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Derivative Report India Research July 20, 2011 Comments  The Nifty futures’ open interest increased by

Derivative Report

India Research

July 20, 2011

Comments

  • The Nifty futures’ open interest increased by 0.75% while Minifty futures’ open interest increased by 1.31% as market closed at 5613.55 levels.

  • The Nifty July future

closed at

a premium

of 10.75

points, against a premium of 5.70 points in the last

trading session, while the Aug futures closed at a premium of 30.90 points.

  • The Implied Volatility of at the money options decreased from 17.90% to 17.20%.

  • The PCR-OI increased from 1. 20 to 1.25 points.

  • The total OI of the market is `137,531cr and the stock futures OI is `34,760cr.

  • Few liquid stocks where CoC is positive are MOSERBAER, RUCHISOYA, JPPOWER, MLL and MCDOWELL-N.

OI Gainers

Nifty Vs OI

Derivative Report India Research July 20, 2011 Comments  The Nifty futures’ open interest increased by
 

OI

PRICE

SCRIP

OI

CHANGE

PRICE

CHANGE

 

(%)

(%)

VIPIND

311000

801.45

907.30

5.11

JUBLFOOD

165000

240.21

913.20

3.02

BFUTILITIE

241500

113.72

761.30

2.02

CROMPGREAV

5595000

97.77

208.30

-14.03

SOUTHBANK

3609000

94.66

24.05

-0.41

OI Losers

 

OI

PRICE

SCRIP

OI

CHANGE

PRICE

CHANGE

 

(%)

(%)

CHENNPETRO

270000

-19.88

226.70

-1.03

JETAIRWAYS

1029500

-7.87

512.95

1.55

CESC

709000

-5.34

329.85

-0.78

HINDZINC

2650000

-5.09

137.05

2.51

SUZLON

91064000

-5.03

51.15

0.49

Put-Call Ratio

SCRIP

PCR-OI

PCR-VOL

 

NIFTY

1.25

0.88

INFY

0.30

0.33

RELIANCE

0.46

0.43

SBIN

1.08

0.56

TCS

0.54

0.51

View

  • Interestingly, though the market was positive, FIIs unwound some of their long positions in the Index futures. They were net buyers of `293cr in the cash market segment

  • Yesterday, significant buildup was observed in the 5500 to 5700 put options and unwinding in the 5600 call option.

  • UCOBANK has considerable short positions. Due to short covering and fresh buying we may see a positive move in the counter up to `94-95. Traders can trade with positive bias with a stop loss of `88.

  • We may see a positive move in HDIL. Yesterday, the stock added around 12% open interest and CoC has also increased. The stock may give a positive move up to `167-168. Keep a stop loss of `157.

Historical Volatility

SCRIP

HV

CROMPGREAV

78.67

BOSCHLTD

19.50

MUNDRAPORT

32.94

ESCORTS

48.63

VIPIND

53.00

Derivative Report | India Research FII Statistics for 19-July-2011 Open Interest Detail Buy Sell Net Value

Derivative Report | India Research

FII Statistics for 19-July-2011

Open Interest

Detail

Buy

Sell

Net

 

Contracts

Value

Change

 

(Rs. in cr.)

(%)

INDEX

FUTURES

1490.43

2364.84

(874.41)

429743

12075.53

-2.45

INDEX

OPTIONS

7112.38

7444.37

(331.99)

1549723

43499.33

1.16

STOCK

FUTURES

1869.80

1888.80

(19.00)

1157031

32791.40

0.58

STOCK

OPTIONS

302.77

315.64

(12.87)

43012

1224.54

-0.40

TOTAL

10775.39 12013.65

(1,238.26)

3179509

89590.81

-1.11

Turnover on 19-July-2011

Instrument

No. of

Turnover

Change

Contracts

(Rs. in cr.)

(%)

Index Futures

439703

11574.14

59.20

Stock Futures

485576

13859.14

38.89

Index Options

3167673

89258.36

43.24

Stock Options

125495

3632.85

34.40

Total

4218447

118324.49

43.83

Nifty Spot = 5613.55

Lot Size = 50

Bull-Call Spreads

Action

Strike

Price

Risk

Reward

BEP

Buy

Sell

5700

5800

31.95

11.75

20.20

79.80

5720.20

Buy

Sell

5700

5900

31.95

3.60

28.35

171.65

5728.35

Buy

Sell

5800

5900

11.75

3.60

8.15

91.85

5808.15

Bear-Put Spreads

Action

Strike

Price

Risk

Reward

BEP

Buy

Sell

5600

5500

48.90

21.10

27.80

72.20

5572.20

Buy

Sell

5600

5400

48.90

8.20

40.70

159.30

5559.30

Buy

Sell

5500

5400

21.10

8.20

12.90

87.10

5487.10

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

Nifty Put-Call Analysis

Derivative Report | India Research FII Statistics for 19-July-2011 Open Interest Detail Buy Sell Net Value

Derivative Report | India Research

Strategy Date

Scrip

Strategy

Status

04-July-2011

NIFTY

Long Call

Continue

11-July-2011

RELIANCE

Long Call Ladder

Continue

18-July-2011

RELINFRA

Bull Call Spread

Continue

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