Daily Derivatives Newsletter 04 Nov 2011

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Daily Derivatives Newsletter 04 Nov  2011 Powered By Docstoc
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                                                                        found.                          Derivatives Newsletter             04 Nov 2011

                                                                               F&O Trade Statistics for 03 Nov-2011
                                                                                            No. of                Turnover                  Put Call

                                                          Product                      contracts                  (Rs. cr.)                  Ratio

                                                        Index Futures                    553526                   13487.15                     -
 Nifty      futures    opened                          Stock Futures                    494129                   12017.51                     -
  negative on weak global                              Index Options                    2838187                   75390.03                    0.90
  cues. Nifty futures opened
                                                       Stock Options                     118259                    3052.90                    0.44
  at 5258.50, made a high of
                                                         F&O Total                      4004101                  103947.60                    0.88
  5315, low of 5221 and it
  finally closed at 5296.

                                                                                        Nifty Futures OI v/s Price
 Nifty spot closed at 5265.75
                                                          Date                Settle Price             Volume             Open Int          Change in OI
  up by 7.30 points.
                                                      28-OCT-11                 5385.50                 361703           27796900             1000950
 CNX IT closed at 6169.80                            31-OCT-11                 5347.10                 267544           28056600             259700
  down by 50.30 points.
                                                      01-NOV-11                 5291.40                 337615           27465800             -590800

 Bank Nifty        closed     at                     02-NOV-11                 5280.20                 386323           27631950             166150

  9782.50.                                            03-NOV-11                 5295.85                 410988           27236050             -395900
 Heavyweight stocks such as
  TATAMOTORS            and
  TATASTEEL witnessed short                                                    FII Trading Activity for F&O Segment (Figures in Rs. Crores)
                                                                           Index Futures         Index Options     Stock Futures          Stock Options

 Heavyweight stock SBIN                             26-OCT-11                 201                    178                -31                   -1
  witnessed long build up.                           28-OCT-11                 1218                  1549                473                   11

                                                     31-OCT-11                 -234                  1113                -583                  33
 Nifty Nov futures closed
                                                    01-NOV-11                  -498                  1405                -368                  17
  with 30.15 points premium.
                                                    02-NOV-11                  -267                   -16                -363                  -3
 Nifty Nov futures OI data
  sheds 4 lakhs share.

 Volatility India index VIX                                                          Nifty Nov Options Price Vs OI
  closed at 24.66 down by                                            Calls                                                        Puts
                                                    Calls OI                           IV            Strike       IV                           Puts OI
  0.92%.                                                           Premium                                                      Premium

                                                    978950           334              24.49          5000        26.14           30.25        5464100
 PCR (Volume) is at 0.88.                         1479000         250.75             23.51          5100        24.62           46.90        5395500

                                                   2611250         178.50             23.06          5200        22.85           70.70        5034750
 Nifty Nov 5400 Call strike
                                                   4561100           116              22.60          5300        21.39          107.15        2925000
  witnessed long build-up.
                                                   6076100          67.10             20.78          5400        20.14           155          1134850

 Nifty Nov 5000 - 5200 Put                        4966150          34.65             20.34          5500        17.12           220           466500
  strikes witnessed short build                    3425750          15.80             19.34          5600        16.94           300           225600

      Anurag Vishnoi                Himanshu Sharma                                                                                                      1
 Realty sector led by DLF, HDIL,
  IBREALEST,      SOBHA      and                                         Sectorwise Price vs. OI
  UNITECH was up by 2.2%.

 Cement sector witnessed long
  build up as stocks ACC,
  GRASIM,           INDIACEM,
  JPASSOCIAT                and
  ULTRACEMCO were up by
  2.7%, 1%, 2.5%, 1.7%, 1.9%,
  2% and 0.5% respectively.

 Capital Goods sector was up
  by 1% as stocks BHEL, BEML,
  VOLTAS were up by 4.5%,
  3.4%, 4.1%, 1.5%, 1.1%, 1.1%
  and 0.8% respectively.

 Banking, Finance, Metals,
  Realty,  Technology  and
  Telecom sector witnessed
  maximum OI activity.

    Stocks Futures with Upward Potential                            Stocks Futures with Downward Potential
                                  %                       %                                       %
        Stocks         Price                 OI                         Stocks        Price                   OI     % change
                                change                  change                                  change

        CANBK         490.60        1.72   2199500       12.39        MCDOWELL-N      818.50     -0.89     1014000      9.53

       WELCORP        105.60        1.93   6792000       14.88         INDIAINFO      70.20      -2.36     2096000      9.39

      LICHSGFIN       235.70        0.86   10814000      10.26        INDUSINDBK      274.60     -1.05     2701000       9

                                     No F & O Trade / Strategy Recommendation for today

                                               F & O Trade / Strategy Follow Up

                                                                        Recommended    Target   Stop      Profit /
       Date         Stock       View                   Strategy                                                         Details
                                                                            price       Price   loss     Loss INR

                                                                                                                       TRAIL SL @
     01 NOV       LICHSGFIN    BULLISH                BUY NOV FUT          232.50       245     232
                                                                                                                     HOLD CLOSED @

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