Derivatives Report, 17 April 2013

7/28/2019 Derivatives Report, 17 April 2013

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Derivative Report Apr 17, 2013

Comments

The Nifty futures open interest increased by 5.47% whileBankNifty futures open interest is increased by 16.27% asmarket closed at 5688.95 levels.

The Nifty Apr. future closed at premium of 7.40 pointagainst a discount of 0.35 points. The May series closedat a premium of 24.70 points.

The Implied Volatility of at the money options has

decreased from 16.60% to 15.38%.

Nifty PCR-OI has increased from 0.93 to 1.02 levels.

The total OI of the market is Rs. 1,50,559/- cr. and the

stock futures OI is Rs.28,804/- cr.

Few of the liquid counters where we have seen high costof carry are JUBLFOOD, DISHTV, STER, DIVISLAB and

IOB.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

ZEEL 7506000 46.95 200.10 -3.55

HINDZINC 2796000 37.19 107.95 -4.41

UNIONBANK 3610000 24.05 233.00 3.64

ANDHRABANK 4736000 23.85 91.95 0.87

SUNTV 2613000 14.30 369.25 5.00

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.02 1.04

BANKNIFTY 1.54 1.11

INFY 0.50 0.58

RELIANCE 0.86 0.73

SBIN 1.01 0.83

View

The bounce back in yesterday’s trade was backed bygood amount of buying observed by FII’s in cashmarket segment; they were net buyers worth of Rs.592/- cr. On derivatives front significant amountof short covering was also observed by them in indexfutures.

On options front 5900-6000 call option has seengood amount of buildup in open interest followed bysignificant amount of unwinding seen in 5500-5700

strike price. While in put option 5600-5700 strikeshas seen significant amount of buildup in openinterest in yesterday’s trade.

The recent bounce in SBIN was mainly due to shortcovering and the stock has not seen major longbuildup during this rally. Good amount of shortpositions is still intact in this counter and 2200 calloption has very huge buildup in open interest whichaccording to us could be on the shorter side. Hencethe stock could face resistance around that level andcan see some selling pressure which could take thecounter to around Rs.2090. Go short at aroundRs.2190-2200 with the stop loss of Rs.2240.

Historical Volatility

SCRIP HV

AXISBANK 38.52

M&M 28.72

HDFCBANK 27.27

CESC 49.67

DRREDDY 30.77

OI Losers

SCRIP OIOI

CHANGE

(%)

PRICEPRICE

CHANGE

(%)

FRL 3690000 -44.04 161.60 8.04

IBREALEST 17852000 -7.67 59.15 5.82

IGL 1352000 -6.89 297.00 -1.26

NTPC 12652000 -5.86 143.95 2.13

ORIENTBANK 1825000 -4.95 259.70 5.34



Derivative ReporApr 17, 2013

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FII Statistics for 16-April-2013

Detail Buy Sell Net

Open Interest

Contracts Value Change(̀ in cr.) (%)

INDEXFUTURES

4271.92 3006.94 1264.98 430187 12303.19 (9.33)

INDEXOPTIONS

21135.69 20743.25 392.44 1846389 52584.60 1.00

STOCK FUTURES

2402.05 2031.62 370.43 831261 24408.64 0.20

STOCK OPTIONS

2285.63 2365.36 (79.73) 110764 3016.76 7.86

TOTAL 30095.29 28147.17 1948.11 3218601 92313.19 (0.50)

Turnover on 16-April-2013

InstrumentNo. of

Contracts Turnover

(̀ in cr.)Change

(%)

INDEX

FUTURES4,73,911 13523.22 42.46

INDEXOPTIONS

52,41,824 148266.54 31.47

STOCK FUTURES

5,64,486 16909.98 -0.16

STOCK OPTIONS

5,19,258 15092.15 -22.39

TOTAL 67,99,479 193791.89 22.15

Nifty Spot =5688.95 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 5700 51.8034.55 65.45 5734.55

Buy 5700 57.2032.80 67.20 5667.20

Sell 5800 17.25 Sell 5600 24.40

Buy 5700 51.8047.55 152.45 5747.55

Buy 5700 57.2046.90 153.10 5653.10

Sell 5900 4.25 Sell 5500 10.30

Buy 5800 17.2513.00 87.00 5813.00

Buy 5600 24.4014.10 85.90 5585.90

Sell 5900 4.25 Sell 5500 10.30

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

Nifty Put-Call Analysis



Documents

Derivatives Report, 17 April 2013