7/28/2019 Derivatives Report, 06 Jun 2013

http://slidepdf.com/reader/full/derivatives-report-06-jun-2013 1/3

 

www.angelbroking.com 1

Derivative Report May 10, 2013

Derivative Report Jun 06 , 2013

Comments

   The Nifty futures open interest decreased by 1.42% whileBankNifty futures open interest is decreased by 2.86% asmarket closed at 5923.85 levels.

   The Nifty Jun future closed at premium of 14.45 pointagainst a premium of 12.90 points. The July seriesclosed at a premium of 30.15 points.

   The Implied Volatility of at the money options has

decreased from 16.76% to 16.14%.

  Nifty PCR-OI has remained unchanged at 0.98 levels.

   The total OI of the market is Rs. 1,22,554/- cr. and the

stock futures OI is Rs.29,552/- cr.

  Few of the liquid counters where we have seen high costof carry are PUNJLLOYD, INDHOTEL, UNITECH,

APOLLOTYRE and JPASSOCIAT.

Ni fty Vs OI

OI Gainers

SCRIP O IO I

C H A N G E(%)

PRIC EPRICE

C H A N G E(%)

PFC 8104000 18.48 173.75 -2.94

RCO M 39720000 14.97 116.30 5.59

IDEA 7332000 13.36 136.10 1.18

FIN ANTECH 772000 12.17 828.50 1.92

TECHM 1509250 11.88 917.60 -2.40

Put-Call Ratio

SCRIP PCR-O I PCR-VO L

NIFTY 0.98 0.87

BANKNIFTY 1.82 1.00

SBIN 0.52 0.61

RELIANCE 0.46 0.34

INFY 0.49 0.67

View

   There has being muted performance by FII’s in cashmarket segment since last few trading sessions; theywere net buyers worth of  `89/- cr. only. Onderivatives front some long unwinding was seen inindex futures, while in index options long buildup was

observed by them in yesterday’s trade. 

  On options front 5900 and 6200 call option hasseen good amount of buildup in open interest, whilein put option 5700-5800 strike has seen maximum

buildup in open interest followed by some unwindingin 6000 strike in yesterday’s trading session. 

   The recent bounce in CAIRN was mainly due to shortcovering and the counter has not seen much of thelong positions getting buildup in this rally. The stockin last few trading session has seen taking resistanceat around `290-292 levels and hence we feel thecounter could see some downward pressure in nearterm which could take the stock to around `275. Goshort with the stop loss of `298.

Historical Volatility

SCRIP HV

 JISLJALEQS 56.02

OFSS 49.81

IVRCLINFRA 72.33

BIOCON 25.51

CHAMBLFERT 45.29

OI Losers

SCRIP O IO I

C H A N G E

(%)

PRICEPRICE

C H A N G E

(% )

SIEMEN S 667500 -6.90 579.70 -0.65

M &M 2427500 -6.18 986.55 0.26

GAIL 3234000 -6.15 314.95 1.09

BATAINDIA 2069500 -5.76 865.75 -0.07

BPC L 5121000 -4.58 373.65 0.51

7/28/2019 Derivatives Report, 06 Jun 2013

http://slidepdf.com/reader/full/derivatives-report-06-jun-2013 2/3

 

D eriva tive Repo rtJun 06, 2013

www.angelbroking.com 2

FII Statistics for 05-June-2013

D etail Buy Sell N et

O pen Interest

C ontracts Value Change(` in cr.) (%)

INDEXFUTURES

1323.73 1920.91 (597.18) 256945 7667.21 (0.88)

INDEXOPTIONS

13288.64 13123.68 164.96 1539314 45699.43 2.85

STOCK FUTURES

1257.89 1519.11 (261.22) 1003118 28174.39 0.90

STOCK OPTIONS

812.69 767.63 45.06 54853 1420.77 6.39

 TOTAL 16682.95 17331.33 (648.38) 3876715 82961.80 38.37

Turnover on 05-June-2013

InstrumentNo . o f

Contracts

Turnover

(` in cr.)

Ch an g e

(% )

INDEX

FUTURES3,13,394 9379.88 11.04

INDEXOPTIONS

27,00,464 81259.58 12.41

STOCK FUTURES

4,25,501 12186.15 -6.19

STOCK OPTIONS

2,12,474 6140.35 -11.00

 TOTAL 36,51,833 108965.95 8.29

Ni fty Spot = 5923.85 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

Action Strike Price Risk Rewa rd BEP Action Strike Price Risk Rewa rd BEP

Buy 5900 112.5547.85 52.15 5947.85

Buy 5900 77.4032.80 67.20 5867.20

Sell 6000 64.70 Sell 5800 44.60

Buy 5900 112.5579.35 120.65 5979.35

Buy 5900 77.4053.15 146.85 5846.85

Sell 6100 33.20 Sell 5700 24.25

Buy 6000 64.70

31.50 68.50 6031.50

Buy 5800 44.60

20.35 79.65 5779.65Sell 6100 33.20 Sell 5700 24.25

N ote: Above me ntioned Bullish or Bea rish Spread s in Nifty (Jun. Series) are given as an inform ation a nd not as a recom m enda tion.

Nifty Put-Call Analysis

7/28/2019 Derivatives Report, 06 Jun 2013

http://slidepdf.com/reader/full/derivatives-report-06-jun-2013 3/3

 

D eriva tive Repo rtJun 06, 2013

www.angelbroking.com 3

Stra tegy D ate Symb ol Stra tegy Status

0 3- June-20 13 RELIANC E Long call ladder O pen

Derivative Research Team

Ema il Id : - derivatives.desk@ ang elbroking.com

For Private Circulation Only

SEBI Registration No: INB 010996539

Research Team Tel: 022 - 39357800 E-mail: research@angelbroking.com Website: www.angelbroking.co

DISCLAIMER

 This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment

decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should

make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the

companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine

the merits and risks of such an investment.

Angel Broking Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make

investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained inthis document are those of the analyst, and the company may or may not subscribe to all the views expressed within.

Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and

trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's

fundamentals.

 The information in this document has been printed on the basis of publicly available information, internal data and other reliablesources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as thisdocument is for general guidance only. Angel Broking Limited or any of its affiliates/ group companies shall not be in any wayresponsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in thisreport. Angel Broking Limited has not independently verified all the information contained within this document. Accordingly, wecannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within thisdocument. While Angel Broking Limited endeavors to update on a reasonable basis the information discussed in this material, theremay be regulatory, compliance, or other reasons that prevent us from doing so.

 This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced,

redistributed or passed on, directly or indirectly.

Angel Broking Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment banking or

other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of this report or

in the past.

Neither Angel Broking Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise from or

in connection with the use of this information.

N ote: Please refer to the im portant `Stock Ho lding D isclosure' repor t on the Angel website (Research Section). Also, please refer tothe latest update on respective stocks for the disclosure status in respect of those stocks. Angel Broking Limited and its affiliates mayhave investment positions in the stocks recommended in this report.