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daily-derivatives 31-01

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									      Daily Derivative
                                                                                                                                                                                                 January 31, 2012
                                                                                                                                                                                               January 31, 2012
Nifty Futures – OI vs. Price                                                                        Nifty Snapshot & Pivot Points

                  34                                                                 5250                                   Spot       Fut      COC (%)          Tot Fut OI         PCR OI       PCR Vol                     ATM IV
                                                                                                    Current                 5087     5112            7.41        23689950              1.22            1.12                    21.97
                  30
                                                                                     5100           Previous                5205     5213            2.10        25488250              1.30            1.32                    21.28
                                                                                                    Change (%)            -2.27% -1.94%                  -              -7.1%             -                  -                         -
                                34.2
                  26
  Millions




                               32.8
                              31.4




                                                                                                    Pivot levels (Feb)                S3          S2             S1              Piv           R1                 R2             R3
                           28.2




                                                                                     4950
                          27.3
                          26.7




                         25.5
                  22
                         25.3
                        25.3




                        25.0
                        24.5
                       24.3




                       23.7                                                                         Nifty future                     4956       5045           5079             5134          5168               5223          5312

                  18                                                                 4800           Source: NSE, Seediff, ICICIdirect.com Research
                       11-Jan
                       12-Jan
                       13-Jan
                       16-Jan
                       17-Jan
                       18-Jan
                       19-Jan
                       20-Jan
                       23-Jan
                       24-Jan
                       25-Jan
                       27-Jan
                       30-Jan



                                                                                                    F&O Highlights
                                                                                                    • It was a bad start to the week on the markets with the Nifty opening with a gap
                        Nifty Futures OI                    Nifty Fut Price (RHS)                      down. It traded weak throughout the session and closed more than 100 points
                                                                                                       lower by the end of the day’s close
Nifty Options OI Distribution
                                                                                                    • FIIs were net sellers to the tune of | 202 crore in the cash segment. They also
              60                Nifty Call Put Concentration (Feb)                                     wound up long positions to the tune of | 1155 crore in the index futures segment
                                                                                                    • India VIX moved up from 21.70 to 23.46 (up 8.11%)
 Shares in Lacs




              40                                                                                    • In the options space, we saw addition in the Call strike of 5300 (1.11 million
                                                                                                       shares) followed by marginal additions in 5100, 5200, 5400, 5500 and 5600 Calls.
                         53.3




                                                                           50.6
                                                                48.1
                                              47.0




                                                                                                       On the Put side, 4700 Put added 0.67 million shares
                                                                                    37.8




              20
                                                        37.2
                                   35.1




                                                      27.3
                                           23.3




                                                                   17.9




                                                                                                    Index Outlook
                                14.8
                       9.0




                                                                              7.8


                                                                                       2.7




                  0
                                                                                                    • Nifty: The Nifty is likely to open positive on the back of positive Asian cues. It is
                       4800      4900      5000        5100     5200        5300    5400                likely to trade in the range of 5080-5180. The trading strategy would be to create
                                              CALL OI           PUT OI                                  short positions if the Nifty takes resists at around 5163 for targets of 5125 and
                                                                                                        5095. On the other hand, one can also create long positions if it takes support at
Active Nifty Strike                                                                                     around 5080 levels
                                Call (%)                          Put (%)                           • Bank Nifty: The Bank Nifty is likely to trade in the range of 9350-9750
Strike                           OI chg               IV (%)           OI chg          IV (%)       Stock Analysis
4900                                -3.6                22.2             10.7            23.3
                                                                                                    • OI addition :- We saw long build-up in Jet Airways, Havells and Jubilant Food
5000                                -0.7                21.6               -7.2            22.4         while short build-up was seen in Bhel, OBC, Dabur, LIC Housing Finance,
5100                               10.0                 21.1               -6.7            21.4         Hindustan Unilever and Jain Irrigation
5200                                8.0                 20.8              -27.0            20.6     • OI unwinding :- We saw long closure in VIP Industries, Voltas, IOB, Tech
5300                               28.4                 20.4               0.8             19.6         Mahindra, Tata Chemicals and Bombay Dyeing while short covering was seen
                                                                                                        in Reliance Capital
FII Statistics (in crore)                                                                           Open Interest activity
Segment                             Buy              Sell        Net         OI (lots) %Chg         OI Gainers                                                    OI Losers
Index futures                      1077           2232         -1155          446521         -6.5   Symbol                OI(Shrs)     %Chg      Price       %Chg Symbol               OI(Shrs) %Chg               Price %Chg
Index options                      8574           7677           896         1180262          6.5   INDIANB                559000       31.84    212.5        -2.92 VIPIND             1488750         -25       107.35      -6.73
Stock futures                      1483           1643          -160          963306          1.2   BHEL                 15173000       31.47    245.9       -10.09 VOLTAS             2282000       -16.9              91   -5.11
Stock options                        580            584           -4           30471         27.6   STRTECH               2312000       26.20     39.3        3.29 EXIDEIND            1724000 -15.41            131.25          0
Total                                580          12136         -423         2620560          2.3   JETAIRWAYS           1391000        23.86    247.1        1.10 IOB                 1164000 -14.79             86.75      -2.42
                                                                                                    ORIENTBANK             780000       18.18    250.4        -2.25 HINDZINC           1054000 -14.17             131.3        -2.7
F&O Turnover
Instrument                            No. of Contracts                 Turnover            %Chg
                                                                                                    Intraday Strategy*
Index Fut                                          439110              10540.17            17.29
                                                                                                    i) TCS (TCS)                                                 ii) OBC (ORIBAN)
Stock Fut                                          524540              13865.95             0.04
                                                                                                    Buy TCS Feb Fut in the rng of 1118-1119                      Sell ORIBAN Feb Fut in the rng of 252-252.50
Index Opt                                         1883865              48674.96            12.58
                                                                                                    View: Bullish                                                View: Bearish
Stock Opt                                          145331               3956.66             2.08
                                                                                                    Strategy: Buy Future                                         Strategy: Sell Future
F&O Total                                         2992846              77037.73            10.12
                                                                                                    Target 1 : 1131 Target 2 : 1140                              Target 1 : 249 Target 2 : 246
                                                                                                    Stop Loss: 1105.9                                            Stop Loss: 255.60
Analyst
                                                                                                    Market Lot: 250                                              Market Lot: 1000
 Amit Gupta                                                                                         Source: Company, ICICIdirect.com Research
 amit.gup@icicisecurities.com
                                                                                                    Strategy follow-up
 Ankit Tikmany
                                                                                                    Date                   Stock       View     Strategy         Reco      Target         SL Profit/Los                  Comment
 ankit.tikmany@icicisecurities.com
                                                                                                    30-Jan-12              JINSP     Bearish    Short Fut         532      526.0       538.1         -3050                   SL Trig
 Azeem Ahmad
 azeem.ahmad@icicisecurities.com                                                                    30-Jan-12           SESGOA        Bullish   Long Fut        210.0      213.5       207.0         -3000                   SL Trig

 Raj Deepak Singh
 rajdeepak.singh@icicisecurities.com

          ICICI Securities Ltd. | Retail Equity Research
Derivatives research – product basket
Directional                                                                   Non-directional                                                                     Quant products
Long build up/Short covering Futures                                          Theta & Vega strategies                                                             Pair trading
Short build up Futures                                                        Delta differential strategy                                                          Enhanced Basket
High OI stocks – delivery product                                             Option indicators analysis                                                           VIX Analyser
Plain vanilla options                                                         Gamma neutral delta neutral strategy                                                Quant Picks
Deep Value Strategy                                                           Reverse, Synthetic options & Situational arbitrage                                   Volatility Insights
Hybrid Strategies – Index/Stocks                                              Opportunity Matrix
Rollover week product ( Long/Short rollover stocks)                           Calendar Spreads
VWAP(expiry day product)                                                      Ratio Spreads




      Pankaj Pandey                                         Head – Research                                                   pankaj.pandey@icicisecurities.com

                                                            ICICIdirect.com Derivatives Desk

                                                              ICICI Securities Limited,
                                                              1st Floor, Akruti Trade Centre,
                                                              Road No 7, MIDC
                                                              Andheri (East), Mumbai – 400 093

                                                              research@icicidirect.com




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  ICICI Securities Ltd. | Retail Equity Research                                                                                                                                         Page 2

								
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