTY and BANKNIFTY future is at 20%
SCRIP
OI
CHANGE
PRICE
CHANGE
and 17% respectively.
(%)
(%)
The recent fall in NTPC was mainly due to long
HEXAWARE
8340000
-10.94
84.85
6.00
unwinding. However stock in last two trading
APOLLOTYRE
5920000
-8.07
90.55
4.87
sessions has seen good amount of long buildup and
is also seen taking support at around Rs.148-150
COLPAL
136500
-5.04
1491.90
1.80
levels. Hence we recommend to go long on this
DIVISLAB
587250
-4.67
990.60
0.48
stock with the target price of Rs.162 and stop loss at
Rs.147.
ASHOKLEY
13833000
-3.70
23.90
2.80
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.18
1.03
HEXAWARE
46.62
BANKNIFTY
1.40
0.99
RELIANCE
40.45
SBIN
0.45
0.52
INDUSINDBK
49.77
HINDUNILVR
1.21
0.56
SUNPHARMA
39.39
INFY
0.63
0.53
APOLLOTYRE
45.03
1
Derivative Report
May 28, 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
27-May-2013
BANKNIFTY
Long Call
Open
Research Team Tel: 022 - 39357800
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