Derivatives Report by mnmgroup


									                                                                                          Derivative Report
                                                                                                      India Research
 Comments                                                                                                       Feb 23, 2012
                                                                   Nifty Vs OI
  The Nifty futures open interest increased by 18.87% while
       Minifty futures open interest in decreased by 11.69% as
       market closed at 5505.35 levels.
  The Nifty Feb. future closed at a Premium of 12.75 point
       against a Premium of 15.00 points. The March series
       closed at a Premium of 57.30 points.
  The Implied Volatility of at the money options is
       increased from 21.92% to 25.32%.
  The PCR-OI has being decreased from 1.80 to 1.62
  The total OI of the market is `1,58,335/-cr. and the
       stock futures OI are `36,624/-cr.
  Few of the large cap stocks where we have seen low
       rollovers are   UNITECH,            SESAGOA,      ONGC,
       HINDUNILVR and M&M.

OI Gainers
                                  OI                    PRICE
SCRIP                  OI       CHANGE       PRICE     CHANGE      FII’s were net buyers in cash market segment; they
                                  (%)                    (%)         were net buyer’s worth of `830/- cr. in yesterday’s
                                                                     trading session. On derivatives front they were net
ESSAROIL           13988000        35.81      69.35      1.39        sellers in index futures, while in index options they
ADANIPORTS           8392000       25.97     143.85      -5.76       were net buyers.
                                                                   On options front 5500-5700 call option have seen
MCDOWELL-N           2810250       20.92     574.00      -13.61
                                                                     good amount of buildup in open interest, while in put
ITC                31660000        17.16     208.55      0.55        option 5500 and 5600 strike price have seen
STER               30626000        15.59     119.55      -6.82       maximum unwinding in open interest in yesterday’s
                                                                     trading session.
OI Losers                                                          Rollovers in NIFTY futures are at 57.83% and that of
                                                                     BANKNIFTY futures are at 54.61%.
                                 OI                     PRICE
SCRIP                 OI       CHANGE        PRICE     CHANGE      We have seen good amount of short covering
                                 (%)                     (%)         followed by some long buildup in the counter of
                                                                     GESHIP in past few trading sessions. The counter has
VIPIND              2561250      -37.01      111.10    -10.98        seen some long unwinding in last two trading
3IINFOTECH          6016000      -24.19       18.70      -9.44       session, however we have not seen much of volume
                                                                     in cash market segment while the stock going down.
SOUTHBANK          10140000      -23.53       26.85      -3.76
                                                                     Hence we recommend to buy on dips at around
BOMDYEING            534000      -22.50      458.65      -3.32       `245-248 levels with the target price of `274 and
                                                                     stop loss at `233.
OIL                  137000      -22.27     1305.75      -0.05

Put-Call Ratio                                                    Historical Volatility
SCRIP                          PCR-OI          PCR-VOL            SCRIP                                     HV
NIFTY                           1.62            1.16              VIJAYABANK                               55.80
BANKNIFTY                       1.80            0.94              MCDOWELL-N                               98.71
SBIN                            1.08            0.69              GMRINFRA                                 91.29
RELIANCE                        0.82            0.47              SYNDIBANK                                64.16
ICICIBANK                       1.07            0.61              DCB                                      64.13

SEBI Registration No: INB 010996539                                              For Private Circulation Only            1
                                                                                                         Derivative Report | India Research

FII Statistics for 22-Feb-2012                                                            Turnover on 22-Feb-2012

                                                             Open Interest
                                                                                                                 No. of      Turnover         Change
Detail          Buy         Sell       Net                                                  Instrument
                                                                                                                Contracts    (Rs. in cr.)       (%)
                                                 Contracts       Value        Change
                                                               (Rs. in cr.)      (%)
INDEX                                                                                                           918957       24698.93         28.07
              6881.00     7227.98     (346.98)      802087         22164.72    21.59      FUTURES
INDEX                                                                                                           5312176      147922.69        60.14
             18331.01 17687.27          643.74    1867790          51403.51     4.59      OPTIONS
STOCK                                                                                     STOCK
              9859.25 10555.34        (696.08)    1096786          32719.63    -0.46                            1449197      43918.08         21.81
FUTURES                                                                                   FUTURES
STOCK                                                                                     STOCK
               151.82      163.70      (11.88)        60367         1771.67    -1.89                            255681        7873.02         36.58
OPTIONS                                                                                   OPTIONS

TOTAL        35223.09 35634.29        (411.21)    3827030      108059.53        6.05      TOTAL                 7936011      224412.72        46.22

 Nifty Spot =5505.35                         Lot Size = 50

 Bull-Call Spreads                                                            Bear-Put Spreads

 Action       Strike    Price       Risk      Reward         BEP              Action      Strike     Price          Risk    Reward          BEP

 Buy         5500       40.60                                                 Buy         5500       23.75
                                    35.65     64.35      5535.65                                                  19.70     80.30       5480.30
 Sell        5600        4.95                                                 Sell        5400           4.05
 Buy         5500       40.60                                                 Buy         5500       23.75
                                    39.85    160.15      5539.85                                                  22.75     177.25      5477.25
 Sell        5700        0.75                                                 Sell        5300           1.00
 Buy         5600        4.95                                                 Buy         5400           4.05
                                    4.20      95.80      5604.20                                                   3.05     96.95       5396.95
 Sell        5700        0.75                                                 Sell        5300           1.00

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Feb. Series) are given as an information and not as a recommendation.

Nifty Put-Call Analysis

 For Private Circulation Only                       SEBI Registration No: INB 010996539                                                           2
                                                                                                Derivative Report | India Research

      Strategy Date                     Scrip                           Strategy                               Status
      30-01-2012                        NIFTY                     Long Call Ladder                             Open
      06-02-2012                         SBIN                       Short Strangle                             Open
      13-02-2012                     ICICIBANK                    Ratio Call Spread                            Open
      21-02-2012                        M&M                        Bull Call Spread                            Open


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For Private Circulation Only                    SEBI Registration No: INB 010996539                                                    3

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