understanding derivative markets Derivative Report by mnmgroup

VIEWS: 5 PAGES: 3

More Info
									                                                                                            Derivative Report
                                                                                                           India Research
                                                                                                                 April 10, 2012
 Comments                                                            Nifty Vs OI
  The Nifty futures open interest decreased by 1.56% while
       Minifty futures open interest is decreased by 0.07% as
       market closed at 5234.40 levels.
  The Nifty April future closed at a premium of 18.60 point
       against a premium of 21.65 points. The May series
       closed at a premium of 53.40 points.
  The Implied Volatility of at the money options is
       increased from 18.62% to 21.45%
  The PCR-OI decreased from 1.21 to 1.14 points.

  The total OI of the market is `97,960/-cr. and the stock
       futures OI are `25,685/-cr.
  Few of the liquid counters where we have seen high cost-
       of-carry are PIRHEALTH,           SKUMARSYNF,        OFSS,
       RUCHISOYA and GVKPIL.



OI Gainers
                                 OI                       PRICE     View
SCRIP                 OI       CHANGE         PRICE      CHANGE
                                 (%)                       (%)       FII’s were net sellers in cash market segment; they
                                                                          were net seller’s worth of `269/- cr. On derivatives
IGL                  488000          54.19    346.65      -7.03           front they were net sellers in index futures worth of
AMBUJACEM           4778000          18.56    169.40      0.83            `1072/- cr. indicating some more long unwinding by
                                                                          them, while in index options they were net buyers
SBIN                4476750          12.82   2100.45      -2.87           with decent increase in open interest.
BGRENERGY           1284000          12.63    363.30      2.11       On options front we have seen good amount of
                                                                          buildup in 5300-5500 call option and some
IVRCLINFRA         27720000          11.09     71.95      1.34
                                                                          unwinding was visible in 5700 call option, while in
                                                                          put option not much of buildup was visible however
OI Losers
                                                                          there was some unwinding interest in 5200 and
                                OI                        PRICE           5300 strike price.
SCRIP                 OI      CHANGE          PRICE      CHANGE      The recent rally in the counter of IDFC was mainly
                                (%)                        (%)
                                                                          due to short covering. The stock is pretty much light
NAGAROIL           2052000       -17.09         8.95      -3.24           in terms of open interest and hence we anticipate
                                                                          some short positions could buildup into this counter
COLPAL                88250      -11.97      1115.40      -1.75
                                                                          at higher levels. Hence we recommend to go short at
BOMDYEING           570000       -11.49       564.30      -2.73           around `133-135 levels with the target price of `125
                                                                          and stop loss at `139.
HCLTECH            1155000       -11.15       498.30      -2.11
TECHM               414500           -9.30    712.90      -1.61


Put-Call Ratio                                                      Historical Volatility
SCRIP                         PCR-OI            PCR-VOL             SCRIP                                        HV
NIFTY                          1.14               0.85              IGL                                         52.06
SBIN                           0.41               0.43              PETRONET                                    35.69
BANKNIFTY                      0.72               0.48              GUJFLUORO                                   54.72
RELIANCE                       0.48               0.55              TATACHEM                                    30.84
ICICIBANK                      1.03               0.53              CAIRN                                       51.42

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




FII Statistics for 09-April-2012                                                           Turnover on 09-April-2012

                                                               Open Interest
                                                                                                               No. of        Turnover         Change
 Detail         Buy         Sell        Net                                                  Instrument
                                                                                                              Contracts      (Rs. in cr.)       (%)
                                                   Contracts       Value        Change
                                                                 (Rs. in cr.)      (%)
                                                                                           INDEX
INDEX                                                                                                         365925          8954.24         12.18
               772.28     1864.26 (1,091.99)         339990           8843.80    -0.77     FUTURES
FUTURES
                                                                                           INDEX
INDEX                                                                                                         2124521        56789.18         15.85
             10787.33 10542.26          245.06      1201004          31429.93     6.28     OPTIONS
OPTIONS
STOCK                                                                                      STOCK
               768.47     1028.98      (260.51)      802762          22436.98     1.01                        329753          9408.05         -5.77
FUTURES                                                                                    FUTURES
STOCK                                                                                      STOCK
               479.53      456.17          23.36       26346           731.46    13.37                        108556          3118.39         10.58
OPTIONS                                                                                    OPTIONS

TOTAL        12807.60 13891.68 (1,084.08)           2370102          63442.17     3.47     TOTAL              2928755        78269.85         12.13




 Nifty Spot =5234.40                          Lot Size = 50


 Bull-Call Spreads                                                              Bear-Put Spreads

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

 Buy         5300       72.70                                                   Buy        5200       74.35
                                    35.90      64.10      5335.90                                                30.50      69.50       5169.50
 Sell        5400       36.80                                                   Sell       5100       43.85
 Buy         5300       72.70                                                   Buy        5200       74.35
                                    57.20     142.80      5357.20                                                49.50     150.50       5150.50
 Sell        5500       15.50                                                   Sell       5000       24.85
 Buy         5400       36.80                                                   Buy        5100       43.85
                                    21.30      78.70      5421.30                                                19.00      81.00       5081.00
 Sell        5500       15.50                                                   Sell       5000       24.85

Note: Above mentioned Bullish or Bearish Spreads in Nifty (April. Series) are given as 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
      02-04-2012                        NIFTY                      Ratio Put Spread                            Open
      09-04-2012                   TATAMOTORS                      Ratio Put Spread                            Open




DISCLAIMER

This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment
decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should
make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the
companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine
the merits and risks of such an investment.

Angel Broking Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make
investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in this
document are those of the analyst, and the company may or may not subscribe to all the views expressed within.

Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and
trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's
fundamentals.

The information in this document has been printed on the basis of publicly available information, internal data and other reliable
sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this
document is for general guidance only. Angel Broking or any of its affiliates/ group companies shall not be in any way responsible
for any loss or damage that may arise to any person from any inadvertent error in the information contained in this report. Angel
Broking Limited has not independently verified all the information contained within this document. Accordingly, we cannot testify, nor
make any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. While
Angel Broking Limited endeavours to update on a reasonable basis the information discussed in this material, there may be
regulatory, compliance, or other reasons that prevent us from doing so.
This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced,
redistributed or passed on, directly or indirectly.

Angel Broking Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment banking or
other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of this report or
in the past.

Neither Angel Broking Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise from or
in connection with the use of this information.

Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section).

Derivative Research Team

Email Id : - derivatives.desk@angelbroking.com




For Private Circulation Only                    SEBI Registration No: INB 010996539                                                    3

								
To top