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7/30/2019 Derivatives Report, 30th April 2013
http://slidepdf.com/reader/full/derivatives-report-30th-april-2013 1/3
www.angelbroking.com 1
Derivative Report Apr 30, 2013
Comments
The Nifty futures open interest increased by 2.27% whileBankNifty futures open interest is increased by 6.52% asmarket closed at 5904.10 levels.
The Nifty May. future closed at premium of 14.10 pointagainst a premium of 16.30 points. The Jun series closedat a premium of 25.05 points.
The Implied Volatility of at the money options has
increased from 13.10% to 13.21%.
Nifty PCR-OI has remained unchanged at 1.05 levels.
The total OI of the market is Rs. 1,11,564/- cr. and the
stock futures OI is Rs.25,763/- cr.
Few of the liquid counters where we have seen high costof carry are GMRINFRA, GSPL, PUNJLLOYD, DABUR and
TATACOMM.
Nifty Vs OI
OI Gainers
SCRIP OIOI
CHANGE(%)
PRICEPRICE
CHANGE(%)
UNIONBANK 2967000 21.50 245.60 4.43
INDALSTEL 8641000 19.37 301.30 -4.59
IOB 7272000 18.59 63.60 -5.21
HINDUNILVR 7092500 17.02 497.35 6.96
APOLLOTYRE 4192000 16.83 95.15 4.25
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 1.05 1.11
BANKNIFTY 1.34 1.14
INFY 0.44 0.39
RELIANCE 0.48 0.45
SBIN 0.61 0.68
View
FII’s have being buying continuously in cash marketsegment; in yesterday’s trade also they were netbuyers worth of Rs.620/- cr. On derivatives front notmuch of activity was observed by them in indexfutures, however good amount of short buildup wasseen by them in index options and stock futures inyesterday’s trade.
On options front the activity in call option has beingseen in 6100 strike price where some buildup was
observed, while in put option 5700 and 5900 strikessaw maximum buildup in open interest in yesterday’strading session.
HINDUNILVR has seen significant amount of longbuildup in yesterday’s trade post its positive result. The counter has good amount of short positions therein this stock which is still intact. Hence we feel thestock could see some short covering bounce fromcurrent level which could take the counter to aroundRs.532. Go long with the stop loss of Rs.484.
Historical Volatility
SCRIP HV
HINDUNILVR 41.20
IOB 40.63
SIEMENS 55.65
INDHOTEL 35.89
APOLLOTYRE 42.58
OI Losers
SCRIP OIOI
CHANGE
(%)
PRICEPRICE
CHANGE
(%)
SUNTV 1839000 -8.55 422.95 0.46
EXIDEIND 2136000 -8.40 134.95 -3.79
LICHSGFIN 10625000 -7.38 252.10 1.57
HEROMOTOCO 1441000 -7.27 1648.80 3.36
INDIACEM 3380000 -4.41 83.05 1.83
7/30/2019 Derivatives Report, 30th April 2013
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Derivative ReporApr 30, 2013
www.angelbroking.com 2
FII Statistics for 29-April-2013
Detail Buy Sell Net
Open Interest
Contracts Value Change(̀ in cr.) (%)
INDEXFUTURES
870.31 862.88 7.44 340618 10137.71 3.13
INDEXOPTIONS
5537.17 5852.54 (315.37) 1418161 41906.83 2.73
STOCK FUTURES
1345.32 1733.24 (387.91) 836515 23255.08 2.07
STOCK OPTIONS
733.95 754.29 (20.34) 48971 1356.99 26.66
TOTAL 8486.76 9202.95 (716.19) 2644265 76656.62 2.93
Turnover on 29-April-2013
InstrumentNo. of
Contracts Turnover(̀ in cr.)
Change(%)
INDEX
FUTURES1,79,278 5394.48 -27.22
INDEXOPTIONS
14,96,477 50295.34 0.00
STOCK FUTURES
4,50,958 12781.38 -19.45
STOCK OPTIONS
2,29,715 6601.80 -22.65
TOTAL 23,56,428 82109.86 0.00
Nifty Spot =5904.10 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5900 98.9044.65 55.35 5944.65
Buy 5900 82.2534.35 65.65 5865.65
Sell 6000 54.25 Sell 5800 47.90
Buy 5900 98.9073.05 126.95 5973.05
Buy 5900 82.2555.50 144.50 5844.50
Sell 6100 25.85 Sell 5700 26.75
Buy 6000 54.2528.40 71.60 6028.40
Buy 5800 47.9021.15 78.85 5778.85
Sell 6100 25.85 Sell 5700 26.75
Note: Above mentioned Bullish or Bearish Spreads in Nifty (May. Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
7/30/2019 Derivatives Report, 30th April 2013
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Derivative ReporApr 30, 2013
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Strategy Date Symbol Strategy Status
29-April-2013 TCS Bull call spread Open
Derivative Research Team
Email Id : - [email protected]
For Private Circulation Only
SEBI Registration No: INB 010996539
Research Team Tel: 022 - 39357800 E-mail: [email protected] Website: www.angelbroking.co
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