understanding derivative markets Derivative Report

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					                                                                                          Derivative Report
                                                                                                         India Research
                                                                                                               April 25, 2012
 Comments                                                          Nifty Vs OI
  The Nifty futures open interest increased by 3.04% while
       Minifty futures open interest is decreased by 1.15% as
       market closed at 5222.65 levels.
  The Nifty April future closed at a premium of 1.70 point
       against a discount of 2.00 points. The May series closed
       at a premium of 38.30 points.
  The Implied Volatility of at the money options is
       decreased from 23.44% to 20.86%
  The PCR-OI has being increased from 1.06 to 1.07
       points.
  The total OI of the market is `1,28,254/-cr. and the
       stock futures OI are `30,709/-cr.
  Few of the liquid counters where we have seen high
       rollovers are ABGSHIP, PUNJLLOYD, HDFC, MARUTI
       and ALOKTEXT.


OI Gainers
                                  OI                    PRICE     View
SCRIP                 OI        CHANGE      PRICE      CHANGE
                                  (%)                    (%)       FII’s were net sellers in cash market segment; they
                                                                        were net sellers worth of `861/- cr. On derivatives
ASIANPAINT            166625       57.38   3462.00      -0.26           front not much of activity was observed by them,
CANBK               1283500        31.17    471.60       0.07           however they were net sellers in both index futures
                                                                        and in index options but the quantum of selling was
AMBUJACEM          11404000        26.37    150.55      -4.62           quite minimal.
BPCL                1174000        22.68    687.60       1.92      On options front not much of buildup was seen in
                                                                        any of the strike price except 5000 put option where
GESHIP                221000       21.43    254.10       0.85
                                                                        we have seen some buildup in open interest.
                                                                        However good amount of unwinding was observed in
OI Losers
                                                                        5400 call option, while in put option 5100 and 5300
                                 OI                     PRICE           strike price have seen some unwinding in open
SCRIP                 OI       CHANGE       PRICE      CHANGE           interest in yesterday’s trading session.
                                 (%)                     (%)
                                                                        We have seen good amount of buildup in the
FORTIS              5286000      -27.77     106.35      1.48            counter of ONGC in last 4-5 trading session and
                                                                        price activity has also being very much flat. We feel
NATIONALUM           732000      -27.38      60.10      8.00
                                                                        majority of the buildup in the counter is on the
PETRONET            5708000      -14.32     146.80      -0.61           shorter side as cost-of-carry is also quite low. Hence
                                                                        we recommend to go short on this stock with the
TTKPRESTIG            90500      -12.56    3435.50      -3.73
                                                                        target price of `254 and stop loss at `275.
CROMPGREAV          4520000      -11.13     130.65      3.81


Put-Call Ratio                                                    Historical Volatility
SCRIP                          PCR-OI         PCR-VOL             SCRIP                                        HV
NIFTY                           1.07            0.99              TCS                                         64.43
INFY                            0.29            0.56              UNIPHOS                                     44.81
BANKNIFTY                       0.72            0.63              WIPRO                                       32.91
SBIN                            0.72            0.62              ULTRACEMCO                                  28.27
RELIANCE                        0.74            1.10              COLPAL                                      31.13

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




FII Statistics for 24-April-2012                                                           Turnover on 24-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                                                                                                            643439       16136.01         19.88
              5273.75     5306.58       (32.83)       465421          11964.70     4.45    FUTURES
FUTURES
                                                                                           INDEX
INDEX                                                                                                            3753825      98697.23         -19.18
             16932.89 16940.87             (7.99)    1530267          39956.90     1.04    OPTIONS
OPTIONS
STOCK                                                                                      STOCK
              7338.53     7199.74       138.79        876781          24154.34     0.66                          1012629      28332.90         37.17
FUTURES                                                                                    FUTURES
STOCK                                                                                      STOCK
               761.75      769.84          (8.08)       43757          1214.07    -5.23                          244077        6957.17             1.67
OPTIONS                                                                                    OPTIONS

TOTAL        30306.92 30217.03             89.88     2916226          77290.02     1.35    TOTAL                 5653970      150123.31        -7.95




 Nifty Spot =5222.65                           Lot Size = 50


 Bull-Call Spreads                                                               Bear-Put Spreads

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

 Buy         5300         9.15                                                   Buy       5200       26.40
                                    7.85        92.15      5307.85                                                 20.30     79.70       5179.70
 Sell        5400         1.30                                                   Sell      5100           6.10
 Buy         5300         9.15                                                   Buy       5200       26.40
                                    8.70       191.30      5308.70                                                 25.10     174.90      5174.90
 Sell        5500         0.45                                                   Sell      5000           1.30
 Buy         5400         1.30                                                   Buy       5100           6.10
                                    0.85        99.15      5400.85                                                  4.80     95.20       5095.20
 Sell        5500         0.45                                                   Sell      5000           1.30

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
      23-04-2012                         SBIN                          Long Put                                Open




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For Private Circulation Only                    SEBI Registration No: INB 010996539                                                    3

				
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