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    Derivative Report: Nifty Vs OI

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    Angel Broking
    The derivative report summarizes developments in the derivatives market for July 09, 2013. It notes that Nifty futures open interest decreased while BankNifty futures open interest increased. The implied volatility of at-the-money options rose. Specific stocks like BPCL and ONGC saw increases in open interest. FII activity showed a lack of buying interest and some unwinding of long positions. The report provides analysis and recommendations for specific options strategies and stocks.

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    Derivative Report: Nifty Vs OI

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    Angel Broking
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    The derivative report summarizes developments in the derivatives market for July 09, 2013. It notes that Nifty futures open interest decreased while BankNifty futures open interest increased. The implied volatility of at-the-money options rose. Specific stocks like BPCL and ONGC saw increases in open interest. FII activity showed a lack of buying interest and some unwinding of long positions. The report provides analysis and recommendations for specific options strategies and stocks.

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    9th July, 2013

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    Derivatives Report 09 July, 2013

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    The derivative report summarizes developments in the derivatives market for July 09, 2013. It notes that Nifty futures open interest decreased while BankNifty futures open interest increased. The implied volatility of at-the-money options rose. Specific stocks like BPCL and ONGC saw increases in open interest. FII activity showed a lack of buying interest and some unwinding of long positions. The report provides analysis and recommendations for specific options strategies and stocks.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    112 views3 pages

    Derivative Report: Nifty Vs OI

    Uploaded by

    Angel Broking
    The derivative report summarizes developments in the derivatives market for July 09, 2013. It notes that Nifty futures open interest decreased while BankNifty futures open interest increased. The implied volatility of at-the-money options rose. Specific stocks like BPCL and ONGC saw increases in open interest. FII activity showed a lack of buying interest and some unwinding of long positions. The report provides analysis and recommendations for specific options strategies and stocks.

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    Attribution Non-Commercial (BY-NC)
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    Derivative Report

    July 09, 2013

    Comments The Nifty futures open interest decreased by 4.43% while BankNifty futures open interest is increased by 3.21% as market closed at 5811.55 levels. The Nifty July future closed at premium of 17.70 point against a premium of 7.05 points. The August series closed at a premium of 40.90 points. The Implied Volatility of at the money options has increased from 17.90% to 19.40%. Nifty PCR-OI has increased from 1.18 to 1.19 levels. The total OI of the market is Rs. 1,27,569/- cr. and the stock futures OI is Rs. 28,151/- cr. Few of the liquid counters where we have seen high cost of carry are CHAMBLFERT, ASHOKLEY, NHPC, UNITECH and HINDZINC.

    Nifty Vs OI

    OI Gainers
    SCRIP BPCL ONGC LICHSGFIN GODREJIND AMBUJACEM OI 3046000 8410000 14146000 463000 5844000 OI CHANGE (%) 13.53 12.92 12.57 11.57 11.23 PRICE 345.70 303.85 224.75 309.65 193.15 PRICE CHANGE (%) -5.22 -3.73 -3.68 -2.67 1.58

    View FII's are showing no sign of buying interest. They were though marginal sellers in cash market but did unwind good amount of long positions in index futures. Also good amount of unwinding was visible in index options too from them. On options front 5400 put built-up can no longer be ignored though markets are still well above support levels of 5680-5700. Rise in IV's suggest that its buying which is taking place in this out-of-money put. 5800 call too added decent OI in it yesterday. SBIN has been correcting since last few weeks due to formation of short positions. Around Rs. 1850 this counter has good support. Stock appears to be short heavy. We expect some short covering to give upward flip to the counter. Go long around Rs. 1880-1890 with target of Rs. 1985 and stop loss of Rs. 1835.

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

    RCOM COLPAL EXIDEIND EXIDEIND PETRONET TATAMOTORS

    43100000 111750 1724000 1688000 23468000

    -13.05 -10.96 -8.88 -4.95 -4.89

    145.20 1410.95 122.20 125.95 287.80

    7.18 1.41 -1.57 1.41 -2.55

    Put-Call Ratio
    SCRIP NIFTY BANKNIFTY SBIN INFY RELIANCE PCRPCR-OI 1.19 0.99 0.49 0.77 0.91 PCRPCR-VOL 0.95 0.83 0.52 0.49 0.62

    Historical Volatility
    SCRIP BPCL HAVELLS HINDPETRO RPOWER ONGC INFY HV 49.11 47.41 41.96 60.48 44.83 74.73

    www.angelbroking.com

    Derivative Report
    July 09, 2013

    FII Statistics for 08-July-2013


    Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 10138.14 45556.29 26768.77 1623.21 84086.41 Change (%) (5.36) (1.68) 0.50 20.67 (1.06)

    Turnover on 08-July-2013
    No. of Contracts Turnover (` in cr.) Change (%)

    Instrument

    1393.16

    1839.65

    (446.49) (865.36) 299.07 (121.90) (1134.68)

    349046 1568935 952106 61168 2931255

    INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

    3,43,574 29,01,634 4,58,776 2,89,007 39,92,991

    9927.50 84957.94 13765.31 9070.34 117721.09

    29.87 13.37 7.04 21.14 14.37

    12656.71 13522.07 1638.35 1040.96 1339.28 1162.86

    16729.18 17863.86

    Nifty Spot =5811.55

    Lot Size = 50

    Bull-Call Spreads
    Action Buy Sell Buy Sell Buy Sell Strike 5800 5900 5800 6000 5900 6000 Price 110.00 60.65 110.00 29.40 60.65 29.40 31.25 68.75 5931.25 80.60 119.40 5880.60 Risk Reward BEP

    Bear-Put Spreads
    Action Buy Sell Buy Sell Buy Sell Strike 5800 5700 5800 5600 5700 5600 Price 83.90 51.45 83.90 30.65 51.45 30.65 20.80 79.20 5679.20 53.25 146.75 5746.75 Risk Reward BEP

    49.35

    50.65

    5849.35

    32.45

    67.55

    5767.55

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

    Nifty Put-Call Analysis

    www.angelbroking.com

    Derivative Report
    July 09, 2013

    Strategy Date 0101-JulyJuly-13 0808-JulyJuly-13

    Symbol TATAMOTORS NIFTY

    Strategy Long Put Ladder Short Strangle

    Status Open Open

    Research Team Tel: 022 - 39357800

    E-mail: [email protected]

    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 Pvt. 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 Pvt. 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 Pvt. 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 Pvt. Limited endeavours 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 Pvt. 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 Pvt. 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 (Research Section). Also, please refer to the latest update on respective stocks for the disclosure status in respect of those stocks. Angel Broking Pvt. Limited and its affiliates may have investment positions in the stocks recommended in this report.

    Derivative Research Team


    Email Id : - [email protected] For Private Circulation Only

    SEBI Registration No: INB 010996539

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