Daily Derivatives Newsletter 16 March 2012 by icestar


									    Error! Reference source not                              Error! Reference source not
                                                                        found.                         Derivatives Newsletter                16 March 2012

                                                                                F&O Trade Statistics for 15 March-2012
 Nifty    future     opened
  negative and had a volatile                                                              No. of                   Turnover                   Put Call

  session ahead of Union                                  Product                     contracts                     (Rs. cr.)                   Ratio
  Budget. Profit booking in all                         Index Futures                   558373                      14337.34                      -
  major sectors halts nifty                             Stock Futures                   515869                      15519.14                      -
  four consecutive days gain.
                                                       Index Options                   3224357                      88784.22                    0.93

                                                       Stock Options                    177228                      5513.16                     0.55
 Nifty future made a high of
  5508, low of 5397 and it                               F&O Total                     4475827                   124153.85                      0.90
  closed at 5419.                                  Source: NSEIndia.com

 Nifty spot closed at 5380.50                                                         Nifty Futures OI v/s Price
  down by 83.40 points.                                        Date              Settle Price         Volume               Open Int           Change in OI

                                                     09-MARCH-2012                 5364.15             320492              25273650              370850
 Bank Nifty closed at 10595
                                                     12-MARCH-2012                 5388.75             321651              24980300              -293350
  down by 294.70 points.
                                                     13-MARCH-2012                 5468.40             268373              25084500              104200
 CNX IT closed at 6519 up by                        14-MARCH-2012                 5506.10             300704              25770750              686250
  3.80 points.                                       15-MARCH-2012                 5419.10             384522              26388950              618200
                                                   Source: NSEIndia.com
 Nifty March futures closed
  with 38.60 point’s premium.
                                                                                 FII Trading Activity for F&O Segment (Figures in Rs. Crores)
 Nifty heavyweight stocks
  such as RELIANCE and SBIN                                                     Index Futures       Index Options        Stock Futures       Stock Options
  witnessed short build-up.                         07-MARCH-2012                   -743                 -135                   -183                  3

                                                    09-MARCH-2012                    491                   156                  39                118
 Volatility India index VIX
  closed at 25.42 up by 2.83%.                      12-MARCH-2012                   -674                     4                  292                   25

                                                    13-MARCH-2012                    -47                 -220                   132               -168
 PCR (Volume) is at 0.90.                          14-MARCH-2012                    870                   561                  -297               -29

 Nifty March 5400 Put strikes
  witnessed long build-up.
                                                                                   Nifty March Options Price Vs OI
 Nifty March 5500 Put strikes
                                                                        Calls                                                       Puts
  witnessed short covering.                         Calls OI                          IV            Strike          IV                           Puts OI
                                                                      Premium                                                     Premium

                                                   1252600            425.15         29.10          5000         32.75               17.20       6306200
 Nifty March 5400 - 5500 Call
                                                    764050            342.75         31.47          5100         30.86                 27        6032800
  strike witnessed short build-
  up.                                              2410950             254           28.23          5200         29.17               42.80       9122550

                                                   2663250            179.05         26.97          5300         27.53                 67        6375300
 Nifty March 5600 - 5700 &                        4100400            118.35         26.30          5400         26.39             104.50        4996100
  6000 Call strikes witnessed                      6551700             72.35         25.95          5500         25.26                 156       3175800
                                                   7055350             40.60         25.40          5600         24.40                 223       1455950

      Anurag Vishnoi                Himanshu Sharma                                                                                                        1
      anurag.vishnoi@religare.com   sharma.himanshu@religare.com
 Infrastructure sector was
                                                                        Sector wise Price vs. OI
  down by 4.4% as stocks
  PATELENG were down by
  5.9%, 3.1%, 4.9%, 2.6%, 5.4%,
  8.6%,     4.8%    and      5%

 Banking sector was down by
  4% as stocks AXISBANK,
  SBIN,     SYNDIBANK     and
  YESBANK       were down by
  3.4%, 4.5%, 3.6%, 2.6%, 3%,
  3.5%, 2.7%, 5.8% and 3.4%

 Realty sector led by DLF, HDIL,
  IBREALEST,      SOBHA      and
  UNITECH was down by 4.4%.

 Finance,     Infrastructure,
  Pharma, Power, Realty and
  Telecom sector witnessed
  maximum OI activity.

    Stocks Futures with Upward Potential                           Stocks Futures with Downward Potential
                                 %                                                               %
        Stocks       Price                   OI       % change         Stocks        Price                  OI     % change
                               change                                                          change

    ADANIPOWER       77.20      1.98      15776000      17.17          INDIANB       241.60     -2.42     372000     17.35

     HINDUNILVR      392.50     1.97      10078000       6.32          RPOWER        133.85     -2.37   18336000     10.46

        WIPRO        432.50     1.39       5101000       5.92          SUNTV          318       -2.99     759000     7.36

                                    No F & O Trade / Strategy Recommendation for today

                                     F & O Trade / Strategy Recommendation Follow Up

                                                                       Recommended    Target   Stop     Profit /
       Date       Stock        View                  Strategy                                                         Details
                                                                           price       Price   loss      Loss

                                                BULL PUT SPREAD:
                                             SELL 420 MARCH PUT @ 7
    12 MARCH      WIPRO       BULLISH                                   RECEIVED @    0.20      5        -200       TRAIL SL HIT
                                            BUY 400 MARCH PUT @ 2.20

Derivatives Newsletter

                             Follow up Nifty Option Strategy

       Date         Nifty Strategy              Buy/Sell            Price   Exit Price    P/L
                                        SELL 5300 FEB PUT @ 34.30
     10-Feb-12     BULL PUT SPREAD                                  24.5       33        -8.50
                                         BUY 5100 FEB PUT @ 9.80
                                          BUY 5200 FEB CE @ 67
     31-Jan-12     LONG STRANGLE                                    137      184.50      47.50
                                          BUY 5000 FEB PE @ 70
                                              BUY 5000 PUT
     18-Jan-12       BEAR SPREAD                                     43       36.40      -6.60
                                              SELL 4900 PUT
     11-JAN-12        BUY CALL             BUY 4900 JAN CALL         73        78         5.0
     03-JAN-12        BUY CALL             BUY 4800 JAN CALL        100        83         -17
                                           BUY 4700 JAN CALL
     03-JAN-12     BULL CALL SPREAD                                 96.35     85.20      -11.15
                                           SELL 4900 JAN CALL
                                              BUY 4800 PUT
     27-Dec-11     BEAR PUT SPREAD                                  71.05      98        26.95
                                             SELL 4600 PUT

Derivatives Newsletter

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