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Comments
The Nifty futures open interest increased by 2.01% while
Nifty Vs OI
BankNifty futures open interest is increased by 0.96% as market closed at 5278.60 levels.
The Nifty July future closed at premium of 17.00 point
against premium of 18.45 points. The August series closed at a premium of 42.30 points.
The Implied Volatility of at the money options is
ALOKTEXT,
NHPC,
OI Gainers
SCRIP ADANIENT ONMOBILE BOSCHLTD CESC DENABANK OI 11268000 12632000 5250 1124000 6388000 OI CHANGE (%) 66.22 54.80 40.00 28.46 21.54 PRICE 235.00 29.45 9040.70 298.50 99.25 PRICE CHANGE (%) 5.67 -3.28 -0.78 3.04 0.51
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FIIs were net buyers in cash market segment; they
were net buyers worth of `591/- cr. On derivatives front they were net sellers in index futures, while in index options they continue to be net buyers.
On options front 5300-5500 call option have seen
good amount of buildup in open interest and 5700 strike price have seen some unwinding, while in put option 5100-5200 continue to add decent buildup followed by some unwinding in 4700 strike price in yesterdays trading session.
The counter of RANBAXY have seen good amount of
OI Losers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)
buildup in open interest with increase in CoC in last two trading session. We feel majority of the buildup is on the longer side. Hence we recommend to go long on this stock with the target price of `532 and stop loss at `484.
Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE INFY PCR-OI 1.21 0.84 0.67 0.83 0.90 PCR-VOL 0.97 0.82 0.55 0.52 0.61
Historical Volatility
SCRIP BAJAJHLDNG NMDC TECHM UNITECH BEML HV 28.57 40.73 36.96 62.43 43.36
www.angelbroking.com
Derivative Report
July 03, 2012
Turnover on 02-July-2012
No. of Contracts Turnover (` in cr.) Change (%)
Instrument
11327.02 11133.19
Lot Size = 50
Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 92.05 49.55 92.05 23.35 49.55 23.35 26.20 73.80 5426.20 68.70 131.30 5368.70 Risk 42.50 Reward 57.50 BEP 5342.50
Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5100 5200 5000 5100 5000 Price 57.65 33.15 57.65 18.85 33.15 18.85 14.30 85.70 5085.70 38.80 161.20 5161.20 Risk 24.50 Reward 75.50 BEP 5175.50
Note: Above mentioned Bullish or Bearish Spreads in Nifty (July Series) are given as an information and not as a recommendation.
www.angelbroking.com
Derivative Report
July 03, 2012
E-mail: research@angelbroking.com
Website: www.angelbroking.com
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