Docstoc

Icici Equity Research

Document Sample
Icici Equity Research Powered By Docstoc
					ICICI Securities Limited
      Weekly Derivative
                                                                                                                                                                                                                                                                                                                          September 9, 2011

Nifty Options OI Distribution                                                                                                                      Nifty highlights
                                                                                                                                                      Week on week                                             Spot                         Fut             COC(%)                            Tot Fut OI                  PCR OI             PCR Vol                 ATM IV (%)
                                      Nifty Call Put Concentration (Sep)                                                                            Current                                                    5059                        5053                -1.7                           29845950                      1.43                1.07                         26
                  100
                                                                                                                                                    Previous                                                   5040                        5034                -1.6                           28030200                      1.34                1.03                         25
                  80
 Shares in Lacs




                                                                                                                                                    Change (%)                                                  0.4                         0.4                   -                                 6.5                        -                   -                          -
                  60                                                                                                                               Source: NSE, Seediff, ICICIdirect.com Research
                                              76.3




                  40
                                                                74.4



                                                                72.4
                               66.6




                                                               62.6




                                                              56.7



                                                              55.7
                                                              52.4                                                                                 Weekly Analysis
                                                             49.3

                                                            43.7
                                                           36.1



                  20
                                                          28.0
                                                      15.7




                                                          16.2
                            6.9

                                       7.9




                                                          8.9

                                                          7.9
                     0                                                                                                                              •       Volatility remained on the higher side due to mixed global cues last week when
                            4600 4700 4800 4900 5000 5100 5200 5300 5400                                                                                    the Nifty surged to 5150 after making a low at 4950 on Tuesday. Friday's trade saw
                                                                   CALL OI                   PUT OI                                                         the Nifty shedding off almost 100 points before closing the week almost flat.
                                                                                                                                                            However, delivery based buying was seen in the auto and pharma space, which
                                                                                                                                                            kept the momentum alive in these sectors
FII Activity
                                                                                                                                                    •       Nifty options did not witness any major activity in deep OTM strikes last week
                         Index Fut                        Stock Fut                           Index Opt                                 Cash
                                                                                                                                                            unlike the previous week. However, significant additions were seen around ATM
Date                                 Net Buy                            Net Buy                         Net Buy                   Net Buy                   Put strikes. Highest accumulation at 4800 Put strike seems to be an important
        40788                                   539                               414                            891                    1178                support level in coming sessions. On the other hand, despite upsides till 5165, no
        40791                                 -566                                350                           -113                         212            major closure was seen in the 5100 Call strike
        40792                            -1078                                    507                           1173                         569
                                                                                                                                                   Index Outlook
        40793                                   282                               459                            145                         374
        40794                                   -23                               604                            185                         NA     •       Nifty: the Nifty is likely to trade with a bearish bias if it fails to hold 5050. A move
                                                                                                                                                            above 5150 may trigger substantial short covering in index heavyweights. With
Turnover                                                                                                                                                    upcoming events like inflation, IIP numbers and RBI monetary policy, we expect
                                                                                                                                                            the Nifty to remain volatile in the range of 4850-5150
 135,000
                                                                                                                                                    •       Bank Nifty: The banking index may remain under pressure below 9800.
 125,000                                                                                                                                                    Significant accumulation of short positions in private banking stocks may keep the
 115,000                                                                                                                                                    index subdued for a while. On the downsides, 9200 is expected to remain an
                                                                                                                                                            important support
 105,000
                                                                                                                                   128,881
                                                                                                             126,300
                                                                                         122,904




                                                                                                                                                   Sectoral OI activity
                                                              117,843




    95,000
                                      113,807




                                                                             109,933




    85,000                                                                                                                                          •       Apart from pharma, metals and the telecom space, most of the sectors have
                                                                                                    95,863


                                                                                                                         90,346




                                                                                                                                                            gained fresh open interest. Highest addition of open interest was seen in oil & gas
                            83,197


                                                     82,058




    75,000
                                                                                                                                                            and realty stocks. Fresh addition of short positions was observed in the banking
    65,000                                                                                                                                                  and capital goods space as well
                                 2-Sep


                                                         5-Sep


                                                                                  6-Sep


                                                                                                        7-Sep


                                                                                                                                8-Sep




                                                                                                                                                   Sectoral OI Change
                      Turnover (in | Cr)                                                       Market OI (in | Cr)
                                                                                                                                                     20
Nifty Spot vs. ratio of stock/index future OI                                                                                                        10

                                                                                                                                                        0
   5900                                                                                                                             100             -10
                                                                                                                                                                                                                                                                                                                                                           Telecom



                                                                                                                                    90
                                                                                                                                                                                                                                             CG




                                                                                                                                                                                                                                                                                                                            Realty




                                                                                                                                                                                                                                                                                                                                              Technology
                                                                                                                                                                          Banking




                                                                                                                                                                                                                                 Finance




                                                                                                                                                                                                                                                            Infrastructure




                                                                                                                                                                                                                                                                                                                                                                     Textile
                                                                                                                                                                  obile




                                                                                                                                                                                                                                                                              edia




                                                                                                                                                                                                                                                                                                              a
                                                                                                                                                                                                                                                    otels




                                                                                                                                                                                                                                                                                                    as
                                                                                                                                                                                                                                                                                      etals
                                                                                                                                                                                                                Fertilisers




                                                                                                                                                                                                                                                                                                                     er




                                                                                                                                                                                                                                                                                                                                     Sugar
                                                                                                                                                                                                         ent




                                                                                                                                                                                                                                                                                                                                                                               Transport
                                                                                                                                                                                    Capital
                                                                                                                                                                                               oods




   5700
                                                                                                                                                                                                                                                                                                         Pharm

                                                                                                                                                                                                                                                                                                                  Pow
                                                                                                                                                                                                                                                                                                O &G
                                                                                                                                                                                                                                           FM
                                                                                                                                                                                                      Cem




                                                                                                                                                                                                                                                                             M
                                                                                                                                                              utom




                                                                                                                                                                                                                                                                                     M
                                                                                                                                                                                                                                                   H
                                                                                                                                                                                              G




   5500                                                                                                                             80
                                                                                                                                                                                                                                                                                                 il
                                                                                                                                                             A




                                                                                                                                    70
   5300                                                                                                                                                                                                                                                            % Chg in Futures OI
                                                                                                                                    60
   5100                                                                                                                             50
   4900                                                                                                                                            Source: Company, ICICIdirect.com Research
                                                                                                                                    40
   4700                                                                                                                             30             Weekly Strategy
                   Jan-11
                            Feb-11
                                     Mar-11
                                                Mar-11
                                                          Apr-11
                                                                    May-11
                                                                                Jun-11
                                                                                           Jun-11
                                                                                                    Jul-11
                                                                                                             Aug-11
                                                                                                                       Aug-11




                                                                                                                                                   i) CIPLA (CIPLA)                                                                                                            ii) TATA STEEL (TISCO)
                                                                                                                                                   Long CIPLA Sept futures above 292                                                                                           Short TISCO Sep Futures below 470
                             Nifty Spot (LHS)                                          Ratio (Stk/Ind fut OI)
                                                                                                                                                   View: Bullish                                                                                                               View: Bearish
                                                                                                                                                   Target : 299                                                                                                                Target : 454
Analyst                                                                                                                                            Stop Loss : 289                                                                                                             Stop Loss :477
 Amit Gupta                                                                                                                                        Market lot : 1000                                                                                                           Market lot :500
 amit.gup@icicisecurities.com
                                                                                                                                                   Strategy Follow-up
 Azeem Ahmad                                                                                                                                       Date                     Underlying                                         View               Strategy                    Reco            Target              SL         Profit/Loss                              Comment
 azeem.ahmad@icicisecurities.com                                                                                                                   02-Sep-11                          DLFLIM                           Bearish                Sell Future 197.5                                187.0           203                     5750                      Profit Booked
                                                                                                                                                   02-Sep-11                                  INFY                            Bullish         Buy Future 2346.0                               2390.0         2320.0                   -3250                       SL Triggered
 Raj Deepak Singh
 rajdeepak.singh@icicisecurities.com

          ICICIdirect.com | Equity Research
ICICI Securities Limited


Derivatives research – product basket
Directional                                                                   Non-directional                                                                      Quant products
Long build up/Short covering Futures                                          Theta & Vega strategies                                                              Pairs trading
Short build up Futures                                                        Delta differential strategy                                                          Enhanced portfolio
High OI stocks – delivery product                                             Option indicators analysis                                                           VIX analysis
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,
                                                           7th Floor, Akruti Centre Point,
                                                           MIDC Main Road, Marol Naka
                                                           Andheri (East), Mumbai – 400 093
                                                           research@icicidirect.com




     DISCLAIMER: The report and information contained herein is strictly confidential and meant solely for the selected recipient and may not be altered in any way, transmitted to, copied
     or distributed, in part or in whole, to any other person or to the media or reproduced in any form, without prior written consent of ICICI Securities Limited. "The author of the report
     does not hold any investment/open position in any of the companies mentioned in this report. ICICI Securities Services Ltd (I-Sec) may be holding a small number of shares/ an open
     position in the above referred companies as on the date of release of this report." This report is based on information obtained from public sources and sources believed to be reliable,
     but no independent verification has been made nor is its accuracy or completeness guaranteed. This report and information herein is solely for informational purpose and may not be
     used or considered as an offer document or solicitation of offer to buy or sell or subscribe for securities or other financial instruments. Nothing in this report constitutes investment,
     legal, accounting and tax advice or a representation that any investment or strategy is suitable or appropriate to your specific circumstances. The securities discussed and opinions
     expressed in this report may not be suitable for all investors, who must make their own investment decisions, based on their own investment objectives, financial positions and needs
     of specific recipient. This may not be taken in substitution for the exercise of independent judgement by any recipient. The recipient should independently evaluate the investment
     risks. ICICI Securities Ltd and affiliates accept no liabilities for any loss or damage of any kind arising out of the use of this report. Past performance is not necessarily a guide to future
     performance. Actual results may differ materially from those set forth in projections. ICICI Securities Ltd 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 ICICI
     Securities Ltd 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.




  ICICIdirect.com | Equity Research
                                                                                                                                                                                             Page 2

				
DOCUMENT INFO
Description: Icici Equity Research document sample