Sie sind auf Seite 1von 3

Derivative Report

Feb 28, 2013

Comments
The Nifty futures open interest increased by 4.73% while

Nifty Vs OI

BankNifty futures open interest is increased by 3.24% as market closed at 5796.90 levels.
The Nifty Feb. future closed at premium of 1.00 point

against a premium of 5.65 points. The Mar. series closed at a premium of 28.90 points.
The Implied Volatility of at the money options is

increased from 21.49% to 24.23%.


Nifty PCR-OI has decreased from 0.83 to 0.79 levels. The total OI of the market is Rs.1,68,487/- cr. and the

stock futures OI are Rs.35,611/- cr.


Few of the large cap names where we have seen low

rollover are HDFC, ITC, HDFCBANK, POWERGRID and TATAPOWER.

View OI Gainers
SCRIP HDIL GODREJIND COALINDIA M&M MARUTI OI 33252000 1148000 5436000 2676000 2412500 OI CHANGE (%) 22.29 18.35 13.75 11.08 10.51 PRICE 64.10 275.90 311.50 892.80 1408.55 PRICE CHANGE (%) 2.06 -1.07 -1.14 3.03 0.34 FIIs were net buyers in cash market; they were net

buyers worth of `106/- cr. On derivatives front not much of activity was observed by them in index futures on net basis and in index options significant amount of long unwinding was seen. While in stock futures considerable amount of long buildup and short covering was seen by them in yesterdays trade.
On options front not much of buildup was seen in

OI Losers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)

this series highest buildup was seen in 5800-5900 call option, while in next series good amount of buildup was seen in 5500 put option and 5800 call option. Decent amount of unwinding was also observed in 5600 and 5900 put option in yesterdays trading session.
Rollover in NIFTY and BANKNIFTY future is bit on the

lower side at 46% and 35% respectively.


BHEL has seen significant amount of short positions

UNIONBANK ASHOKLEY ANDHRABANK IFCI BHUSANSTL

3818000 16731000 3816000 75456000 435864

-18.21 -15.65 -15.50 -12.50 -12.27

224.60 22.75 96.20 32.00 462.50

3.46 0.44 1.64 4.36 0.68

getting buildup since start of this expiry and is now very much heavy in terms of open interest. Around `198-200 the counter has very strong support and hence can see short covering bounce in this stock which could take the stock to around `220. Go long in March future with the stop loss of `196. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 0.79 0.78 0.50 0.34 0.38 PCR-VOL 0.78 0.74 0.52 0.41 0.56

SCRIP SUZLON PTC HINDZINC M&M JPASSOCIAT

HV 103.43 37.81 27.65 27.69 52.60

www.angelbroking.com

Derivative Report
Feb 28, 2013

FII Statistics for 27-February-2013


Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 18345.34 57549.21 31410.64 3792.45 111097.65 Change (%) 6.57 0.79 1.50 3.88 2.01

Turnover on 27-February-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

4240.35

4238.95

1.41 (1303.16) 1149.28 187.43 34.96

629639 1982401 1050210 131637 3793887

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

4,43,270 49,70,709 10,14,935 3,26,864 67,55,778

12919.84 145787.94 30492.97 10030.28 199231.03

-27.16 1.29 12.46 -6.63 -0.15

20009.90 21313.06 8356.24 1281.81 7206.96 1094.38

33888.30 33853.34

Nifty Spot =5796.90

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5900 5800 6000 5900 6000 Price 38.15 9.15 38.15 1.80 9.15 1.80 7.35 92.65 5907.35 36.35 163.65 5836.35 Risk 29.00 Reward 71.00 BEP 5829.00

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5700 5800 5600 5700 5600 Price 40.45 9.80 40.45 1.55 9.80 1.55 8.25 91.75 5691.75 38.90 161.10 5761.10 Risk 30.65 Reward 69.35 BEP 5769.35

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

Nifty Put-Call Analysis

www.angelbroking.com

Derivative Report
Feb 28, 2013

Strategy Date 04-Feb-2013 11-Feb-2013 18-Feb-2013 25-Feb-2013

Symbol NIFTY BHEL ICICIBANK LICHSGFIN

Strategy Long Call Bull Call Spread Long Call Bull Call Spread

Status Open Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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 this 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 reliable sources 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 this document is for general guidance only. Angel Broking Limited or any of its affiliates/ group companies shall not be in any way responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this report. Angel Broking Limited has not independently verified all the information contained within this document. Accordingly, we cannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. While Angel Broking Limited endeavors to update on a reasonable basis the information discussed in this material, there may 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. Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section). Also, please refer to the latest update on respective stocks for the disclosure status in respect of those stocks. Angel Broking Limited and its affiliates may have investment positions in the stocks recommended in this report.

Derivative Research Team


Email Id : - derivatives.desk@angelbroking.com For Private Circulation Only

SEBI Registration No: INB 010996539


www.angelbroking.com 3