Derivatives

WRAP
17 August, 2010

World indices Highlights

Index Close % change
Sensex 18051 -0.64 Stocks fell in Europe, U.S. index futures declined and the Swiss franc
Nifty 5418 -0.62 strengthened as slower- than-forecast economic growth in Japan
HangSeng 21112 +0.19 heightened concern the global recovery is sputtering. Treasuries and bunds
Nikkie 9197 -0.61
rose.
FTSE+ 5257 -0.36
Dow Jones++ 10303 -0.16 China surpassed Japan as the world's second-largest economy last quarter,
+ : as at 6 pm ++ : as of y esterday capping the nation's three- decade rise from Communist isolation to
emerging superpower
Nifty OI V/s Price
Markets shed 0.6 percent on weak global peers as a weaker-than-expected
Nifty OI v/s Price
gross domestic product data from Japan added to concerns over a
faltering global economic recovery
40 5500
30 5480
35 35 36 36 37 37 5460 In the broader market, declining shares outpaced advancing ones in a
20 31 32 33 34 33
5440
10 5420 ratio of 1.3:1 on a volume of 418.6 million shares
0 5400
2-Aug

3-Aug

4-Aug

5-Aug

6-Aug

9-Aug

10-Aug

11-Aug

12-Aug

13-Aug

16-Aug

India VIX rose substantially from 16.74 to 18.11 gaining around 8 %

suggesting continuation of a range bound movement in the broad
Nifty Futures OI Nifty Fut Price (RHS) market with Upside Bias

Put-Call concentration In the money Call option of 5400 acted as a good support level backed
by buying in 5400 call whereas out of money call option of 5500 opened
Nifty Put-Call Concentration a marginal interest. 5500 may again be strong resistance level for
140 25.0 Nifty to trade
115
Put-Call OI (in Lacs)

120 90 95 20.0
Puts saw profit booking when market jerked down..Markets is seen to be
Implied Volatility

100 85 86
77
15.0
80 62 66 hovering around 5400 - 5500 levels for coming few sessions
60 34 10.0
40 15 5.0 Volatility finally gave a substantial upmove , we expect it to increase
20 3 3 5 3
0 0.0
further
5000 5100 5200 5300 5400 5500 5600 PCR was seen at 1.20
Strike
Put OI Call OI Implied Volatility

Sector Watch

High beta stocks- that rise and fall more than the benchmark indices- saw selling pressure. Realty stocks fell 1.09 per cent and
metals declined 1.50 per cent
Capital goods index declined 0.90 per cent. Healthcare and IT stocks sold off as well. Cipla was the biggest loser on the Sensex
ending 3.63 per cent lower. L&T and ACC both declined more than a per cent. Among the defensive stocks, FMCG stood out.

Sector OI Watch

8%
7%
4%
% chg

4%
2% 2% 2% 2% 1%
1% 1% 1% 1%
0% 0% 0% 1%
1% 1%

-3% -1%
-2%
Technology
Power

Telecom
Capital

Fertilisers

Hotels

Index

Metals

Realty
Automobile

Media
Finance

Infrastructure

Sugar
Goods

Oil & Gas

Others
Cement

FMCG
Banking

Pharma

Sector

SBICAP Securities Limited • August 17, 2010 • 1 Derivatives Report

Derivatives Report Derivatives WRAP

Up ward Potential
% chg i n
S ymb ol Pr i ce Bas i s OI ( l ots ) Vol ume ICC D el i ver y Del i . (% )
Vol
GRASIM 1964.65 -3.3 617000 5084 1818.49 -6.12 561613 1903.26

HINDUNILVR 269.25 -0.65 13747000 2741 36.71 -8.79 1281376.00 8.54

FEDERALBNK 338.55 1.5 2154000 1830 11.25 16.24 908925 -9.49

NTPC 196.7 0.3 24229000 4131 117.19 5.58 460694 -56.18

VIDEOIND 235.35 1.25 6122000 646 36.29 19.49 195542 10.02

Do wn ward Potential
% chg i n
S ymb ol Pr i ce Bas i s OI ( l ots ) Vol ume ICC D el i ver y Del i . (% )
Vol
CIPLA 305 1 6399000 3563 100.85 12.01 2773851 395.12

SUNPHARMA 1721.65 5.75 680250 1172 137.73 12.23 144158 299.58

ULTRACEMCO 889.7 -7.55 1122000 1115 66.42 -30.71 45394 -36.32

INFOSYSTCH 2761.85 -0.05 3377875 8850 14.65 -0.07 419332 -20.56

HINDZINC 1092.9 5.6 362000 645 32.44 18.8 96555 127.15

Most active stock options

Call O ptio n s Pu t O pt io n s
Last Last
E xp i ry Strik e Op e n E xp i ry Strik e Op e n
S y m b ol T raded S y m b ol T raded
D ate P r i ce Int e r e s t D ate P r i ce Int e r e s t
P r i ce P r i ce
CAIRN 40416 360 1.85 2614000 CAIRN 26-Aug-10 340 10.05 775000
UNITECH 40416 90 1.1 11724000 SBIN 26-Aug-10 2800 42.4 184625
CAIRN 40416 380 0.85 1214000 TATAMOTORS 26-Aug-10 1000 20 553500
TATASTEEL 40416 540 5.7 2337500 TATASTEEL 26-Aug-10 520 11.6 979500
RELIANCE 40416 1000 11.75 2577750 CAIRN 26-Aug-10 320 2.45 642000

Ins titutional Flow s N SE

MWPL
NS E Op en OI % of
S ymb ol Inter es t Lim it
S e gm en twise F II S ta tis tics
N et N et ABAN 4084145 4023750 98.52%
D ate
C a sh Inde x Inde x S to c k N et T o tal OI MF
F utu re O ptio ns F utu re F II (lo ts)
ICSA 7499580 6820000 90.94%
09-A ug 138 210 434 107 752 3,865,108 124 KFA 17938191 15808000 88.12%
10-A ug 133 (330) 489 47 206 3,948,101 (387) SUZLON 145217678 126232000 86.93%
11-A ug 65 (837) 1,738 (280) 622 4,046,587 115
EKC 9297593 7946000 85.46%
12-A ug 333 (698) 1,903 (370) 835 4,135,810 140
13-A ug 33 486 833 (76) 1,243 4,200,396 (10) Securities under ban period: IFCI . KFA . ABAN

Recommendations

Long Bank Nifty Straddle -10700

T ot a l P r e m
A ct i on Scrip Ra t e T ar g e t P re m SL
paid
Buy BankNifty Call 10700 117
264 296 248
Buy BankNifty Put 10700 147

SBICAP Securities Limited •August 17, 2010 • 2 Derivatives Report

Derivatives Report Derivatives WRAP

Name Designation E - Mail

Alpesh Porwal Head (Retail) alpesh.porwal@sbicapsec.com

Ashu Bagri Dy. Head Technical Analyst ashu.bagri@sbicapsec.com
Amit Bagade Technical Analyst amit.bagade@sbicapsec.com
Monali Jobanputra Derivatives Analyst monali.jobanputra@sbicapsec.com

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SBICAP Securities Limited •August 17, 2010 • 3 Derivatives Report