8/4/2019 Derivatives Report 22nd August 2011

http://slidepdf.com/reader/full/derivatives-report-22nd-august-2011 1/3

 

Derivative ReportIndia Research

Aug 22, 2011

SEBI Registration No: INB 010996539 For Private Circulation Only  1

 

Comments

  The Nifty futures’ open interest increased 0.52% whileMinifty futures’ open interest decreased by 0.97% as

market closed at 4845.65 levels.

  The Nifty Aug future closed at a premium of 5.20 pointagainst a discount 6.10 points, while the Sep futures

closed at a premium of 11.40 points.

  The Implied Volatility of at the money options increased

from 28.25% to 28.50%.

  The PCR-OI has decreased from 0.99 to 0.94 points.

  The total OI of the market is ` 146,657cr and the stock

futures OI is `29,777cr.

  Few liquid stocks where CoC is positive areSKUMARSYNF, APOLLOTYRE, GTOFFSHO RE, SUZLON

and TITAN.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

IBREALEST 20542000 18.08 79.30 4.14

DHANBANK 1190000 17.13 75.35 -4.38

JSWENERGY 2304000 17.07 53.15 -0.37

ABGSHIP 3915000 14.47 339.75 -4.15

RANBAXY 2269500 14.27 477.30 0.26

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 0.94 1.00

RELIANCE 0.30 0.52

SBIN 0.37 0.84

ICICIBANK 0.37 0.43

BANKNIFTY 0.88 0.61

View

  FIIs covered some of their short positions in the Indexfutures though they formed fresh shorts in the stockfutures. They were net sellers of ` 903cr in the cashmarket segment.

  In the last trading session, the 4600put option addedhighest open interest and unwinding was observed inthe 4800 and above strikes put. On the other hand,

the 4800 to 5000 call added significant openinterest.

  Global cues are still weak. SGX Nifty is suggesting aflattish opening. We won’t advise aggressive buyingas of now.

  Traders can trade with positive bias in HINDUNILVRfor a target of around ` 330 and keep a stop loss of

`312. Stock may give positive move due to shortcovering.

Historical Volatility

SCRIP HV

VOLTAS 58.49

ROLTA 58.43

MAX 37.67

COREPROTEC 45.68

LT 40.48

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

NTPC 18734000 -13.85 174.10 -0.11

MARUTI 2703750 -12.80 1159.05 -0.03

ABAN 2053500 -10.03 343.50 -3.03

BANKBARODA 1790250 -9.49 744.45 -1.80

ONMOBILE 2444000 -9.41 56.00 -8.20

8/4/2019 Derivatives Report 22nd August 2011

http://slidepdf.com/reader/full/derivatives-report-22nd-august-2011 2/3

 Derivative Report | India Research

For Private Circulation Only  SEBI Registration No: INB 010996539 2

 

FII Statistics for 19-Aug-2011

Detail Buy Sell Net

Open Interest

Contracts Value Change(Rs. in cr.) (%)

INDEXFUTURES

4647.71 4244.72 402.99 590339 14241.19 -1.81

INDEXOPTIONS

19766.59 18866.52 900.07 2155571 52217.50 7.78

STOCK

FUTURES3549.97 3933.18 (383.21) 1250080 29246.28 2.25

STOCK

OPTIONS383.76 418.25 (34.49) 31362 709.14 16.78

TOTAL 28348.03 27462.67 885.35 4027352 96414.12 25.00

Turnover on 19-Aug-2011 

InstrumentNo. of

ContractsTurnover(Rs. in cr.)

Change(%)

Index Futures 855104 19608.09 21.71

Stock Futures 762413 18247.00 15.47

Index Options 5971358 148435.06 28.82

Stock Options 174720 4389.71 12.93

Total 7763595 190679.86 26.25

Nifty Spot = 4845.65 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 4900 44.9028.20 71.80 4928.20

Buy 4800 50.8523.95 76.05 4776.05

Sell 5000 16.70 Sell 4700 26.90

Buy 4900 44.9039.15 160.85 4939.15

Buy 4800 50.8537.85 162.15 4762.15

Sell 5100 5.75 Sell 4600 13.00

Buy 5000 16.7010.95 89.05 5010.95

Buy 4700 26.9013.90 86.10 4686.10

Sell 5100 5.75 Sell 4600 13.00

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

Nifty Put-Call Analysis

8/4/2019 Derivatives Report 22nd August 2011

http://slidepdf.com/reader/full/derivatives-report-22nd-august-2011 3/3

 Derivative Report | India Research

For Private Circulation Only  SEBI Registration No: INB 010996539 3

 

Strategy Date Scrip Strategy Status

01-Aug-2011 HINDALCO Bull Call Spread Loss booked on 09-Aug-2011

08-Aug-2011 NIFTY Short Strangle Loss booked on 09-Aug-2011

16-Aug-2011 M&M Long Put Continue

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 in thisdocument 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 or any of its affili ates/ group companies shall not be in any way responsiblefor any loss or damage that may arise to any person from any inadvertent error in the information contained in this report . AngelBroking Limited has not independently verified all the information contained within this document. Accordingly, we cannot testify, normake any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. While

Angel Broking Limited endeavours to update on a reasonable basis the information discussed in this material, there may beregulatory, 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.

No te: Please refer to the im portant ` Stock Holdi ng Disclosure' report on the Angel website (Research Section).

Derivative Research Team