daring derivatives May 24, 2010
Derivatives Summary z
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Nifty (May) future discount has narrowed down to 2.75 points from 6.55 points and 24 lakh shares were added in open interest. Total open interest in the market was Rs143,710 crore and Rs3,184 crore were added in open interest. Nifty call option added 20.81 lakh shares in open interest, whereas put option added 17.05 lakh shares in open interest. ITC (48%), GAIL India (14%), Sterlite Industries (13%), Tata Power (13%) and Ashok Leyland (13%) were the top open interest gainers in the market. Indian Oil Corporation (-16%), BGR Energy (-15%), Maruti Suzuki India (-14%) and Jain Irrigation Systems (-11%) were the top open interest losers in the market.
NIFTY SNAPSHOT Current
Previous
Nifty (Curr. MTH)
% Change
4928.4
4941.05
-0.26%
Nifty CoC
-3.39%
-6.90%
50.85%
OI
36845550
34445550
6.97%
Vol
39187650
34539950
13.46%
PCR(OI)
1.02
1.03
-0.97%
PCR ( VOL)
0.96
1.13
-15.04%
MOST ACTIVE INDEX CALL OPTION Strike
Pre. IV
Curr. OI OI Chg%
4900 C
Curr. IV 25.83%
25.66%
3076700
7.35%
5000 C
25.09%
25.01%
5296550
-8.43%
5100 C
22.86%
23.51%
7580900
9.06%
5200 C
24.74%
22.44%
7493700
-6.52%
4800 C
25.55%
26.38%
1433600
273.28%
MOST ACTIVE INDEX PUT OPTION
Smart rebound On weak cues from US markets overnight and Asian markets this morning, the Indian market opened on a negative note and made an intra-day low of 4851 in the initial trades itself. It staged a strong rebound all along, bar a falter in the second half, to close at 4931 with a marginal loss of 16.45 points. Specific stocks gained in spite of the market depth being deep in red. Volumes in Nifty future were marginally higher than the previous volumes. Around 24 lakh shares were added in open interest with increase in the cost of carry, indicating significant long position were taken at lower levels. On the option front, implied volatility remained almost flat, indicating that buying may emerge at lower levels.
Curr. IV
Pre. IV
Curr. OI OI Chg%
4900 P
26.53%
27.23%
6227050 -14.62%
4800 P
28.58%
28.90%
7919400
5000 P
24.59%
25.77%
5517150 -12.02%
4700 Jun P
32.76%
32.38%
3194300
32.24%
4800 Jun P
31.10%
31.24%
2768650
9.97%
MOST ACTIVE STOCK FUTURES Curr. Pre. Curr. OI CoC CoC OI
OI Chg%
Strike PIRHEALTH
-2.42%
29.73%
TATASTEEL
13.14%
1.54%
MOST ACTIVE STOCK CALL OPTIONS Curr. Pre. Curr. IV (%) IV (%) OI (%)
OI Chg %
10229500 -10.65% 20776980
-2.59%
TATAMOTORS 27.42%
9.89%
10833250
2.29%
ITC
5.96%
16416000
22.60%
10.09%
SBIN -18.75% -12.76% 3228324 0.95% FII'S FUTURE & OPTIONS ACTIVITY (IN CRS) 20 MAY Buy
Sell Difference
INDEX FUTURES
3514.41
4295.47
-781.06
INDEX OPTIONS
5448.42
5798.38
-349.96
STOCK FUTURES
3552.03
2664.26
887.77
STOCK OPTIONS
283.58
261.94
21.64
12798.44 13020.05
-221.61
TOTAL
Strike
15.62%
Strike
MOST ACTIVE STOCK PUT OPTIONS Curr. Pre. Curr. IV (%) IV (%) OI (%)
RELIANCE 1000 C
30.87%
31.51%
715500
29.55%
SBIN 2200 P
TATASTEEL 500 C
55.96%
54.62%
367484
77.49%
TATASTEEL 500 P
54.90%
55.89%
624952
18.04%
UNITECH 70 C
55.21%
54.40%
3123000
28.28%
HINDALCO 150 P
46.80%
51.03%
1618280
-26.75%
PIRHEALTH 600 C
95.25%
107.79%
168000
46.09%
RELIANCE 980 P
30.50%
32.39%
179100
-6.43%
ITC 270 C
27.40%
39.61%
763875
-1.02%
ONGC 1100 P
28.42%
35.70%
159975
77.75%
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35.05%
35.52%
225192
OI Chg % 7.70%
Daring Derivatives — May 24, 2010 — 1
For Private Circulation only
Market View
Strike
Derivative Calls Date
Scrips
Buy/Sell
Initiation Range
Stoploss
Target
Remark
19-May-10
Unitech
Sell
74.2
73.50 ®
71-69
Booked @ 68
18-May-10
Yes Bank
Buy
274.8
268
285-295
Close @ 671
Derivative Ideas Date
Scrips
Buy/Sell
Initiation Range
Stoploss
Target
Time Frame
Remark
20-May-10
Reliance
Sell
1004.7
1015
980
2-3 Days
Book Profits @ 999.80
19-May-10
Relcapital
Sell
664
675
630
1-2 Days
Book Profits @ 639
19-May-10
Maruti
Buy
1252
1235
1280
1-2 Days
Stopped Out
19-May-10
Nifty
Sell
5000
5030
-
1-2 Days
Book Profits @ 4922
Pair Trade Date 13-May-10
Scrips
Buy/Sell
Initiation Range
CMP
Lot Size
Adj Shares (Cash)
Remark
Rel infra
Buy
1022.5
989
Rel Capital
Sell
702
631
276
-
Targets
276
-
Achieved
Strategy Tracker Date
Scrips
Buy/Sell
Initiation Range
Stoploss
Target
Time Frame
Remark
19-May-10
Nifty PE 4900
Buy
74.5
-
-
Expiry
Open @ 49
19-May-10
Nifty PE 4800
Sell
42
-
-
Expiry
Open @ 23.70
19-May-10
Nifty PE 4700
Sell
22
-
-
Expiry
Open @ 10
For Private Circulation only
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2 — Daring Derivatives — May 24, 2010
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