DERIVATIVES Daily 28-Mar-2013
Date
Nifty Spot
Nifty Future
Pre / Dis
Nifty Future Total OI
PCR (OI)
PCR (Volume)
VIX
Most Active Call (OI)
Most Active Put(OI)
P/E
Nifty P/B
26-Mar
5642
5,640
-1
22,224,550
0.74
0.76
15.80
6000
5600
17.44
2.98
25-Mar
5634
5,645
11
20,860,500
0.73
1.00
16.36
6000
5700
17.41
2.98
Chg
0.14%
-0.08%
6.54%
-3.42%
Nifty Options Data is for the expiry 28-Mar-13
CNX NIFTY
MARKET OVERVIEW The India VIX witnessed contraction of 3.42 % at 15.80 as compared to its previous close of at 16.36 on Monday. , Niftyy March 2013 futures closed at 5,640.35 on Tuesdayy at a discount of 1.25 points over spot closing of 5,641.60, Nifty April 2013 futures ended at 5,675.85, at a premium of 34.25 points over spot closing. Nifty March futures saw contraction of 1.03 million (mn) units taking the total outstanding open interest (OI) to 12.16 mn units.
NIFTY PREMIUM / DISCOUNT
The Nifty Put Call Ratio (PCR) OI wise stood at 0.74 for March -month contract.
Prem / Disc
25
Nifty Futures
5740 5720
20
5700
15
5680 10 5660 5
5640
0 20/Mar
21/Mar
22/Mar
25/Mar
26/Mar
-5
5620 5600
The top five scrips with highest PCR on OI were TCS 1.90, Sun Pharma 1.87, HDFC Bank 1.77, Asian Paint1.74, and ITC 1.64. From th F the mostt active ti contracts, t t Tata T t Motors M t March M h 2013 futures were trading at a premium of 0.55 points at 275.50 compared with spot closing of 274.95. The number of contracts traded was 16,161. Tata Steel March 2013 futures were trading at a premium of 0.85 points at 306.85 compared with spot closing of 306.00. The number of contracts traded was 13,789. DLF March 2013 futures were trading at a discount of 0.50 points at 236.50 compared with spot closing of 237.00. The number of contracts traded was 16,083.
CNX NIFTY vs INDIA VIX 5740
17 17
5720
16
5700
16
5680
16 16
5660
16
5640
15 15
5620
Nifty Futures
VIX
15
5600
15 20-Mar
LKP Advisory
21-Mar
22-Mar
25-Mar
26-Mar
Reliance Industries April 2013 futures were at a premium of 6.95 points at 788.95 compared with spot closing of 782.00. The number of contracts traded was 13,280. Reliance Industries March 2013 futures were at a premium of 1.90 points at 783.90 compared with spot closing of 782.00. The number of contracts traded was 21,019.
Nifty Call Options
Nifty Put Options Curr.
Prev.
IV
IV
LTP
Strike
Nifty Call OI
Chg in OI
5200
129600
1950
-
47.3
429
5300
96850
-1400
-
45.4
5400
206550
-28350
-
Net
Curr.
Prev.
IV
IV
-11700
42.6
35.9
0.2
2511000
-29500
35.0
31.2
0.4
-0.35
5400
3851950
-206050
26.9
25.6
1
-0.80
-7.00
5500
6447200
541800
19.9
21.5
2
-3.00
8039100
582450
-7.70 -5.10
Strike
Nifty Put OI
Chg in OI
-7.10
5200
1139500
340
0.15
5300
23.7
240
-0.90
20.7
138
Chg
LTP
Net Chg -0.20
5500
353350
-21550
5600
3356400
1105000
-
17.4
49
-12.50
5600
17.9
18.2
13
5700
6972400
-737500
13.8
17.6
7
-7.25
5700
6041900
-1553750
21.0
16.9
66
5800
6844050
-1481950
18.3
20.7
0.9
-2.50
5800
1401600
-705500
30.1
-
158
2.25
5900
6810500
-870350
25.5
23.2
0.4
-0.40
5900
1310950
-368250
-
-
256
1.30
6000
7797300
-678700
33.2
28.7
0.4
-0.10
6000
859200
-256750
54.9
-
354
2.50
6100
4922150
-378900 378900
41 0 41.0
35 8 35.8
03 0.3
-0.20 0 20
6100
189300
-101900 101900
68 1 68.1
-
451
-4.05 4 05
Nifty Options Data is for the expiry 28-Mar-13
OPEN INTEREST – NIFTY CALL & NIFTY PUT NIFTY CALL Open Interest
NIFTY PUT Open interest
9.0 8.0
Millions
7.0 6.0 5.0 4.0 3.0 2.0 1.0 0.0 5200
5300
5400
5500
5600
5700
5800
5900
6000
6100
6200
Among Nifty calls, 6,000 SP from the March month expiry was the most active call with contraction of 0.67 million open interest. Among Nifty puts, 5,600 SP from the March month expiry was the most active put with an addition of 0.58 million open interest. The maximum OI outstanding for Calls was at 6000 SP (7.79 mn) and that for Puts was at 5,600 SP (8.03mn).
OI PCR, VOL PCR vs NIFTY FUTURES
CHANGE IN OPEN INTEREST ( Total ) vs NIFTY FUTURES
1.20
5740
5740
1.00
5720
5720
5700
5700
5680
5680
5660
5660
5640
5640
5620
5620
5600
5600
0.80 0.60 0.40 0.20
OI PCR
Vol PCR
Nifty Futures
0.00 20-Mar
LKP Advisory
21-Mar
22-Mar
25-Mar
26-Mar
Change in OI
Nifty Futures
3000000 2500000 2000000 1500000 1000000 500000 0
20/Mar
21/Mar
22/Mar
25/Mar
26/Mar
-500000 -1000000
NIFTY OPTIONS
Nifty Bullish Call Spread
Nifty Bearish Put Spread
Action
Strike
Premium
Buy
5700
5
Sell
5800
1
Buy
5800
1
Sell
5900
0
Buy
5700
5
Sell
5900
0
Max Profit 95 100 195
Max
Action
Strike
Premium
Buy
5800
162.10
Sell
5700
69.50
Buy
5700
69.50
Sell
5600
12.55
Buy
5800
162.10
Sell
5600
12.55
Loss 5 0 5
Max Profit
Max
7
93
43
57
50
150
Turnover (Rs Crs.)
Expiry
Loss
Note:Above spread are provided for information purposes.
STOCK OPTIONS
Most Active Calls
Most Active Puts Price
Spot
Turnover (Rs Crs.)
Expiry
Scrip
Strike Price
Scrip
Strike Price
Price
Spot
SBIN
2100
3
2047
344
28-Mar-13
SBIN
2000
6
2047
294
28-Mar-13
S SBIN
050 2050
17
0 2047
69 269
8 a 3 28-Mar-13
S SBIN
050 2050
21
0 2047
35 235
8 a 3 28-Mar-13
RELIANCE
800
1
782
178
28-Mar-13
ICICIBANK
1000
3
1025
146
28-Mar-13
DLF
240
1
237
164
28-Mar-13
DLF
230
1
237
112
28-Mar-13
JPASSOCIAT
65
1
64
114
28-Mar-13
TATAMOTORS
260
0
275
113
28-Mar-13
STOCK FUTURES
LONG BUILDUP (Price rise OI rise) Stock
CMP
Price Chg
SHORT BUILDUP (Price fall OI rise) OI (NSE+BSE) Chg %Delivery
Recovery
Stock
CMP
Price chg
OI (NSE+BSE) chg %Delivery
Fall from High
BHARTIARTL
297
2.9%
3.0%
53%
4%
SIEMENS
527
-4.9%
3.7%
33%
5%
TITAN
252
2.5%
2.9%
35%
4%
AUROPHARMA
130
-4.5%
4.3%
40%
6%
HDFC
824
2.2%
4.7%
78%
2%
SYNDIBANK
108
-4.4%
3.4%
30%
3%
INDUSINDBK
400
1.9%
9.0%
68%
5%
SUNTV
378
-4.2%
4.0%
40%
5%
HAVELLS
611
1.7%
7.8%
33%
3%
PANTALOONR
140
-4.1%
1.3%
14%
7%
SHORT UNWINDING (Price rise OI fall)
LONG UNWINDING (Price fall OI fall)
OI (NSE+BSE) Chg %Delivery
Recovery
Stock
CMP
Price Chg
RECLTD
202
3.6%
-10.1%
49%
4%
PTC
58
3.4%
-6.9%
42%
SINTEX
44
3 4% 3.4%
-3 9% -3.9%
ADANIPORTS
131
2.6%
NHPC
20
2.6%
Price chg
GMRINFRA
21
-4.6%
-13.8%
19%
7%
5%
IVRCLINFRA
18
-3.2%
-11.7%
32%
5%
25%
5%
GAIL
304
-3 2% -3.2%
-2 2% -2.2%
61%
4%
-12.4%
45%
4%
SAIL
61
-3.2%
-3.3%
44%
4%
-20.6%
46%
3%
UNITECH
22
-3.1%
-1.9%
12%
4%
Short positions were witnessed in stocks like SIEMENS & AUROPHARM
LKP Advisory
OI (NSE+BSE) chg %Delivery
Fall from
CMP
Long positions were witnessed in stocks like BHARTIARTL & TITAN
Stock
High
FII's ACTIVITY IN DERIVATIVES 26-Mar-13
Buy
Sell
NSE DERIVATIVES TURNOVER Net
Rs. Crs
OI
%
OI
%
Value
Chg
Contracts
Chg
Rs. Crs
26-Mar
25-Mar
%
FII's
Chg
Contribution
INDEX FUTURES
5004
5389
-385
15639
14%
553,671
13.7%
INDEX FUTURES
12664
13094
-3%
82%
INDEX OPTIONS
20060
21362
-1302
60864
3%
2,159,184
2.5%
INDEX OPTIONS
147126
136306
8%
28%
TOTAL INDEX
25064
26751
-1687
TOTAL INDEX
159790
149400
7%
STOCK FUTURES
8066
7829
236
25656
2%
915,741
1.6%
STOCK FUTURES
26405
25294
4%
60%
STOCK OPTIONS
1432
1380
52
2954
-3% 3%
109 493 109,493
-3% 3%
STOCK OPTIONS
8809
9061
-3% 3%
32%
TOTAL STOCKS
9498
9209
289
TOTAL STOCKS
35214
34355
3%
36%
38%
FIIs contribution to the total Derivatives turnover
SECTOR PERFORMANCE
Utilities Telecommunication Services Technology Hardware & Equipment Software & Services Transportation Capital Goods Health Care Equipment & Services Pharma., Biotech. & Life Sciences Diversified Financials Real Estate Banks Household & Personal Products Food Beverage & Tobacco Retailing Automobiles & Components M di Media Consumer Services Consumer Durables & Apparel Utilities Materials Energy -5.0%
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
The information in this documents has been printed on the basis of publicly available information, internal data and other reliable sources believed to be true and is for general guidance only. While every effort is made to ensure the accuracy and completeness of information contained, the company makes no guarantee and assumes no liability for any errors or omissions of the information. No one can use the information as the basis for any claim, demand or cause of action. LKP Securities Ltd., and affiliates, including the analyst who have issued this report, may, on the date of this report, and from time to time, have long or short positions in, and buy or sell the securities of the companies mentioned herein or engage in any other transaction involving such securities and earn brokerage or compensation or act as advisor or have other potential conflict of interest with respect to companies mentioned herein or inconsistent with any recommendation and related information and opinions. LKP Securities Ltd., and 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.
LKP Securities Ltd. Ph: (91-22) 66351234 FAX: (91-22) 66351249 E Mail: lkpadvisory@lkpsec.com web: http://www.lkpsec.com
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