Derivative Report
May 29, 2013
Comments
Nifty Vs OI
The Nifty futures open interest increased by 4.02% while
BankNifty futures open interest is increased by 0.32% as
market closed at 6111.25 levels.
The Nifty May future closed at discount of 1.85 point
against a premium of 0.30 points. The June series closed
at a premium of 20.30 points.
The Implied Volatility of at the money options has
increased from 16.39% to 19.14%.
Nifty PCR-OI has increased from 1.18 to 1.25 levels.
The total OI of the market is Rs. 1,75,493/- cr. and the
stock futures OI is Rs.37,317/- cr.
Few of the liquid counters where we have seen high roll-
over are IVRCLINFA, PFC, NHPC, FINANCIALTECH and
HDIL.
View
OI Gainers
FII’s were net buyers in cash market segment; they
OI
PRICE
were net buyers worth of Rs.711/- cr in yesterday’s
SCRIP
OI
CHANGE
PRICE
CHANGE
trade.
(%)
(%)
On options front 6200 call option has seen some
TATAGLOBAL
19618000
39.08
144.70
1.01
buildup in open interest and 6000-6100 strikes has
CESC
879000
26.84
336.60
2.26
seen significant amount of unwinding which was
much of short covering. While in put option 6100
HAVELLS
1837500
26.20
720.35
2.25
strike saw maximum buildup in open interest in
ULTRACEMCO
1033875
15.47
1980.25
-1.51
yesterday’s trading session.
ONGC
12831000
15.29
333.95
2.06
Rollover in NIFTY and in BANKNIFTY future is in line
at 36% and 24% respectively.
OI Losers
The recent bounce in LICHSGFIN was mainly due to
OI
PRICE
short covering and has not seen much of the long
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
postions getting buildup during this bounce. Around
Rs.282-284 the counter has some resistance and also
SRTRANSFIN
1378000
-20.09
835.40
1.83
the CoC has turned negative indicating some selling
BAJAJ-AUTO
1586000
-15.06
1840.60
1.36
pressure in this stock. Hence we recommend to go
short at around Rs.276-278 levels with the target
JPASSOCIAT
62700000
-14.22
71.70
3.61
price of Rs.256 and stop loss at Rs.286.
TATASTEEL
19568000
-8.78
321.80
1.37
HEROMOTOCO
1736250
-8.15
1750.00
5.23
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.25
1.13
HEROMOTOCO
38.73
BANKNIFTY
1.43
0.95
FINANTECH
49.32
SBIN
0.46
0.60
GSPL
32.60
HINDUNILVR
1.18
0.95
COALINDIA
29.87
INFY
0.63
0.42
BHARATFORG
43.34
1
Derivative Report
May 29, 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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