Daily Derivatives

06-Jun-13

Market Reviews
Nifty Synopsis
Particulars

Market Outlook:

05-Jun-13

04-Jun-13

Nifty Spot Close

5,923.85

5,919.45

0.07%

Nifty Jun Close

5,938.30

5,932.35

0.10%

Nifty Jul Close

5,954.00

5,946.70

0.12%

Nifty Jun OI (in Lacs)

131.53

134.08

-1.90%

Nifty Jul OI (in Lacs)

14.64

14.37

1.88%

Nifty CoC - Spot to Jun (%)

4.04%

3.45%

0.59

Nifty CoC- Spot to Jul (%)

3.71%

3.29%

0.42

Nifty Spread- Jun to Jul (%)

4.38%

3.83%

0.55

10.54%

10.10%

0.44

Nifty Volume (Qty- in Lacs)

2.23

1.94

14.95%

PCR OI

0.98

0.98

0.25%

PCR Vol (Contract)

0.92

0.90

1.12%

183.81

179.50

2.40%

16.78

17.26

-2.78%

Roll Over (%)

Market OI (in Cr)

Nifty VIX

6,300

Nifty Spot & Nifty Future - Premium / Discount

Last 21 Trading Days

6,200

Chg

30

10

6,000
0

5,900
5,800

-10

5,700

-20
NIFTY (Spot)

Pivot Point
NIFTY (F)
Mv. Avg. (E)
NIFTY (S)

S2
5,873.17
14 Days
6,014.16

NIFTY (Future)

S1
5,905.74
30 Days
5,989.33

Nifty Jun Future Price saw a increase of around 0.1% and Open Interest saw a decrease
of around 1.9%: Indicating Short Covering in Nifty.
Nifty Jun Future is trading at a premium of 14.45 point as compared to a premium of
12.9 point as of the previous trading day: Indicating positiveness for the Market.
Nifty Jul Future is trading at a premium of 30.15 point as compared to a premium of
27.25 point as of the previous trading day: Indicating positiveness for the Market.
The PCR for Nifty based on Open Interest saw a increase and stand at 0.98 as compared
to 0.98 : Indicating positiveness for the market.
High PUT option open interest buildup of around 61.01 lacs contracts is seen at 5900
strike: Indicating that traders are betting on to 5900 as strong support.
High CALL option open interest buildup of around 58.9 lacs contracts is seen at 6200
strike: Indicating that traders are betting on to 6200 as strong resistance.
Nifty Rollover saw a increase and stand at 10.54% as compared to 10.1% as of the
previous trading day: Indicating positivesness for the market.
Nifty VIX decreased by 0.48 points from 17.26 points to 16.78 points: Indicating
positiveness for the Market.

Securites in Ban for Trade are:

HDIL
Global Market Commentary:

20

6,100

J
J
J
J
J
L
J
J

Discount / Premium

In the last trading session of respective global market, Dow (US) closed down at
14960.59 by 217 points. In European Market, FTSE (UK) close at 6419.3 and was down
by 139 points, CAC (France) at 3852.44 and was down by 73.39 points and DAX
(Germany) at 8196.18 and was down by 100 points.

Today Asian Market :

Today major stock markets in Asia are trading in a mixed sentiment. Hang Seng (China)
down at 22069.24 by 149 points. Nikkei (Japan) at 13014.87 and was gain by 125 points,
Straits Times (Singapore) at 3243.43 and was down by 33 points.

Singapore Nifty future is currently down by 49 points at 5894.25.

PIVOT
R1
R2
5,928.82 5,961.39 5,984.47 BANKNIFTY (F)
50 Days 100 Days 200 Days
5,948.06 5,884.42 5,762.46 BANKNIFTY (S)

S2
12,141.97
14 Days
12,633.00

S1
12,226.14
30 Days
12,577.21

PIVOT
12,295.27
50 Days
12,442.28

R1
5,961.39
100 Days
12,226.18

R2
12,448.57
200 Days
11,828.84

Turnover & Sector wise Open Interest Reviews

NSE TO , FII TO & Net Inflow (Outflow) FII

Last 21 Trading Days

325000

2,000
1,500

275000

1,000

225000

500

175000

125000

-500

75000

-1,000

25000

-1,500
NSE TO

FII TO

In the last trading session, we saw total turnover of Rs. 108965.95 crs in NSE F&O
Segment, compare to 100623.79 crs as of the previous trading day. FIIs were net buyers
of Rs. 648.38 Crs with an open interest of around Rs. 82961.8 crs. In Index Options FIIs
were net buyers of Rs. 164.96 crs with 2.85% increase in open interest. In Stock Future
FIIs were net sellers of Rs. 261.22 crs with 0.9% increase in open interest. In Index
Future FIIs were net sellers of Rs. 597.18 crs with 0.88% decrease in open interest:
Indicating LONG UNWINDING in Index Futures by FII's.
Sector wise Chg in OI
1.47%
1.50%
1.17%
3.85%

Fund Inflow / Outflow

Change in NSE & FII TO & Nifty

Last 21 Trading Days

100%

-1.68%
-0.58%

6,300

1.77%

6,200
50%

-0.94%

6,100

0%

1.26%
1.61%
0.81%

6,000

4.14%

5,900

-50%

0.07%
1.12%
0.81%

5,800
-100%

5,700

NSE TO
% Chg

Open Interest (in lacs)

Cur OI

FII TO
% Chg
Prv OI

-2.04%

NIFTY

Roll Over

11.86%

Sectoral Open Interest Rollover

3,000

5%

2,500

4%

2,000

3%

1,500

2%

1,000
500

1%

0%

Sector

Price and Open Interest Analysis

Price Loser

Price Gainer
Symbol
RCOM
OFSS
ADANIPOWER
CHAMBLFERT
FRL

Price
117.10
2,772.65
59.00
46.50
143.55

% Chg
5.59%
5.10%
4.42%
3.79%
3.76%

% Chg
Exp
6.55%
4.78%
0.77%
2.31%
3.98%

OI
(in Lacs)

% Chg

% Chg
Exp

%
Dlvry

389.16 14.54% 23.05% 10.10%

4.50 2.80% 5.55% 49.62%
88.72 4.13% 6.45% 12.74%
114.36 -1.82% -0.41% 34.90%
46.24 2.44% 1.81% 11.20%

COC
11.37%
2.72%
9.87%
8.94%
11.60%

Roll
Over
2.02%
0.00%
1.16%
2.06%
2.08%

Symbol
JISLJALEQS
INDIACEM
PFC
TECHM
ZEEL

Price
66.75
65.80
175.00
923.20
234.85

% Chg
-6.18%
-4.01%
-2.94%
-2.40%
-2.00%

Open Interest Gainer

Symbol
PFC
RCOM
IDEA
FINANTECH
TECHM

Price

% Chg

175.00 -2.94%
117.10 5.59%
136.85 1.18%
835.15 1.92%
923.20 -2.40%

% Chg
Exp
-8.50%
6.55%
2.51%
-0.69%
-5.68%

17.05%
14.54%
13.09%
11.88%
11.11%

-4.71%
-4.15%
-8.50%
-5.68%
-0.06%

61.24%
23.05%
42.37%
28.24%
19.97%

%
Dlvry

COC

52.10%
10.10%
55.00%
37.05%
58.94%

11.89%
11.37%
9.12%
13.26%
10.09%

Roll
Over
2.22%
2.02%
1.23%
0.26%
3.56%

Symbol
SIEMENS
M&M
GAIL
BATAINDIA
BPCL

Price
580.50
993.05
316.05
868.55
375.60

% Chg

% Chg
Exp

-0.65%
0.26%
1.09%
-0.07%
0.51%

-2.43%
-1.15%
-1.37%
5.22%
-2.11%

Long Buildup
Symbol
RCOM
PUNJLLOYD
FINANTECH
ADANIPOWER
IDEA

Price
117.10
45.35
835.15
59.00
136.85

% Chg
5.59%
3.19%
1.92%
4.42%
1.18%

% Chg
Exp
6.55%
0.89%
-0.69%
0.77%
2.51%

14.54%
8.75%
11.88%
4.13%
13.09%

23.05%
11.10%
28.24%
6.45%
42.37%

%
Dlvry

COC

10.10%
37.35%
37.05%
12.74%
55.00%

11.37%
14.70%
13.26%
9.87%
9.12%

Roll
Over
2.02%
0.62%
0.26%
1.16%
1.23%

Symbol
ZEEL
SIEMENS
ARVIND
COALINDIA
LUPIN

Price
234.85
580.50
81.20
324.35
769.40

% Chg
-2.00%
-0.65%
-1.87%
-0.54%
-0.40%

% Chg
Exp
-0.06%
-2.43%
-0.92%
-1.02%
0.52%

Short Covering
Symbol
DLF
CHAMBLFERT
GAIL
RELIANCE
UNITECH

Price
200.00
46.50
316.05
805.75
24.50

% Chg

% Chg
Exp

3.12% -2.79%
3.79% 2.31%
1.09% -1.37%
2.51% -3.71%
1.87% 2.30%

OI
% Chg
% Chg
(in Lacs)
Exp
171.49
114.36
32.16
111.96
661.10

123.60
71.40
79.24
14.56
43.89

% Chg

% Chg
Exp

%
Dlvry

COC

8.46%
4.94%
17.05%
11.11%
-3.20%

21.95%
7.62%
61.24%
19.97%
5.85%

42.39%
32.71%
52.10%
58.94%
55.81%

9.97%
12.66%
11.89%
10.09%
12.41%

%
Dlvry

COC

31.56%
43.46%
65.89%
25.69%
58.03%

2.29%
10.90%
5.78%
5.36%
8.64%

%
Dlvry

COC

55.81%
31.56%
9.25%
71.98%
61.35%

12.41%
2.29%
9.22%
4.10%
7.24%

%
Dlvry

COC

42.39%
52.10%
58.94%
32.71%
49.99%

9.97%
11.89%
10.09%
12.66%
12.29%

Roll
Over
0.68%
1.27%
2.22%
3.56%
0.93%

OI
% Chg
% Chg
(in Lacs)
Exp
6.63
23.95
32.16
20.59
47.38

-6.95%
2.69%
-6.27% -13.46%
-6.24% 26.38%
-5.85%
1.90%
-4.76% -2.81%

Roll
Over
0.75%
1.35%
0.56%
0.51%
7.48%

Long Unwind

OI
% Chg
% Chg
(in Lacs)
Exp
389.16
254.56
7.70
88.72
72.42

OI
(in Lacs)

Open Interest Loser

OI
% Chg
% Chg
(in Lacs)
Exp
79.24
389.16
72.42
7.70
14.56

% Chg
Exp

OI
% Chg
% Chg
(in Lacs)
Exp
43.89
6.63
30.88
43.83
22.43

-3.20%
-6.95%
-0.77%
-2.06%
-2.29%

5.85%
2.69%
-8.36%
7.29%
6.13%

Roll
Over
0.93%
0.75%
2.15%
0.72%
0.73%

Short Buildup
%
Dlvry

-3.04% 7.41% 22.66%

-1.82% -0.41% 34.90%
-6.24% 26.38% 65.89%
-2.61% 10.54% 46.06%
-3.45% 1.75% 7.89%

COC

Roll
Over

6.65%
8.94%
5.78%
7.74%
13.60%

2.69%
2.06%
0.56%
2.68%
1.31%

Symbol
JISLJALEQS
PFC
TECHM
INDIACEM
UNIONBANK

Price
66.75
175.00
923.20
65.80
210.00

% Chg
-6.18%
-2.94%
-2.40%
-4.01%
-1.32%

% Chg
Exp
-4.71%
-8.50%
-5.68%
-4.15%
-9.27%

OI
% Chg
% Chg
(in Lacs)
Exp
123.60
79.24
14.56
71.40
31.17

8.46%
17.05%
11.11%
4.94%
10.45%

21.95%
61.24%
19.97%
7.62%
28.59%

Roll
Over
0.68%
2.22%
3.56%
1.27%
2.65%

An increase in open interest along with an increase in price is said to confirm an upward trend. Similarly, an increase in open interest along with a decrease in price
confirms a downward trend. An increase or decrease in prices while open interest remains flat or declining may indicate a possible trend reversal.

Options Reviews
Nifty Option Open Interest Distribution
CALL
Strike
5400
5500
5600
5700
5800
5900
6000
6100
6200
6300
6400
6500

Price
538.40
435.75
346.05
257.35
178.90
112.55
64.70
33.20
15.85
7.10
3.35
1.80

PUT

CE OI OI (T-1)
(in lkh) (in lkh)

% Chg
1.13%
0.67%
0.63%
0.78%
0.11%
-0.88%
-2.41%
-4.05%
-5.93%
-9.55%
-5.63%
-5.26%

1.91
6.19
8.93
7.82
12.26
32.77
42.45
54.80
58.90
40.17
21.02
14.92

1.91
6.31
9.26
7.80
10.69
25.06
43.38
53.63
53.64
37.84
21.59
14.93

CE OI
% Chg
0.00%
-1.86%
-3.53%
0.34%
14.68%
30.79%
-2.14%
2.18%
9.82%
6.16%
-2.66%
-0.03%

PE OI OI (T-1)
(in lkh) (in lkh)

Price

% Chg

3.70
6.40
12.45
24.25
44.60
77.40
126.65
192.90
275.40
367.15
461.95
557.95

-16.85%
-19.50%
-16.72%
-14.61%
-11.60%
-8.73%
-5.80%
-3.69%
-3.08%
-2.08%
-0.54%
-0.84%

12.19
26.38
44.49
41.09
60.28
61.01
34.38
20.44
9.95
4.87
2.37
4.64

Call Put Open Interest Concentration

70

35%

60

30%
25%

50

20%

40

15%

30

10%

20

5%
0%

10

-5%

-10%
-15%

CE OI
(in lkh)

PE OI
(in lkh)

Poly. (CE OI
(in lkh))

Poly. (PE OI
(in lkh))

PCR (OI)

-20%

10.83
24.00
42.01
35.35
53.88
58.52
37.23
20.74
11.47
5.52
2.43
4.76

PE OI
% Chg
12.62%
9.92%
5.91%
16.23%
11.89%
4.25%
-7.67%
-1.45%
-13.26%
-11.80%
-2.57%
-2.62%

OI
6.37
4.26
4.98
5.25
4.92
1.86
0.81
0.37
0.17
0.12
0.11
0.31

OI (T-1)
5.66
3.81
4.54
4.53
5.04
2.34
0.86
0.39
0.21
0.15
0.11
0.32

Call Put Open Interest Concentration

CE OI
PE OI
% Chg
% Chg

PCR
% Chg
12.62%
12.00%
9.78%
15.83%
-2.44%
-20.29%
-5.65%
-3.55%
-21.02%
-16.92%
0.09%
-2.58%

Most Active Option Contract and Sentiment Reviews

Most Active Nifty - CALL
Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY

Expiry
Date

Strike
Price

27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13

Setl
Price

6,000
6,100
5,900
6,200
6,300

Most Active Nifty

Con
(in lkh)

64.70
33.20
112.55
15.85
7.10

Trd
Val (Cr)

4.00
2.93
2.05
1.89
0.80

12,112.00
8,977.72
6,171.22
5,873.94
2,525.00

OI
(in lkh)
42.45
54.80
32.77
58.90
40.17

Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY

Expiry
Date

Opt

27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13

CE
PE
CE
PE
CE

Most Active Nifty - PUT

Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY

Expiry
Date

Strike
Price

27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13

Setl
Price

5,900
5,800
5,700
6,000
5,600

Trd
Val (Cr)

3.36
2.90
2.10
1.19
1.07

10,058.73
8,488.01
6,019.42
3,652.10
2,990.45

OI
(in lkh)
61.01
60.28
41.09
34.38
44.49

Symbol
SBIN
SBIN
RELIANCE
DLF
RELIANCE

Expiry
Date

Opt

27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13

Basis

BANKINDIA
JSWENERGY
BANKBARODA
HEROMOTOCO
FEDERALBNK

Symbol
JISLJALEQS
OFSS
BIOCON
CHAMBLFERT
TECHM

Price

11.35
0.30
25.40
24.45
4.60

% Chg

66.75 -6.18%
2,772.65 5.10%
286.15 2.49%
46.50 3.79%
923.20 -2.40%

27-Jun-13
282.15
57.50
641.80
1,660.40
459.70

25-Jul-13
293.50
57.80
667.20
1,684.85
464.30

Volatility Gainer
% Chg
OI
% Chg
Exp (in Lacs)
-4.71% 123.60 8.46%
4.78%
4.50 2.80%
5.20%
12.99 1.41%
2.31% 114.36 -1.82%
-5.68%
14.56 11.11%

Con
(in lkh)

64.70
77.40
33.20
44.60
112.55

Trd
Val (Cr)

4.00
3.36
2.93
2.90
2.05

OI
(in lkh)

12,112.00
10,058.73
8,977.72
8,488.01
6,171.22

42.45
61.01
54.80
60.28
32.77

CE
PE
CE
CE
CE

Strike
Price
2,100
2,000
800
200
820

LTP

Con
(in '000)

Trd
Val (Cr)

6.20
5.12
4.94
4.76
4.19

166.46
131.07
101.52
99.31
87.37

48.00
46.00
26.20
9.35
17.30

OI
(in lkh)
5.83
4.11
5.91
15.58
7.01

CoC Gainer

Spread Gainer
Symbol

6,000
5,900
6,100
5,800
5,900

Setl
Price

Most Active Stock

Con
(in lkh)

77.40
44.60
24.25
126.65
12.45

Strike
Price

Dvnd
2.00
-

% Chg
Exp
21.95%
5.55%
-1.89%
-0.41%
19.97%

Spread
65.43%
67.37%
64.39%
24.25%
16.52%

Chg
59.24
57.42
52.05
26.78
25.04

%
Volatility Roll
Dlvry % Chg Over
42.39% 13.40% 0.68%
49.62% 10.91% 0.00%
51.08%
8.09% 3.78%
34.90%
5.13% 2.06%
58.94%
4.34% 3.56%

Symbol

Basis

HDIL
IDEA
INDHOTEL
PUNJLLOYD
ZEEL

Symbol
UNIPHOS
RCOM
AUROPHARMA
INFY
BATAINDIA

-0.70
0.75
0.45
0.40
1.75

Price

% Chg

165.65 0.82%
117.10 5.59%
188.30 0.91%
2,473.00 -1.10%
868.55 -0.07%

Future
41.10
136.85
51.85
45.35
234.85

Spot
41.80
136.10
51.40
44.95
233.10

Expiry to Exipry Gainer

% Chg
OI
% Chg
Exp (in Lacs)
6.73%
58.30 -3.67%
6.55% 389.16 14.54%
6.41% 120.82 5.39%
5.62%
26.39 0.44%
5.22%
20.59 -5.85%

Dvnd
-

% Chg
Exp
-2.00%
23.05%
12.03%
0.49%
1.90%

CoC

Chg

-28.02%
9.12%
14.46%
14.70%
12.41%

16.25
11.46
8.34
7.46
7.44

%
Volatility Roll
Dlvry
% Chg
Over
46.56% -2.60% 0.61%
10.10%
3.80% 2.02%
37.13% -2.83% 0.64%
55.35% -2.47% 1.92%
25.69% -2.97% 0.51%

The CoC is the cost of "carrying" or holding a position. A higher carry cost is indicative of buying pressure and vice versa.
The Future Spread refers to the difference between in the price of two future contracts while hedging against risk. More buyers and sellers competing in the same space bring Bid/Offer spreads lower.
Volatility is the relative rate at which the price of a security moves up and down. If the price of a stock moves up and down rapidly over short time periods, it has high volatility and vice versa.

Disclaimer:
The information and opinions contained herein been compiled or arrived at, based upon information obtained from reliable sources. Such
information has not been independently verified and no guarantee, representation of warranty, express or implied, is made as to its accuracy,
completeness or correctness. All such information and opinions are subject to change without notice. I do not take any responsibility, financial or
otherwise, of the losses or the damages sustained due to the investments made or any action taken on basis of this report. I may or may not have
any positions in any of the stocks dealt in the report. This report is only for PRIVATE CIRCULATION.

For suggestions, clarifications & your valuable feedback write back to me at

research.fo@gmail.com

trendcapture.blogspot.in

Thank You