Derivatives Daily

th
IIFM Research Desk
research@iifm.co.in
8 March 2011

Market Summary
Spot Mar Fut Prem. / Disc Futures OI PCR OI VIX
Current 5463.15 5475.6 12.45 28621400 1.24 25.22
Previous 5536.2 5544.7 8.5 27589300 1.33 22.91
Change (%) ‐1.32% ‐1.25% 3.74% 10.08%

Market Summary: Investors were jittery on Monday on the back of political instability and rising crude oil prices. The
Sensex plunged more than 400 points in intraday trade ‐ giving up post budget gains ‐ as the talks between UPA allies
DMK and the Congress over seat‐sharing for forthcoming elections in Tamil Nadu failed over the weekend.

Open Interest: Nifty March futures OI increased by 3.74% compared to yesterday.

VIX: Nifty VIX increased to 25.22 from 22.91. ATM IV was ~23.65.
PCR: The Put‐Call Ratio for index options was at 1.24. Nifty 5600 Call for the March series now has highest cumulative
OI with around 0.62 crore shares outstanding.

Turnover Snapshot
Segment Turnover (Rs. Cr) % of Total No. of Turnover
Product % change
contracts (Rs. Cr)
NSE Cash 9513.46 7.37% Index Futures 754430 19229.64 ‐14.7%

BSE Cash 2,389.24 1.85% Stock Futures 477784 12073.35 ‐36.0%

NSE F&O 117102.3 90.77% Index Options 3008729 83128.36 ‐21.5%

Stock Options 99418 2670.98 ‐18.6%
Total 129005 100%
F&O Total 4340361 117102.3 ‐22.2%

⇒ The total market turnover was 129005 crores which was around 23.79% lower than that on the previous trading
day.

⇒ The turnover in the F&O section was 22.2% lower than that on the previous trading day.

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 Derivatives Daily
th
IIFM Research Desk
research@iifm.co.in
8 March 2011

Stock F&O Trends

Long Build Up Short Build Up

OI Change Price Change OI Change Price Change
Symbol OI ('000) (%) (%) Symbol OI ('000) (%) (%)
ABAN 1909 14.32% 3.65% BHEL 2215 22.45% ‐2.98%
BANKBARODA 1556 14.23% 1.35% GVKPIL 39848 19.16% ‐5.05%
RPOWER 21596 8.64% 1.44% LT 4115 13.44% ‐2.53%
TRIVENI 2072 8.48% 1.17% EDUCOMP 3517 13.29% ‐5.38%
PATNI 1714 6.96% 0.57% SAIL 6864 10.64% ‐2.42%

Long Unwinding Short Covering

OI Change Price Change OI Change Price Change
Symbol OI ('000) (%) (%) Symbol OI ('000) (%) (%)
IGL 206 ‐5.07% ‐0.91% GMDCLTD 1024 ‐2.85% 1.13%
PTC 4490 ‐4.63% ‐1.43% HOTELEELA 4352 ‐2.51% 1.80%
GESHIP 502 ‐4.20% ‐2.10% MPHASIS 1570 ‐2.30% 3.09%
SYNDIBANK 3572 ‐2.83% ‐1.26% MRPL 8828 ‐2.04% 2.73%
FEDERALBNK 1176 ‐2.65% ‐0.50% RECLTD 6689 ‐1.09% 1.56%

⇒ There was Long buildup in ABAN with 14.32% addition in OI and 3.65% increase in price. BHEL saw a short build‐
up with 22.45% addition in OI and 2.98% decrease in price.

⇒ Long unwinding was seen in IGL with 5.07% decrease in OI and 0.91% decrease in price. Short covering took
place in GMDCLTD. with 2.85% decrease in OI and 1.13% increase in price.

⇒ There was opportunity in Short & Long Gamma trades.

Stocks for Gamma SHORT Stocks for Gamma LONG

HV % IV % IDV % HV % IV % IDV %
Symbol Symbol
(30 day) (ATM) (5 DMA) (30 day) (ATM) (5 DMA)
DLFU IS Equity 46.12 49.41 35.40 ICICIBC IS Equity 42.52 33.11 33.49
SAIL IS Equity 30.78 35.01 29.15 ONGC IS Equity 34.59 31.57 32.11
HUVR IS Equity 26.64 26.72 24.61 TATA IS Equity 35.01 29.35 30.59

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 Derivatives Daily
th
IIFM Research Desk
research@iifm.co.in
8 March 2011

NIFTY PCR Analysis

Cumulative Open Interest

8000
Open Interest ('000)

6000

4000 Call

2000 Put

0
4800 4900 5000 5100 5200 5300 5400 5500 5600 5700 5800
Strike

Change in OI
Open Interest Change ('000)

1000
500
0
‐500
‐1000 Call
‐1500 4800 4900 5000 5100 5200 5300 5400 5500 5600 5700 55800 Put
‐2000
Strike

⇒ The Put‐Call Ratio for Nifty was at 1.24. PCR for the March series was at 1.30.

⇒ In the Nifty March Series, Calls were added at 5400 & 5500 strikes. Nifty currently has highest
cumulative OI on he put‐side at 5400 strike and highest cumulative OI on the call side at 5600 strike.

⇒ The strike PCR at 5400 was at 2.34 indicating that market will find strong support at around 5400 levels.
Strike PCR at 5600 is 0.29. Hence 5600 should act as a resistance for Nifty in the near term.

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 Derivatives Daily th
IIFM Research Desk
research@iifm.co.in
8 March 2011

FII Derivatives Activity

BUY SELL NET OPEN INTEREST

No. of Amt in ` No. of Amt in ` No. of Amt in ` No. of Amt in `
Symbol
contracts Crores contracts Crores contracts Crores contracts Crores
INDEX FUTURES 52084 1417.7 122857 3340.6 ‐70773 ‐1923.0 402407 11010.0
STOCK FUTURES 46491 1195.5 61789 1538.8 ‐15298 ‐343.3 1095695 26689.0
INDEX OPTIONS 318489 8565.6 280256 7588.0 38233 977.6 1783859 48726.9
STOCK OPTIONS 12735 335.3 11685 310.9 1050 24.3 33021 852.7
Total 429799 11514.0 476587 12778.3 ‐46788 ‐1264.3 3314982 87278.7

⇒ FII were net sellers in the Index Futures segment to the

FII and DII trading activity (Cash) tune of 1923.0 Crores. FIIs were net buyers in the Index
(Provisional data, ` Crores) Options segment to the tune of 977.6 Crores.
Category Buy Value Sell Value Net Value ⇒ FII’s were net sellers to the tune of 92.24 Crores and DIIs
were net buyers to the tune of 45.57 Crores in the cash
FII 1845.81 1938.05 -92.24 segment.
DII 697.02 651.45 45.57 ⇒ In the previous 10 days, FIIs have been net sellers to the
tune of 3349.01 Crores while DIIs have been net buyers
to the tune of 2648.74 Crores worth of instruments in
cash segment.

FII and DII Flows

1500.00 4.0%
1000.00 3.0%
500.00 2.0%
0.00
1.0%
‐500.00 21‐Feb 22‐Feb 23‐Feb 24‐Feb 25‐Feb 28‐Feb 1‐Mar 3‐Mar 4‐Mar 7‐Mar
0.0%
‐1000.00
‐1.0%
‐1500.00
‐2000.00 ‐2.0%
‐2500.00 ‐3.0%
‐3000.00 ‐4.0%

FII Net Flow(Rs.cr.) DII Net Flow(Rs.Cr.) change in nifty%

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 Derivatives Daily
th
IIFM Research Desk
research@iifm.co.in
8 March 2011

From IIFM Institutional Equities Desk

Equity Research Products

1. Initiating Coverage In depth analysis coupled with detailed explanation of investment rationale
2. IPO Note In depth analysis of an IPO with a recommendation for the same
3. Result Preview Prediction of results to be announced with a view on margins for the stock
4. Result Review Analysis of the results and view on the stock after the results
5. Event Update Analysis of stock/sector specific event which has occurred and its impact
6. Economic Update Analysis of IIP, GDP, Inflation and six core industries
7. Commodity Outlook Future outlook on bullion, base metals and energy products

Technical Reports
1. Impact Technical guide giving a long term view on index and stocks
2. Market Mirror Technical guide giving a short term view on index and stocks
3. Match Technical analysis of Dollar index and its constituents against INR

Derivatives Research Products

1. Pair Trades Identification of stock pairs based on co integration and correlation
2. NIFTY Strategies Strategies based on market view e.g., straddle, skew, condor etc
3. Arbitrage Trades Cash Future and Special Situation Arbitrage
4. Numero‐Mania Monthly repository of trading strategies from the Derivatives Desk

Daily Reports
1. Morning Glance Daily update of global news before the Indian markets open
2. Post Market Update Daily market action and key statistics in a nutshell
3. Currency Update Analysis of the domestic currency market with an outlook for the day
4. Commodity Update Snapshot of the commodity market with an outlook for the day
5. Derivatives Daily Daily update of the activities in the Derivatives segment
6. Derivatives Weekly Weekly update of the activities in the Derivatives segment
7. Rollover Analysis Daily analysis of the rolls during the expiry week every month

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Derivatives Daily research@iifm.co.in

8th March 2011

IIFM Institutional Equities Desk
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