Weekly Derivatives Snapshot

28th November 2009

INDICES Snapshot
Underlying This week Prev. week Change %Chg OPEN INTEREST Position (Amount in Cr.)
BANKNIFTY 8945.05 9219.05 -274.00 -2.97 This Prev Change %
CNXIT 5262.50 5463.55 -201.05 -3.68 week week Change
NFTYMCAP50 2479.60 2548.30 -68.70 -2.70
NIFTY 4941.75 5052.45 -110.70 -2.19 Index Futures 14746.42 17221.05 -2474.63 -14.37
- - - - -
Index Options 43353.87 62984.57 -19630.70 -31.17
- - - - -
FUTURES - LTP Stock Futures 27688.63 32362.76 -4674.13 -14.44
BANKNIFTY 8939.55 9233.00 -293.45 -3.18
CNXIT 5271.20 5467.00 -195.80 -3.58 stock Options 2142.88 6050.65 -3907.77 -64.58
NFTYMCAP50 2423.00 0.00 2423.00 0.00
NIFTY 4946.30 5071.05 -124.75 -2.46 Total 87931.80 118619.03 -30687.23 -25.87
- - - - -
- - - - - NIFTY PUT CALL RATIO (OI)
OPEN INTEREST This Prev. %
BANKNIFTY 1311450 1157350 154100 13.31 week week Change
CNXIT 15500 26600 -11100 -41.73
Call OI 752162 968053 -22.3
NFTYMCAP50 22200 20700 1500 7.25
NIFTY 26665100 30615350 -3950250 -12.90 Put OI 1001292 1519101 -34.09
- - - - -
- - - - - PCR (OI) 1.33 1.57 -15.29
Source NSE

F & O Last Week

The week gone-by was ‘Negative’ for markets. It was an ‘expiry’ week for NOV series. However, the Week began on a ‘firm’ note.
Benchmark NIFTY registered moderate ‘gains’ on 1st day of the week. Next two sessions were ‘Index-neutrals’ with NIFTY losing
mildly in one session and regaining all these losses in the next session. An ‘Expiry’ day had it’s usual jitters and ‘negative’ global
cues added fuel to fire. NIFTY registered significant losses on that day and NOV series closed on a ‘nervous’ note. Start to the new
series on Friday too was ‘shaky’, however markets recovered in the later-half of Friday’s session, on the back of ‘value-buying at
lower levels.
On weekly basis NIFTY(spot) registered significant ‘losses’ of 111 points and closed 2.19% lower at 4941.75. CNX NIFTY DEC
FUTURE too, registered significant ‘losses’ of 125 points and closed 2.46% lower at 4946.30. NIFTY DEC FUTURE ‘Premium’
shrinked to ‘4’ points from that of ‘14’ points earlier to the spot, at the end of previous week. CNX NIFTY NOV FUTURE closed the
series (on Thursday 26th NOV 2009) at 5005.55 as against 4750.25 of OCT series – ‘GAINS’ of 255.05 points (5.37%).

Action on FRIDAY 27 NOV 09.

New series started on a ‘nervous’ note. Benchmark NIFTY opened ‘sharply lower’ on the back of extremely ‘negative’ global cues
and continued falling further. This attracted bargain-buying at ‘Lows’ of the day in the post-noon trade. ‘Smart-recovery’ then
materialized, which lifted NIFTY by about 144 points from the day’s Low. At the end, market ended in ‘red’ with moderate losses.
NIFTY ended the session with ‘losses’ of 64 points and closed 1.27% lower at 4941.75. CNX NIFTY DEC FUTURE too registered
moderate ‘losses’ of 46 points to close 0.93% lower at 4946.30. NIFTY FUTURES DEC closed at a ‘Premium’ of 4 points to the
spot.
Volumes in F&O were much lower that Thursday with Total Turnover falling to Rs.96,075 crs. v/s.Rs.1,37,130 crs. in previous
trading session. Top ‘gainers’ in the F&O were, SUZLON, TATA COMM, RANBAXY and UNITECH, while Top ‘losers’ in the F&O
were ABAN, IVRCL INFRA, BOB and SIEMENS.

Outlook for coming Week

Markets were ‘nervous’ in the week gone-by and witnessed usual ‘unwinding’ pressures in an ‘expiry week’ being a heavy series.
Choppy global markets added to the market’s woes. FIIs were aggressive ‘Sellers’ in CASH segment and sold stocks worth
Rs.1458 crs (as per provisional figs) over the week. Interestingly, they were ‘net Buyers’ in F&O segment. New series once again
has started on a ‘heavy’ note, with outstanding Leveraged’ position of about Rs.82.1 K crs in comparison to that of Rs.79 K crs
at the beginning of previous series. This could be a ‘big’ cause of concern and may impact ‘Market Trend’ in the near term. Mild
Build-up of ‘Long’ positions was observed on INDEX OPTIONS through ‘PUT-writing’ at little Lower strikes. Markets have shed
substantial weight now in last two trading sessions. Indices now have slipped almost to a comfortable zone for ‘buying’ to
emerge. With no immediate ‘triggers’ in domestic markets, Institutional activity (FIIs action) and Global cues will decide the trend
in markets in the coming week. ‘Weak U.S. dollars was one of the main driver for ‘rally’ in domestic markets in the recent past. As
such, rise in ‘dollar index’ may trigger ‘unwinding’ of dollar-carry trades. NIFTY may find ‘Support’ in the range 4850~4800. On the
Higher side 5180~5200 levels remain as a ‘stiff’ hurdle’ for NIFTY for the week.
Contd...
NIFTY FUTURES
ExpiryDate ClosePrice Prv.ClosePrice Diff OIShares Prv.OI-Shares OI Diff- shares OI Diff- %
27/11/2009 20/11/2009 27/11/2009 20/11/2009
SPOT 4941.75 5052.45 -110.70
NIFTY-FUT 26/11/2009* 5005.30 5066.25 -60.95
NIFTY-FUT 31/12/2009 4946.30 5071.05 -124.75 26112950 8005600 18107350 226.18
NIFTY-FUT 28/01/2010 4953.85 5081.35 -127.50 543400 177300 366100 206.49
NIFTY-FUT 25/02/2010 4960.50 -- -- 8750 -- -- --
* Series Expired on Thurs. Nov.26,2009

NIFTY Highlights- for the Week

„ Overall leveraged position in F&O now at Rs.87,932 crs. post day 1 of DEC series as against Rs. 83,267 crs post day 1 of NOV series.
„ NIFTY NOV FUTURES closed the series at 5005.30 as against 4750.25 of OCT series – ‘GAINS’ of 255.05 points (5.37%)
„ NIFTY DEC FUTURES closed the week at a ‘Premium’ of 4 points vis-à-vis ‘Premium’ of 19 points in the previous week
„ NIFTY OI at the end of day 1 of NOV series now stand at Rs.56,503 crs. as against Rs. 52,785 crs post day 1 of NOV series.
„ NIFTY FUTURES OI is now at Rs.13,177 crs and NIFTY OPTIONS OI now stands at Rs.49,326 cr.
„ NIFTY OI PCR fell by about 15.3% to 1.33 vis-à-vis at 1.57 in the last week.
„ NIFTY 4800 PUTs DEC added 10.29 L shares to OI; NIFTY 4700 PUTs NOV added 9.64 L shares to OI.
„ NIFTY 5000 CALLs DEC added 8.10 L shares to OI; NIFTY 5100 CALLs NOV shed 7.10 L shares from OI.

Cost of Carry (CoC)

„ NIFTY FUTURES DEC -‘Cost of Carry’ is at ‘+2.59’.
„ Highest CoC: ACC, PANTLOON, BOB and SBI.

Implied Volatility
„ NIFTY 5200 DEC CALL -IV is at 23.04 % (HV: 26.79%) and NIFTY 5200 DEC PUT IV at 29.54%.

Roll-Over
ƒ Market-wide Roll-over picked up on ‘expiry’ day and was around 84% like last series ;
ƒ NIFTY Roll-over was much lower, around 70% as against 74% in last series.
ƒ Highest Roll-over seen in GTL(98%); GTL INFRA(94%); GMR INFRA(94%); IND. HOTEL(93%); CAIRNS (93%) and VOLTAS(92%).
ƒ Lowest Roll-over seen in SUN TV(54%); DABUR(58%); GAIL (61%); LUPIN(61%); LUPIN(4%); and YES BANK (68%).

Other Highlights of the week:

„ FIIs were Net Buyers for Rs.782 crs in F&O during the week, with their Net OI, in Index (Futures and Options) now stand at
17,92,039 contracts and at 7,46,101 contracts. in Stocks (Futures and Options).
„ Leveraged Positions in STOCKS (Fut.+Options) stands at Rs.29,831 post day 1 of DEC series.(It was Rs. 28,755 crs. D-1 of
NOV series)
„ Stock Futures ‘Open Interest’ stand at 127.83 cr shares at the end of day 1 of DEC series (It was 130.22 cr shares. D-1 of NOV. series).

FII's Derivative Statistics for Week ending 27/Nov/2009

Open Interest Open Interest Change in FIIs Open
Buy Sell as on 20/Nov/2009
as on 27/Nov/2009 Interest
No. of Amt in No. of Amt in No. of Amt in No. of Amt in No. of Amt in
FII Contr. Crs. Contr. Crs. Contr. Crs. Contr. Crs. Contr. Crs.
INDEX FUTURES 99167 2455.32 127345 3225.09 542227 13772.86 561961 14552.80 -19734 -779.94
INDEX OPTIONS 283019 6714.87 259650 6281.74 1249812 30881.29 1507828 38114.98 -258016 -7233.69
STOCK FUTURES 50076 1604.63 42326 1438.86 735107 22757.33 807675 25740.92 -72568 -2983.59
STOCK OPTIONS 1177 35.41 806 22.19 10994 355.31 41199 1299.81 -30205 -944.50
Cash Market 1449.17 2506.35
DII 2394.92 1696.25
Source NSE

Contd...

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OPEN INTEREST AS A PERCENTAGE OF MARKETWIDE POSITIONS
Scrip % OI Scrip % OI Scrip % OI Scrip % OI
ABAN 77.78 GTOFFSHORE 17.39 ORCHIDCHEM 43.93 YESBANK 5.57
ABB 6.83 GVKPIL 17.62 ORIENTBANK 3.94 ZEEL 2.53
ABIRLANUVO 16.6 HCC 13.08 PANTALOONR 10.05
ACC 8.18 HCLTECH 2.92 PATELENG 11.83
ALBK 8.5 HDFC 3.88 PATNI 23.09
AMBUJACEM 11.95 HDFCBANK 3.65 PETRONET 9.09
ANDHRABANK 2.23 HDIL 24.63 PFC 4.8
APIL 13.25 HEROHONDA 12.72 PIRHEALTH 0.49
ASHOKLEY 5.2 HINDALCO 15.35 PNB 11
ASIANPAINT 0.03 HINDPETRO 10.25 POLARIS 12.72
AUROPHARMA 30.29 HINDUNILVR 6.88 POWERGRID 15.36
AXISBANK 6.37 HINDZINC 0.76 PRAJIND 25.99
BAJAJ-AUTO 2.36 HOTELEELA 12.4 PTC 10.41
BAJAJHIND 51.23 IBREALEST 13.06 PUNJLLOYD 17.2
BALRAMCHIN 51.88 ICICIBANK 10 RANBAXY 10.75
BANKBARODA 7.69 ICSA 26.72 RCOM 18.38
BANKINDIA 5.44 IDBI 17.26 RECLTD 3.25
BEL 5.72 IDEA 11.18 RELCAPITAL 20.31
BEML 2.94 IDFC 5.84 RELIANCE 7.8
BHARATFORG 12.98 IFCI 64.6 RELINFRA 16.08
BHARTIARTL 11.14 INDHOTEL 8.25 RELMEDIA 46.32
BHEL 7.13 INDIACEM 38.13 RENUKA 21.82
BHUSANSTL 13.3 INDIAINFO 18.39 RNRL 23.98
BIOCON 15.01 INDIANB 10.81 ROLTA 16.48
BOSCHLTD 0.09 INFOSYSTCH 3.88 RPOWER 29.34
BPCL 5.77 IOB 3.92 SAIL 6
BRFL 48.53 IOC 2.93 SBIN 8.19
CAIRN 11.51 ISPATIND 62.15 SCI 6.09
CANBK 6.16 ITC 1.33 SESAGOA 16.28
CENTURYTEX 27.95 IVRCLINFRA 12.67 SIEMENS 3.55
CESC 4.94 JINDALSAW 37.65 SINTEX 3.1
CHAMBLFERT 21.56 JINDALSTEL 9.64 STER 8.96
CHENNPETRO 14.63 JPASSOCIAT 7.98 STERLINBIO 7.85
CIPLA 6.39 JPHYDRO 28.68 SUNPHARMA 2.96
COLPAL 2.25 JSWSTEEL 10.69 SUNTV 1.16
CONCOR 0.01 KFA 84.87 SUZLON 47.38
CROMPGREAV 0.83 KOTAKBANK 5.18 SYNDIBANK 6.39
CUMMINSIND 0.86 KSOILS 34.64 TATACHEM 2.73
DABUR 1.7 LICHSGFIN 9.48 TATACOMM 9.33
DCHL 25.29 LITL 9.09 TATAMOTORS 30.99
DENABANK 33.81 LT 4.25 TATAPOWER 5.7
DISHTV 51.58 LUPIN 4.41 TATASTEEL 10.44
DIVISLAB 5.89 M&M 7.11 TATATEA 11.66
DLF 19.51 MARUTI 6.91 TCS 4.55
DRREDDY 2.4 MCDOWELL-N 3.73 TECHM 21.81
EDUCOMP 25.03 MLL 28.15 TITAN 1.96
EKC 32.4 MOSERBAER 15.98 TRIVENI 31.94
ESSAROIL 61.85 MPHASIS 28.57 TTML 26.73
FEDERALBNK 3.02 MRPL 12.3 TULIP 6.19
FINANTECH 9.87 MTNL 22.69 TV-18 42.05
FSL 38.82 NAGARCONST 3.56 UCOBANK 16.14
GAIL 2.37 NAGARFERT 26.55 ULTRACEMCO 5.84
GESHIP 8.5 NATIONALUM 6.41 UNIONBANK 3.2
GLAXO 0.95 NEYVELILIG 10.49 UNIPHOS 2.03
GMRINFRA 16.36 NOIDATOLL 29.67 UNITECH 23.41
GRASIM 9.75 NTPC 8.18 VIJAYABANK 27.74
GSPL 15.15 OFSS 14.81 VOLTAS 4.03
GTL 48.85 ONGC 2.13 WELGUJ 73.95
GTLINFRA 42.79 OPTOCIRCUI 5.19 WIPRO 3.95

Nilesh Kulkarni Bhavin Y Mehta

Market Strategist Technical Analyst

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