Daily Derivative Report

Daily Derivative Report

07 January 2013

moneysukh
 
 
 
Nifty Future: : 6,047.50
+7.95 0.13%
 
 
Nifty Sentiment Indicators
Put Call Ratio-Index Options
1.19
Put Call Ratio-Stock Options
0.49
 
Volume
Product
03.01.13
04.01.13
% Chg
Index Futures
155122
183329
18.18%
Stock Futures
438,427
479,193
9.30%
Index Options
1529460
1813116
18.55%
Stock Options
189727
241309
27.19%
Total F&O
2312736
2716949
17.48%
Index
Spot
Future
Basis
NIFTY
6,016.15
6,047.50
                         
31
BANK NIFTY
12,787.35
12,872.00
                         
85
CNXIT
6,153.20
6,180.95
                         
28
 
 
 

F & O HIGHLIGHTS
Nifty January 2013 futures closed at 6048.00 on Friday at a premium of 31.85 points over spot closing of 6,016.15, while Nifty February 2013 futures ended at 6085.25, at a premium of 69.10 points over spot closing. Nifty January futures saw contraction of 0.35 million (mn) taking the total outstanding open interest (OI) to 16.78 mn units. The near month January 2013 derivatives contract will expire on January 31, 2013.

From the most active contracts, IFCI January 2013 futures were trading at a premium of 0.10 at 38.50 compared with spot closing of 38.40. The number of contracts traded was 20,719.Reliance Communications January 2013 futures were at a premium of 0.65 at 81.30 compared with spot closing of 80.65. The number of contracts traded was 13,819.

BHEL January 2013 futures were at a premium of 0.50 point at 244.00 compared with spot closing of 243.50. The number of contracts traded was 9,845. Tata Motors January 2013 futures were at a premium of 2.65 point at 317.80 compared with spot closing of 315.15. The number of contracts traded was 9,971. DLF January 2013 futures were at a premium of 1.05 point at 238.30 compared with spot closing of 237.25. The number of contracts traded was 11,183.

 
 
Increase in Open Interest with Increase in price
Symbol
Price
Change(%)
Open.Int
Increase (%)
SYNDIBANK
137.6
2.23%
4,160,000
24.85%
ALBK
185.4
2.83%
6,862,000
13.95%
IFCI
38.5
11.43%
88,808,000
12.36%
IOC
283.6
3.62%
1,324,000
9.51%
KTKBANK
182.55
6.54%
23,972,000
8.16%
Increase in Open Interest with Decrease in price
Symbol
Price
Change(%)
Open.Int
Increase (%)
ASHOKLEY
26.90
-2.00%
16,749,000
20.69%
SRTRANSFIN
749.8
-1.56%
511,000
16.27%
FEDERALBNK
531.9
-1.94%
2,606,500
14.52%
VOLTAS
107.9
-1.86%
10,534,000
12.86%
HINDZINC
140.95
-1.40%
3,624,000
10.62%
 
 
NEW DAILY DERIVATIVE REPORT Nifty Option Open Interest Distribution

Nifty Jan 6100 call added 2.79 lakh shares in OI and 6200 call shed 0.49 lakh shares in OI. On the put side nifty Jan 6000 put added 4.56 lakh shares in OI and 5900 put added 1.62 lakh in OI. The put-call ratio of stock option increased from 0.47 to 0.49 while put-call ratio of index option increased from 1.16 to 1.19. On the whole the put call ratio was at 1.07.


Analyst
Pashupati Nath Jha
Pashupatinathjha@moneysukh.com

   
 
 
 

NIFTY STRATEGY:

The nifty future is likely to trade in the range of 5710 - 6148 level in short term as the OI is added. The trading strategy would be create long positions if the nifty takes support around 5950 levels for the target of 6000 and 6050 .On the other hand, one can also create short positions if the nifty resist around 6130 levels.



nifty strategy
 
 
MOST ACTIVE CALLS
 
 
Symbol
Expiry Date
Strike Price
Contracts Traded
Open Interest
 
 
NIFTY
31-Jan-13
6,100
2,30,225
50,15,400
 
 
NIFTY
31-Jan-13
6,000
1,81,676
47,12,300
 
 
NIFTY
31-Jan-13
6,200
1,70,293
80,17,250
 
 
NIFTY
31-Jan-13
6,300
91,148
50,04,450
 
 
NIFTY
31-Jan-13
6,400
44,017
12,87,150
 
 
NIFTY
31-Jan-13
5,900
28,323
22,53,400
 
 
NIFTY
31-Jan-13
6,500
9,567
6,14,150
 
 
NIFTY
28-Feb-13
6,200
8,857
10,03,050
 
 
BANKNIFTY
31-Jan-13
13,000
6,437
2,11,050
 
MOST ACTIVE PUTS
 
 
Symbol
Expiry Date
Strike Price
Contracts Traded
Open Interest
 
 
NIFTY
31-Jan-13
6,000
2,29,657
44,61,550
 
 
NIFTY
31-Jan-13
5,900
2,03,211
57,98,100
 
 
NIFTY
31-Jan-13
5,700
1,45,688
62,82,250
 
 
NIFTY
31-Jan-13
5,800
1,44,885
63,79,950
 
 
NIFTY
31-Jan-13
5,600
64,056
53,35,600
 
 
NIFTY
31-Jan-13
5,500
57,390
40,70,700
 
 
NIFTY
31-Jan-13
6,100
48,291
17,63,300
 
 
NIFTY
31-Jan-13
5,400
10,453
23,04,000
 
 
NIFTY
28-Feb-13
5,900
6,370
7,10,000
 
 
  NEW DAILY DERIVATIVE REPORT   NEW DAILY DERIVATIVE REPORT
 
 
STRATEGY TRACKER
DATE OF STRATEGY
UNDERLYING ASSET
STRATEGY
IN/OUT FLOW
NET PROFIT/ LOSS AS ON 03/01/13
REMARK
31/12/2012
NIFTY

SELL NIFTY JAN 6000 CALL@ 71 SELL NIFTY JAN 6000 PUT@ 113

184
22.00
BOOK PARTIAL PROFIT AS ON 02.01.2013
17/12/2012
NIFTY

SELL NIFTY DEC 5900 CALL@ 64 BUY TWO NIFTY DEC 6000 CALL@ 23

18
8.00
BOOK PARTIAL PROFIT AS ON 24.12.2012
10/12/2012
NIFTY
SELL NIFTY DEC FUTURE@ 5950 BUY NIFTY DEC 6000 CALL@ 50
-50
40.00
BOOK FULL PROFIT AS ON 14.12.2012
03/12/2012
APOLO TYRE
SELL APOLLO TYRE DEC 85 PUT@ 3.60 BUY TWO APOLLO TYRE DEC 80 PUT@ 1.45
0.7
0.15
BOOK FULL PROFIT & EXIT AS ON 18.12.2012
20/11/2012
NIFTY
SELL NIFTY NOV 5500 PUT@ 23 BUY TWO NIFTY NOV 5400 PUT@ 7
9
9.00
BOOK FULL PROFIT AS ON 23.11.2012

 

 
NAME
DESIGNATION
E-MAIL
Varun Gupta
Head - Research
Pashupati Nath Jha
Research Analyst
Vikram Singh
Research Analyst

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