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Derivative Report
India Research
April 23, 2012
Comments Nifty Vs OI
The Nifty futures open interest decreased by 1.39% while
Minifty futures open interest is decreased by 5.07% as
market closed at 5290.85 levels.
The Nifty April future closed at a premium of 11.15 point
against a premium of 23.80 points. The May series
closed at a premium of 47.30 points.
The Implied Volatility of at the money options is
decreased from 17.13% to 17.03%
The PCR-OI has being decreased from 1.15 to 1.14
points.
The total OI of the market is `1,23,817/-cr. and the
stock futures OI are `30,372/-cr.
Few of the liquid counters where we have seen high cost-
of-carry are BPCL, ABIRLANUVO, LITL, BHEL and
JUBLFOOD.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%) FII’s were net buyers in cash market segment; they
were net buyer’s worth of `314/- cr. on Friday’s
ADANIPORTS 8876000 40.22 130.65 -2.57 trading session. On derivatives front they were net
MAX 771000 32.70 193.90 -1.97 sellers in index futures, while in index options they
were net buyers.
ABIRLANUVO 698750 20.63 993.95 2.02
On options front not much of buildup was observed
BPCL 1146500 19.49 696.25 0.21 except 5100 put option where some buildup was
visible, however good amount of unwinding was
AXISBANK 6281500 18.24 1177.15 -1.54
observed in most of the strike prices. In call option
front 5300-5500 strike price have seen some
OI Losers
unwinding, while in put option 5300 strike price have
OI PRICE seen maximum unwinding in Friday’s trading session.
SCRIP OI CHANGE PRICE CHANGE The counter of RELCAPITAL have seen significant
(%) (%)
amount of short buildup at higher levels. We feel
ABAN 2675000 -25.96 420.75 -3.66 some short covering bounce back could come in this
counter as the cost-of-carry is being increasing
DHANBANK 3340000 -15.40 67.10 -5.69
continuously. Hence we recommend short term
GESHIP 198000 -15.38 256.55 -2.34 traders to trade with positive bias in this stock and
can go long for the bounce back at around `337-
ANDHRABANK 756000 -13.70 124.00 -0.24
340 with the target price of `359 and stop loss at
IRB 1588000 -12.65 190.80 -1.73 `327.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.14 1.06 PUNJLLOYD 82.47
INFY 0.28 0.47 PETRONET 37.26
BANKNIFTY 0.82 0.85 SUZLON 63.97
SBIN 0.92 0.61 NATIONALUM 62.22
RELIANCE 0.91 1.16 TATACHEM 29.93
SEBI Registration No: INB 010996539 For Private Circulation Only 1
Derivative Report | India Research
FII Statistics for 20-April-2012 Turnover on 20-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 537020 13416.98 49.59
1955.47 2058.16 (102.69) 439478 11536.23 0.78 FUTURES
FUTURES
INDEX
INDEX 4026243 107310.57 35.01
15700.71 15309.88 390.83 1496336 39582.63 1.99 OPTIONS
OPTIONS
STOCK STOCK
2452.81 2951.65 (498.83) 854643 24018.68 1.64 588320 17363.96 12.60
FUTURES FUTURES
STOCK STOCK
924.18 954.16 (29.97) 49675 1399.07 -1.12 223331 6470.27 11.98
OPTIONS OPTIONS
TOTAL 21033.17 21273.84 (240.67) 2840132 76536.61 1.64 TOTAL 5374914 144561.78 31.84
Nifty Spot =5290.85 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 49.20 Buy 5300 48.25 30.10 69.90 5269.90
36.45 63.55 5336.45
Sell 5400 12.75 Sell 5200 18.15
Buy 5300 49.20 Buy 5300 48.25 41.80 158.20 5258.20
47.20 152.80 5347.20
Sell 5500 2.00 Sell 5100 6.45
Buy 5400 12.75 Buy 5200 18.15
10.75 89.25 5410.75 11.70 88.30 5188.30
Sell 5500 2.00 Sell 5100 6.45
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
16-04-2012 HDFC Call Hedge 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
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investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in this
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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.
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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
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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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