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Comments
The Nifty futures open interest increased by 13.58% while
Nifty Vs OI
BankNifty futures open interest is increased by 12.07% as market closed at 5999.35 levels.
The Nifty May future closed at premium of 8.05 point
against a discount of 1.20 points. The June series closed at a premium of 15.00 points.
The Implied Volatility of at the money options has
View OI Gainers
SCRIP SYNDIBANK SUNPHARMA CANBK LT BHARTIARTL OI 5942000 2992500 2881500 3290500 6006000 OI CHANGE (%) 84.31 24.91 23.19 20.05 18.63 PRICE 129.00 967.05 412.15 1552.05 316.75 PRICE CHANGE (%) 7.86 1.64 -0.71 2.63 -0.61 Good amount of buying observed by FIIs in cash
market segment; they were net buyers worth of `1430/- cr. On derivatives front some long buildup was seen by them in index futures, while in index options and stock futures some short buildup was formed by them in yesterdays trading session.
On options front due to the event of RBI policy the
OI Losers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)
buildup is quite scattered across all of the strike prices and with increase in IVs majority of the buildup could be on the longer side. 6000-6400 call option and 5900-6000 put option has seen significant amount of buildup in open interest in yesterdays trade.
The recent bounce in JPASSOCIAT was mainly due to
short covering and has not seen much of the long positions getting buildup in this counter. However the stock in start of the new expiry has seen some short buildup and hence we feel the stock could see some downward pressure in near term. Hence we recommend to go short at around `78-79 levels with the stop loss of `82 and target of `72.
Put-Call Ratio
SCRIP NIFTY BANKNIFTY HINDUNILVR INFY SBIN PCR-OI 1.09 1.51 1.25 0.46 0.70 PCR-VOL 0.93 1.23 0.91 0.30 0.63
Historical Volatility
SCRIP SYNDIBANK TCS CHAMBLFERT GMRINFRA POWERGRID HV 51.44 31.46 53.63 55.20 27.06
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Derivative Report
May 03, 2013
Turnover on 02-May-2013
No. of Contracts Turnover (` in cr.) Change (%)
Instrument
2360.43
1697.88
20616.55 20881.46
Lot Size = 50
Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 6100 6000 6200 6100 6200 Price 102.05 58.20 102.05 29.30 58.20 29.30 28.90 71.10 6128.90 72.75 127.25 6072.75 Risk 43.85 Reward 56.15 BEP 6043.85
Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 5900 6000 5800 5900 5800 Price 96.40 59.00 96.40 35.55 59.00 35.55 23.45 76.55 5876.55 60.85 139.15 5939.15 Risk 37.40 Reward 62.60 BEP 5962.60
Note: Above mentioned Bullish or Bearish Spreads in Nifty (May. Series) are given as an information and not as a recommendation.
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Derivative Report
May 03, 2013
Symbol TCS
E-mail: research@angelbroking.com
Website: www.angelbroking.com
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