Derivatives Report by mnmgroup


									 Derivative Report
 May 11, 2012

Comments                                                        Nifty Vs OI
 The Nifty futures open interest increased by 1.29% while
   Minifty futures open interest is increased by 3.03% as
   market closed at 4965.70 levels.
 The Nifty May future closed at a premium of 1.10 point
   against a premium of 9.15 points. The June series closed
   at a premium of 16.85 points.
 The Implied Volatility of at the money options is
   increased from 21.78% to 22.00%.
 The PCR-OI has being decreased from 0.97 to 0.96
 The total OI of the market is `1,15,895/-cr. and the
   stock futures OI are `25,227/-cr.
 Few of the liquid counters where we have seen high cost-

OI Gainers                                                      View
                               OI                     PRICE      FII’s were net buyers in cash market segment; they
SCRIP               OI       CHANGE       PRICE      CHANGE       were net buyer’s worth of 317/- cr. On derivatives
                               (%)                     (%)        front they was again a muted performance in index
CANBK             1401500       27.24     418.85        3.27      futures, while in index options they were net sellers
                                                                  with decent buildup in open interest.
COALINDIA         6353000       18.17     321.30        -1.59
                                                                 On options front 5000-5100 call option have seen
BPCL              1060500       17.12     704.25        2.23      decent buildup in open interest, while in put option
CUMMINSIND         196500       12.61     457.05        0.76
                                                                  significant amount of unwinding was observed in
                                                                  5000 put option and continuous buildup of open
SRTRANSFIN         360500       12.13     519.90        0.97      interest was seen in 4900 and 4600 put option with
                                                                  increase in IV’s in yesterday’s trading session.

OI Losers                                                        The recent bounce back in the counter of IDFC was
                                                                  mainly due to short covering and have not seen
                               OI                      PRICE      much of the long positions getting buildup in this
SCRIP               OI       CHANGE       PRICE       CHANGE
                                                                  counter. The cost-of-carry in this stock has also
                               (%)                      (%)
                                                                  decreased and we feel the counter could see fresh
ARVIND            3540000      -16.59      78.05         1.10     short positions at higher levels. Hence we
                                                                  recommend to go short on this stock with the target
MPHASIS            255500      -13.39     388.30         0.83
                                                                  price of `107 and stop loss at `125
APOLLOTYRE        7840000      -11.27      81.70        -3.43
UNIPHOS           4718000       -7.42     119.75         2.70
ALBK              3342000       -6.91     152.05         1.27

Put-Call Ratio                                                     Historical Volatility
SCRIP                       PCR-OI          PCR-VOL                SCRIP                                  HV

NIFTY                        0.96             1.04                 LUPIN                                 33.00
BANKNIFTY                    0.59             0.67                 JINDALSAW                             40.44
SBIN                         0.41             0.41                 HEXAWARE                              59.41
RELIANCE                     0.48             0.70                 IVRCLINFRA                            65.48
INFY                         0.44             0.65                 SUZLON                                71.66                                                                                                1
Derivative Report
May 11, 2012

FII Statistics for 10-May-2012                                                                  Turnover on 10-May-2012

                                                               Open Interest
                                                                                                                    No. of      Turnover          Change
 Detail         Buy         Sell       Net                                                        Instrument
                                                                                                                   Contracts     (` in cr.)         (%)
                                                   Contracts           Value      Change
                                                                     (` in cr.)    (%)
INDEX                                                                                           INDEX
              1671.56     1717.10      (45.54)       423,056           10,106            3.63                      515964       11945.65          -4.88
FUTURES                                                                                         FUTURES
INDEX                                                                                           INDEX
             17653.59 18024.60        (371.00)     1,495,631           37,120            3.17                      3287850      83291.66          -3.51
OPTIONS                                                                                         OPTIONS
STOCK                                                                                           STOCK
              1313.32     1152.79      160.52        874,317           20,677            1.13                      465755       11052.68          -12.48
FUTURES                                                                                         FUTURES
STOCK                                                                                           STOCK
               807.10      777.94          29.16      42,313             1,028           3.37                      177028        4432.9           -6.09
OPTIONS                                                                                         OPTIONS
TOTAL        21672.43 21672.43        (226.86)     2,835,317           68,931            2.60   TOTAL              4446597     110722.89          -4.74

 Nifty Spot =4965.70                          Lot Size = 50

 Bull-Call Spreads                                                                Bear-Put Spreads

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

 Buy         5000       85.65                                                     Buy           5000      120.65
                                    39.05      60.95      5039.05                                                    40.50     59.50          4959.50
 Sell        5100       46.60                                                     Sell          4900       80.15
 Buy         5000       85.65                                                     Buy           5000      120.65
                                    62.40     137.60      5062.40                                                    70.95     129.05         4929.05
 Sell        5200       23.25                                                     Sell          4800       49.70
 Buy         5100       46.60                                                     Buy           4900       80.15
                                    23.35      76.65      5123.35                                                    30.45     69.55          4869.55
 Sell        5200       23.25                                                     Sell          4800       49.70

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

Nifty Put-Call Analysis                                                                                                                                    2
Derivative Report
May 11, 2012

      Strategy Date                     Symbol                          Strategy                                Status
       30-04-2012                       NIFTY                           Long Put                  Profit booked on 04-05-2012
       07-05-2012                       NIFTY                      Long Put Ladder                              Open

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SEBI Registration No: INB 010996539                                                                                                                     3

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