daring+derivatives-Sept25 by mudgalbharat


									daring derivatives
September 25, 2008

Derivatives Summary
Nifty (September) future premium has increased from 16.45 points to 18.70 points and around 3.35 lakh shares were shed in open interest. Total open interest in the market was Rs87,287 crore and Rs1,842 crore were added in open interest. Nifty call option added 12.20 lakh shares in open interest, whereas put option added 8.22 lakh shares in open interest. Kotak Mahindra Bank (86%), Canara Bank (30%), GVK Power and Infrastructure (12%), National Aluminum (11%) and Rolta India (10%) were the top open interest gainers in the market. Great Offshore (-38%), Akruti City (-20%), Ballarpur Industries (-16%) and Essar Oil (-10%) were the top open interest losers in the market.
NIFTY SNAPSHOT Current Nifty (Curr. MTH) Nifty CoC OI Vol PCR(OI) PCR ( VOL) 4179.95 164.03% 41020050 46047300 0.94 0.81 Previous 4143.35 72.75% 41355600 51107300 0.95 0.98 % Change 0.88% 125.48% -0.81% -9.90% -1.05% -17.35%

MOST ACTIVE INDEX CALL OPTION Strike 4200 C 4100 C 4300 C 4500 OCT C 4400 OCT C Curr. IV 40.31% 41.48% 44.47% 34.07% 34.39% Pre. IV 42.47% 43.31% 44.35% 35.49% 35.90% Curr. OI OI Chg% 2472650 1486150 3488350 1148850 887500 11.77% 6.51% -6.04% 50.41% 44.49%

MOST ACTIVE INDEX PUT OPTION Strike 4100 P 4200 P Curr. IV Pre. IV 48.76% 47.45% 40.49% 42.78% 41.07% 36.23% 53.92% 51.09% 38.72% 39.46% Curr. OI OI Chg% 2822700 3066800 3021350 2036050 29.50% -0.76% -2.35% 9.09% OI Chg%

Market View
The market opened on an optimistic note on account of positive cues from global markets and remained in the wide range of 4,1354,200 with very high volatility all through the day. The index ended the session with a gain of 34 points at 4,161. Volumes in Nifty futures were marginally lower than the average trading volumes. Around 3.35 lakh shares were reduced in open interest with an increase in the cost of carry, indicating short covering at lower levels. On the option front, implied volatility has decreased marginally indicating positive bias for the market.

4300 P 4000 P 4000 OCT P Strike

2044650 -26.52%

MOST ACTIVE STOCK FUTURES Curr. Pre. Curr. OI CoC CoC OI 85.63% 80.04% 69.68% -82.02% 42.89% 71.64% 132.24% 9.11%


4965150 -15.34% 6246450 -26.60% 1943040 -30.26% 3302376 -19.33%

STER 138.40% 95.43% 4416354 -25.86% FII'S FUTURE & OPTIONS ACTIVITY (IN CRS) 23 SEPT Buy INDEX FUTURES STOCK FUTURES STOCK OPTIONS TOTAL 4391.89 3855.70 1.36 9277.72 INDEX OPTIONS 1028.77 Sell Difference 5194.83 391.96 3936.46 29.47 9552.72 -802.94 636.81 -80.76 -28.11 -275.00
For Private Circulation only


MOST ACTIVE STOCK CALL OPTIONS Curr. Pre. Curr. IV (%) IV (%) OI (%) 47.27% 87.80% 53.12% 42.62% 50.94% 66.45% 70.98% 57.90% 66600 8800 566000 23750 195125

OI Chg % -9.11% 0.00% 3.19% 31.94% -1.24%


MOST ACTIVE STOCK PUT OPTIONS Curr. Pre. Curr. IV (%) IV (%) OI (%) 49.21% 63.85% 53.47% 82.29% 51.96% 63.17% 98.10% 55.18% 87.47% 293175 141900 572700 849225 86400

OI Chg % -6.44% 3.27% 21.17% -14.21% 3.85%


RELIANCE 2100 P SBIN 1500 P RPL 150 P DLF 400 P

CHAMBLFERT 60 P 111.87%

1219.01% 838.15%

visit us at sharekhan.com

Daring Derivatives — September 25, 2008 — 1

Recommendation Tracker
Date 24-Sep-08 24-Sep-08 23-Sep-08 23-Sep-08 23-Sep-08 23-Sep-08 22-Sep-08 22-Sep-08 Scrips Reliance Capital Nifty Nifty PE 4200 Axis Bank BankNifty Renuka Sugar BankNifty Nifty Buy/sell Sell Sell Buy Sell Sell Buy Sell Sell Initiation Range 1235-1238 4174-4178 61-64 703-705 6230-6240 108-109 6275-6280 4280-4282 Stop loss 1262 4225 ® 35 ® 707 ® 6330 107.50 ® 6380 4290 ® Target 1200-1180 100-125 685-670 6100-6050 114 6160-6100 4210-4180 Time frame 1-2 Days 1-2 Days Expiry 1-2 Days 1-2 Days Intraday Intraday 1-2 Days Remark Open @ 1245 Stopped Out Stopped Out Book profit @ 696 Book Profit @ 6147 Book Profit @ 110 Close @ 6295-6300 Book Profit @ 4228

For Private Circulation only
Disclaimer “This document has been prepared by Sharekhan Ltd. This Document is subject to changes without prior notice and is intended only for the person or entity to which it is addressed to and may contain confidential and/or privileged material and is not for any type of circulation. Any review, retransmission, or any other use is prohibited. Kindly note that this document does not constitute an offer or solicitation for the purchase or sale of any financial instrument or as an official confirmation of any transaction. Though disseminated to all the customers simultaneously, not all customers may receive this report at the same time. SHAREKHAN will not treat recipients as customers by virtue of their receiving this report. The information contained herein is from publicly available data or other sources believed to be reliable. While we would endeavour to update the information herein on reasonable basis, SHAREKHAN, its subsidiaries and associated companies, their directors and employees (“SHAREKHAN and affiliates”) are under no obligation to update or keep the information current. Also, there may be regulatory, compliance, or other reasons that may prevent SHAREKHAN and affiliates from doing so. We do not represent that information contained herein is accurate or complete and it should not be relied upon as such. This document is prepared for assistance only and is not intended to be and must not alone betaken as the basis for an investment decision. The user assumes the entire risk of any use made of this information. Each recipient of this document should make such investigations as it deems necessary to arrive at an independent evaluation of an investment in the securities of companies referred to in this document (including the merits and risks involved), and should consult its own advisors to determine the merits and risks of such an investment. The investment discussed or views expressed may not be suitable for all investors. We do not undertake to advise you as to any change of our views. Affiliates of Sharekhan may have issued other reports that are inconsistent with and reach different conclusion from the information presented in this report. This report is not directed or intended for distribution to, or use by, any person or entity who is a citizen or resident of or located in any locality, state, country or other jurisdiction, where such distribution, publication, availability or use would be contrary to law, regulation or which would subject SHAREKHAN and affiliates to any registration or licensing requirement within such jurisdiction. The securities described herein may or may not be eligible for sale in all jurisdictions or to certain category of investors. Persons in whose possession this document may come are required to inform themselves of and to observe such restriction. SHAREKHAN & affiliates may have used the information set forth herein before publication and may have positions in, may from time to time purchase or sell or may be materially interested in any of the securities mentioned or related securities. SHAREKHAN may from time to time solicit from, or perform investment banking, or other services for, any company mentioned herein. Without limiting any of the foregoing, in no event shall SHAREKHAN, any of its affiliates or any third party involved in, or related to, computing or compiling the information have any liability for any damages of any kind. Any comments or statements made herein are those of the analyst and do not necessarily reflect those of SHAREKHAN.”

For Private Circulation only

2 — Daring Derivatives — September 25, 2008

visit us at sharekhan.com

To top