daily-derivatives 05-03

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					      Daily Derivative
                                                                                                                                                                                                      March 5, 2012
                                                                                                                                                                                                    March 5, 2012
Nifty Futures – OI vs. Price                                                                        Nifty Snapshot & Pivot Points
                  38                                                                 5700                                   Spot       Fut      COC (%)         Tot Fut OI          PCR OI      PCR Vol                  ATM IV
                                                                                                    Current                5359      5392            8.11        27764700             1.23            1.00                 27.12
                  34
                                                                                     5600           Previous               5340      5391          12.45         27652800             1.22            1.03                 26.36
                  30                                                                                Change (%)             0.36%     0.01%               -             0.4%              -                  -                      -
                                37.6




                                                                                     5500           Pivot levels (Feb)                S3          S2             S1            Piv            R1                 R2          R3
  Millions




                  26
                            31.6
                          30.2




                                                                                                    Nifty future                     5220       5307           5349           5394           5436               5481       5568
                          29.9
                          29.8
                         28.4




                         27.9

                         27.8
                         27.7
                                                                                     5400
                        27.3
                        26.9
                        26.5
                       25.4




                  22                                                                                Source: NSE, Seediff, ICICIdirect.com Research
                  18                                                                 5300
                                                                                                    F&O Highlights
                        1-Mar
                        2-Mar
                       14-Feb
                       15-Feb
                       16-Feb
                       17-Feb
                       21-Feb
                       22-Feb
                       23-Feb
                       24-Feb
                       27-Feb
                       28-Feb
                       29-Feb




                                                                                                    • The Nifty traded volatile in Friday’s session and finally closed at 5359
                                                                                                    • India VIX went up from 27.84 to 28.20 (up 1.29%)
                        Nifty Futures OI                     Nifty Fut Price (RHS)
                                                                                                    • In the options space, on the Call side, marginal additions were seen at the 5700
                                                                                                       Call while 5900 Call saw marginal closures. On the Put side, marginal closures
Nifty Options OI Distribution
                                                                                                       were seen in 5000, 5200, 5400, 5500 and 5600 Put while 5100 Put saw marginal
                                Nifty Call Put Concentration (Mar)                                     additions
              75                                                                                    Index Outlook
 Shares in Lacs




              50                                                                                    • Nifty: The Nifty is likely to open flat on the back of mixed global cues. It is likely
                                                                                                        to trade in the range of 5340-5420. The trading strategy would be to create short
                                              73.7


                                                            65.3




              25                                                                                        positions if the Nifty resists at around 5402 levels for targets of 5375 and 5355.
                                                                                      44.9
                         42.8




                                                                             42.8
                                  41.0




                                                                    36.4
                                                                   31.5



                                                                            30.3
                       13.6




                                           20.9


                                                      20.4




                                                                                    10.8




                                                                                                        On the other hand, one can also create long positions if it takes support at
                                7.2




                  0                                                                                     around 5340 levels
                       5000      5100      5200        5300        5400      5500    5600           • Bank Nifty: The Bank Nifty is likely to trade in the range of 10350-10740
                                              CALL OI              PUT OI                           Stock Analysis

Active Nifty Strike                                                                                 • OI addition :- We saw long build-up in Aurobindo Pharma, Voltas Ltd, Financial
                                                                                                        Technologies, OBC and IOB while short build-up was seen in DCB, United
                                Call (%)                            Put (%)
                                                                                                        Phosphorus, PFC, Indiabulls Real Estate, Cairn India and HDIL
Strike                           OI chg               IV (%)           OI chg           IV (%)
                                                                                                    • OI unwinding :- We saw long closure in Bombay Dyeing, Jubilant food, ONGC,
5200                                -0.3                27.6              -0.8            28.8
                                                                                                        Reliance Capital and Adani Power while short covering was seen in IRB Infra,
5300                                0.4                 27.0                 1.4         27.7           Ambuja Cement, Federal Bank and Jindal Steel & Power
5400                                -0.1                26.4                -1.2         26.6       Open Interest activity
5500                                1.9                 25.6                -5.2         25.7
                                                                                                    Symbol               OI(Shrs)      %Chg      Price       %Chg Symbol              OI(Shrs) %Chg               Price %Chg
5600                                0.9                 25.1                -4.1         24.9
                                                                                                    LUPIN                1106000        66.57   493.45        1.37 IRB                1308000       -23.6       188.95    4.51
                                                                                                    AUROPHARM            4096000        18.04    121.6        7.61 JUBLFOOD            594000 -13.82             970.3    -4.65
FII Statistics (in crore)                                                                           UNIPHOS              6700000        16.89    137.4       -4.35 ONGC              10455000 -10.63            279.05    -2.92
Segment                             Buy              Sell           Net       OI (lots) %Chg        DCB                  8976000        16.39     47.6       -4.71 NMDC               1110000 -10.34            185.35    -0.05
Index futures                         43              23             21        479283        -1.0   FINANTECH            1033750        12.55    857.3        3.66 BANKBAROD 2477000                -10.3          829    -0.02
Index options                        110              90             20       1557265        -0.6
Stock futures                         49              39             10        974409        0.0    Intraday Strategy*
Stock options                          0               0              0         47084         2.2   i) Aurobindo Pharma (AURPHA)                                ii) PFC (POWFIN)
Total                                202             151             51       3058041        -0.4   Buy AURPHA Mar Fut in the rng of 121-121.20                 Sell POWFIN in the rng of 195.50-195.70
                                                                                                    View: Bullish                                               View: Bearish
F&O Turnover                                                                                        Strategy: Buy Future                                        Strategy: Sell Future
Instrument                            No. of Contracts                 Turnover          %Chg       Target 1 : 125. Target 2 : 128                              Target 1 :191 Target 2 : 189
Index Fut                                         506441                    12704         -0.61     Stop Loss: 119.40                                           Stop Loss: 197.20
Stock Fut                                          508909                   14746       -14.80      Market Lot: 2000                                            Market Lot:2000
Index Opt                                         1866710                   51019       -18.48      Source: Company, ICICIdirect.com Research
Stock Opt                                          137099                    4077       -14.16      Strategy follow-up
F&O Total                                         3019159                   82546       -15.27      Date                   Stock       View     Strategy        Reco      Target         SL Profit/Los                 Comment
                                                                                                    2-Mar-12               BSES       Bullish   Long Fut       610.5      623.0       603.9         6250           Profit Booked
Analyst                                                                                             2-Mar-12        MAHMAH           Bearish    Short Fut      689.0         52.5      55.6         3000           Closed at 683
 Amit Gupta
 amit.gup@icicisecurities.com
 Ankit Tikmany
 ankit.tikmany@icicisecurities.com
 Azeem Ahmad
 azeem.ahmad@icicisecurities.com
 Raj Deepak Singh
 rajdeepak.singh@icicisecurities.com

          ICICI Securities Ltd. | Retail Equity Research
Derivatives research – product basket
Directional                                                                   Non-directional                                                                     Quant products
Long build up/Short covering Futures                                          Theta & Vega strategies                                                             Pair trading
Short build up Futures                                                        Delta differential strategy                                                          Enhanced Basket
High OI stocks – delivery product                                             Option indicators analysis                                                           VIX Analyser
Plain vanilla options                                                         Gamma neutral delta neutral strategy                                                Quant Picks
Deep Value Strategy                                                           Reverse, Synthetic options & Situational arbitrage                                   Volatility Insights
Hybrid Strategies – Index/Stocks                                              Opportunity Matrix
Rollover week product ( Long/Short rollover stocks)                           Calendar Spreads
VWAP(expiry day product)                                                      Ratio Spreads




      Pankaj Pandey                                         Head – Research                                                   pankaj.pandey@icicisecurities.com

                                                            ICICIdirect.com Derivatives Desk

                                                              ICICI Securities Limited,
                                                              1st Floor, Akruti Trade Centre,
                                                              Road No 7, MIDC
                                                              Andheri (East), Mumbai – 400 093

                                                              research@icicidirect.com




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  ICICI Securities Ltd. | Retail Equity Research                                                                                                                                         Page 2

				
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