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Derivative Report
India Research
April 13, 2012
Comments Nifty Vs OI
The Nifty futures open interest increased by 1.60% while
Minifty futures open interest is increased by 4.81% as
market closed at 5276.85 levels.
The Nifty April future closed at a premium of 13.80 point
against a premium of 24.50 points. The May series
closed at a premium of 49.05 points.
The Implied Volatility of at the money options is
decreased from 21.65% to 20.95%
The PCR-OI has being increased from 1.14 to 1.17
points.
The total OI of the market is `1,07,909/-cr. and the
stock futures OI are `26,918/-cr.
Few of the liquid counters where we have seen high cost-
of-carry are TTML, DIVISLAB, VIDEOIND, COREEDUTEC
and MTNL.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%) FII’s were net buyers in cash market segment; they
were net buyers worth of `136/- cr. On derivatives
DIVISLAB 779000 33.05 798.20 3.02 front they were net buyers in index futures indicating
TTKPRESTIG 100000 22.32 3346.70 3.84 some long buildup by them, while in index options
also they were net buyers.
UNIONBANK 1984000 20.61 227.40 -0.68
On options front not much of buildup was seen in
ANDHRABANK 1024000 19.35 123.05 0.70 call option except 5500 strike price where some
buildup was visible, while in put option 5200 strike
OFSS 329125 16.87 2749.30 4.14
price has seen significant amount of buildup in open
interest in yesterday’s trading session.
OI Losers
We have seen decent shorts getting buildup into the
OI PRICE counter of SAIL in last few trading session. Since the
SCRIP OI CHANGE PRICE CHANGE counter has strong support at around `90-92 levels
(%) (%)
we anticipate some short covering rally in this stock
MAX 842000 -18.25 204.00 8.37 and also in yesterday’s trading session we have seen
significant amount of long getting buildup into this
FINANTECH 811750 -15.88 774.75 3.67
counter. Hence we recommend to go long on this
IVRCLINFRA 32816000 -14.31 73.90 4.45 stock with the target price of `102 and stop loss at
`91.
JETAIRWAYS 1104000 -13.55 349.05 -2.58
STER 21332000 -9.53 106.35 4.37
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.17 0.97 DABUR 29.84
INFY 0.97 0.93 MAX 63.42
BANKNIFTY 0.67 0.62 DIVISLAB 28.47
SBIN 0.59 0.42 MARUTI 35.40
RELIANCE 0.53 0.46 OFSS 47.45
SEBI Registration No: INB 010996539 For Private Circulation Only 1
Derivative Report | India Research
FII Statistics for 12-April-2012 Turnover on 12-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 413856 10232.77 -23.16
1236.98 1044.32 192.66 373396 9736.54 4.68 FUTURES
FUTURES
INDEX
INDEX 2500003 66501.38 -20.52
13315.94 13038.21 277.73 1328839 35059.18 1.81 OPTIONS
OPTIONS
STOCK STOCK
1102.29 1088.99 13.31 812182 22880.40 0.79 419147 11856.11 -12.57
FUTURES FUTURES
STOCK STOCK
734.46 816.39 (81.93) 35416 983.19 11.86 177206 5347.54 24.17
OPTIONS OPTIONS
TOTAL 16389.68 15987.91 401.76 2549833 68659.31 2.02 TOTAL 3510212 93937.8 -18.22
Nifty Spot =5276.85 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 80.00 Buy 5300 89.25 37.90 62.10 5262.10
41.35 58.65 5341.35
Sell 5400 38.65 Sell 5200 51.35
Buy 5300 80.00 Buy 5300 89.25 61.00 139.00 5239.00
64.45 135.55 5364.45
Sell 5500 15.55 Sell 5100 28.25
Buy 5400 38.65 Buy 5200 51.35
23.10 76.90 5423.10 23.10 76.90 5176.90
Sell 5500 15.55 Sell 5100 28.25
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.
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redistributed or passed on, directly or indirectly.
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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
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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
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