Derivative Strategies 11112009
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DERIVATIVE STRATEGIES 11 Nov 2009
INDEX FUTURES – INDIA Symbol
%Change in Open Interest
% Change in Price
Nifty
-5.34
-0.58
Bank Nifty
7.47
0.16
Cnx IT
-9.92
-1.12
BASIS IN FUTURES Symbol
Spot Price
Futures Price
Basis
Nifty
4881.7
4874.7
-7
Bank Nifty
9179.5
9138.3
-41
Cnx IT
5064.9
5066.4
2
NIFTY - OPTIONS INDICATORS Implied Volatility
Date
PC Ratio (OI)
Call
Put
04 Nov
1.04
27.5
28.46
05 Nov
1.15
27.45
28.07
06 Nov
1.19
26.74
27.73
09 Nov
1.49
25.81
26.64
10 Nov
1.33
26.94
27.95
ACTIVE INDEX CALL OPTIONS % Change Strike Closing Expiry Date in Open Price Price Interest 4900 26 Nov 09 98.00 36.68% 5000 26 Nov 09 56.50 22.31% 5100 26 Nov 09 30.00 14.48% 5200 26 Nov 09 14.80 4.29% 4800 26 Nov 09 154.25 4.97% 5300 26 Nov 09 6.70 -0.65% ACTIVE INDEX PUT OPTIONS % Change Closing Expiry Date in Open Price Interest 4800 26 Nov 09 84.40 -14.45%
Strike Price
4900
26 Nov 09
125.95
2.66%
4700
26 Nov 09
56.95
0.93%
4600
26 Nov 09
37.70
-3.50%
4500
26 Nov 09
24.85
-3.27%
4400
26 Nov 09
16.75
-0.57% Devarajan. S
Janet Alice Rani
F&O MARKET – SNAPSHOTS The market opened on a firm note on higher Asian stocks and overnight solid rally in US stocks. Finally markets ended volatile session on a flat note as gains in metals and were offset by realty stocks. On the F&O front, the open interest of NIFTY November futures declined by 5.34% coupled negative cost of carry suggesting long positions closed at higher levels. The PC RATIO is declined to 1.33 from 1.49 indicating upside sustainable movement can be expected from current levels. The NIFTY call and put options suggests that the index may not hold 4,900 levels in the coming days and may slip below 4,800. Index futures saw a trading volume of Rs.16991.35 crores arising out of 718367 contracts and Index option saw 1634370 contracts getting traded at a notional value of Rs.40209.88 crores. The total turnover of the Futures & Options segment of the Exchange was around Rs.81008.35 crores. Among stock F&O part, RELIANCE & BHARTIARTL were the most active futures and options contracts on individual securities. Out of 179 securities, options on 106 and futures on 178 underlying securities got traded. SBIN: The outlook of the stock is likely to remain bullish and it can be expected to trade above 2400 levels. FIIs were NET BUYERS of Rs. 657.38 Crores in the futures and options market.
NIFTY VIEW: For the day, NIFTY may open flat to positive and it can be expected to trade sideways. NIFTY will face strong resistance at 4930 and 4947 levels. If NIFTY trades above this level, it could test at 4970. Alternatively, if NIFTY falls below 4860 levels then fresh short positions can be expected which could test at 4820 and 4790 levels. The upsides stop loss for the short holders would be ideally at 4950. .
ACTIVE STOCK OPTIONS Symbol
Strike Price
Option Type
% Change in Open Interest
Closing Price
1
RELIANCE
2100
CA
140.46
43.40
2
TATASTEEL
520
CA
28.47
14.90
3
IFCI
55
CA
20.80
1.70
4
TATAMOTORS
600
CA
44.72
25.30
5
UNITECH
90
CA
13.83
3.60
6
DLF
400
CA
20.92
13.80
7
ICICIBANK
900
CA
29.03
31.00
8
SBIN
2400
CA
29.56
62.70
9
RNRL
80
CA
0.71
2.80
OPEN INTEREST GAINERS Symbol
% Change
ASIANPAINT
48.53%
EDUCOMP
37.05%
COLPAL
26.53%
NAGARCONST
22.60%
SUNTV
19.73%
OPEN INTEREST LOSERS Symbol
% Change
ITC
-19.40%
TECHM
-17.77%
HOTELEELA
-14.74%
HDIL
-12.47%
HINDZINC
-12.35%
GROWTH IN DERIVATIVES MARKET Product
% Change in Volume
% Change in Turnover
Index Futures
10.19%
10.85%
Stock Options
18.42%
Index Options
2.19%
S No
WATCH -STOCK OPTIONS Symbol
Strike Price
Option Type
Closing Price
Theoretical Price
1
RELIANCE
2100
CA
43.40
95.18
Overvalued /Undervalued Options Under Valued
2
TATASTEEL
520
CA
14.90
21.08
Under Valued
3
IFCI
55
CA
1.70
1.41
Over Valued
S.No
VOLATILITY (TOP TRADED STOCK FUTURES) Symbol
Previous Day
Current Day
% Change
RELIANCE
2.61
2.54
-2.55%
20.85%
SBIN
2.82
2.76
-2.20%
3.60%
TATAMOTORS
2.61
2.58
-0.85%
ICICIBANK
3.00
2.92
-2.73%
TATASTEEL
3.35
3.26
-2.74%
FII ACTIVITY
UNITECH
4.63
4.56
-1.58%
%Change in number of contracts Open Buy Sell Interest Index Futures -2.72% 37.53% -4.32%
DLF
4.22
4.18
-0.86%
JINDALSTEL
3.08
2.98
-3.03%
RELINFRA
3.20
3.13
-2.30%
HDIL
4.80
4.67
-2.67%
SESAGOA
4.65
4.55
-2.10%
Stock Options
20.52%
23.26%
Product
Index Options
66.89%
47.57%
2.94%
Stock Futures
7.97%
18.14%
-0.24%
Stock Options 17500.00% 530.99%
3.66%
Net Buy/Sell (Rs. in Crores)
657.38
% Change in % Change in Open Price Interest
S.No
Symbol
1
RELIANCE
-6.17%
1.05%
Sideways
2
SBIN
9.56%
1.49%
Positive
700
3
TATAMOTORS
5.28%
2.23%
Positive
500
4
ICICIBANK
-10.05%
0.97%
Positive
5
TATASTEEL
-3.47%
-1.05%
Positive
6
UNITECH
-10.09%
-3.15%
Weak
7
DLF
6.39%
-3.50%
Weak
8
JINDALSTEL
-4.97%
-0.21%
Positive
9
RELINFRA
7.39%
-1.56%
Weak
10
HDIL
-12.47%
-1.66%
Sideways
VOLUME ANALYSIS – NIFTY 900
300
ov D 08 ec Ja 08 n Fe 09 b M 09 ar Ap 09 r M 09 ay Ju 09 n 0 Ju 9 l Au 09 g Se 09 p O 09 ct 09
100
N
Volume (in Lakhs)
BULLISH & BEARISH TRENDS Trend
STRATEGY UPDATE PRE-MARKET CALL (FUTURES): No Pre-Market Call Today
FRESH OPTIONS STRATEGIES: No Fresh Options Strategy Today
RECOMMENDATIONS TRACKER FUTURES
S No.
Recom. Date
Scrip
Long/Short
Price
Target
SL
Maximum high/low reached after call initiation
% Return
Remarks
1
10 NOV 09
NIFTY
Long
4925
4980
4890
4934
- 0.72
INTRADAY CALL
2
9 NOV 09
NIFTY
Long
4890
5030
4820
4947.55
- 0.41
POSITIONAL CALL – EXITED @ 4870 on 10 Nov 09
OPTIONS:
S.No:
Recom. Date
Expiry Date
Symbol
Recom. Strategy
1
9-Nov-09
26-Nov-09
RELIANCE
LONG STRANGLE
2
10 Nov 09
26 Nov 09
IFCI
LONG STRANGLE
Action
Entry
Buy 2040 Call & Buy 1950 46 & 47 Put Buy 55 Call & 2.20 & 2 Buy 50 Put
LTP/Exit
Profit / Loss (Rs. Per Lot)
Return %
Remarks
71.5 & 27.6
915
6.56
Hold
1.7 & 2.45
-394
-1.19
Hold
ALSO READ OUR OTHER RESEARCH REPORTS SUCH AS: MONEY MORNING
WEEKLY MARKET OUTLOOK
FUNDAMENTAL REPORTS
MACRO ECONOMIC REPORTS
While all efforts have been made to ensure the veracity of information and analysis provided herein, neither the organization, nor any of its directors or employees are responsible for any errors inadvertent or otherwise, and for any investment or divestment decision taken based on its recommendations. Our company or an associate company or firm, their employees may hold positions and / or transact in the instruments mentioned herein.
INDEX FUTURES – INDIA Symbol
%Change in Open Interest
% Change in Price
Nifty
-5.34
-0.58
Bank Nifty
7.47
0.16
Cnx IT
-9.92
-1.12
BASIS IN FUTURES Symbol
Spot Price
Futures Price
Basis
Nifty
4881.7
4874.7
-7
Bank Nifty
9179.5
9138.3
-41
Cnx IT
5064.9
5066.4
2
NIFTY - OPTIONS INDICATORS Implied Volatility
Date
PC Ratio (OI)
Call
Put
04 Nov
1.04
27.5
28.46
05 Nov
1.15
27.45
28.07
06 Nov
1.19
26.74
27.73
09 Nov
1.49
25.81
26.64
10 Nov
1.33
26.94
27.95
ACTIVE INDEX CALL OPTIONS % Change Strike Closing Expiry Date in Open Price Price Interest 4900 26 Nov 09 98.00 36.68% 5000 26 Nov 09 56.50 22.31% 5100 26 Nov 09 30.00 14.48% 5200 26 Nov 09 14.80 4.29% 4800 26 Nov 09 154.25 4.97% 5300 26 Nov 09 6.70 -0.65% ACTIVE INDEX PUT OPTIONS % Change Closing Expiry Date in Open Price Interest 4800 26 Nov 09 84.40 -14.45%
Strike Price
4900
26 Nov 09
125.95
2.66%
4700
26 Nov 09
56.95
0.93%
4600
26 Nov 09
37.70
-3.50%
4500
26 Nov 09
24.85
-3.27%
4400
26 Nov 09
16.75
-0.57% Devarajan. S
Janet Alice Rani
F&O MARKET – SNAPSHOTS The market opened on a firm note on higher Asian stocks and overnight solid rally in US stocks. Finally markets ended volatile session on a flat note as gains in metals and were offset by realty stocks. On the F&O front, the open interest of NIFTY November futures declined by 5.34% coupled negative cost of carry suggesting long positions closed at higher levels. The PC RATIO is declined to 1.33 from 1.49 indicating upside sustainable movement can be expected from current levels. The NIFTY call and put options suggests that the index may not hold 4,900 levels in the coming days and may slip below 4,800. Index futures saw a trading volume of Rs.16991.35 crores arising out of 718367 contracts and Index option saw 1634370 contracts getting traded at a notional value of Rs.40209.88 crores. The total turnover of the Futures & Options segment of the Exchange was around Rs.81008.35 crores. Among stock F&O part, RELIANCE & BHARTIARTL were the most active futures and options contracts on individual securities. Out of 179 securities, options on 106 and futures on 178 underlying securities got traded. SBIN: The outlook of the stock is likely to remain bullish and it can be expected to trade above 2400 levels. FIIs were NET BUYERS of Rs. 657.38 Crores in the futures and options market.
NIFTY VIEW: For the day, NIFTY may open flat to positive and it can be expected to trade sideways. NIFTY will face strong resistance at 4930 and 4947 levels. If NIFTY trades above this level, it could test at 4970. Alternatively, if NIFTY falls below 4860 levels then fresh short positions can be expected which could test at 4820 and 4790 levels. The upsides stop loss for the short holders would be ideally at 4950. .
ACTIVE STOCK OPTIONS Symbol
Strike Price
Option Type
% Change in Open Interest
Closing Price
1
RELIANCE
2100
CA
140.46
43.40
2
TATASTEEL
520
CA
28.47
14.90
3
IFCI
55
CA
20.80
1.70
4
TATAMOTORS
600
CA
44.72
25.30
5
UNITECH
90
CA
13.83
3.60
6
DLF
400
CA
20.92
13.80
7
ICICIBANK
900
CA
29.03
31.00
8
SBIN
2400
CA
29.56
62.70
9
RNRL
80
CA
0.71
2.80
OPEN INTEREST GAINERS Symbol
% Change
ASIANPAINT
48.53%
EDUCOMP
37.05%
COLPAL
26.53%
NAGARCONST
22.60%
SUNTV
19.73%
OPEN INTEREST LOSERS Symbol
% Change
ITC
-19.40%
TECHM
-17.77%
HOTELEELA
-14.74%
HDIL
-12.47%
HINDZINC
-12.35%
GROWTH IN DERIVATIVES MARKET Product
% Change in Volume
% Change in Turnover
Index Futures
10.19%
10.85%
Stock Options
18.42%
Index Options
2.19%
S No
WATCH -STOCK OPTIONS Symbol
Strike Price
Option Type
Closing Price
Theoretical Price
1
RELIANCE
2100
CA
43.40
95.18
Overvalued /Undervalued Options Under Valued
2
TATASTEEL
520
CA
14.90
21.08
Under Valued
3
IFCI
55
CA
1.70
1.41
Over Valued
S.No
VOLATILITY (TOP TRADED STOCK FUTURES) Symbol
Previous Day
Current Day
% Change
RELIANCE
2.61
2.54
-2.55%
20.85%
SBIN
2.82
2.76
-2.20%
3.60%
TATAMOTORS
2.61
2.58
-0.85%
ICICIBANK
3.00
2.92
-2.73%
TATASTEEL
3.35
3.26
-2.74%
FII ACTIVITY
UNITECH
4.63
4.56
-1.58%
%Change in number of contracts Open Buy Sell Interest Index Futures -2.72% 37.53% -4.32%
DLF
4.22
4.18
-0.86%
JINDALSTEL
3.08
2.98
-3.03%
RELINFRA
3.20
3.13
-2.30%
HDIL
4.80
4.67
-2.67%
SESAGOA
4.65
4.55
-2.10%
Stock Options
20.52%
23.26%
Product
Index Options
66.89%
47.57%
2.94%
Stock Futures
7.97%
18.14%
-0.24%
Stock Options 17500.00% 530.99%
3.66%
Net Buy/Sell (Rs. in Crores)
657.38
% Change in % Change in Open Price Interest
S.No
Symbol
1
RELIANCE
-6.17%
1.05%
Sideways
2
SBIN
9.56%
1.49%
Positive
700
3
TATAMOTORS
5.28%
2.23%
Positive
500
4
ICICIBANK
-10.05%
0.97%
Positive
5
TATASTEEL
-3.47%
-1.05%
Positive
6
UNITECH
-10.09%
-3.15%
Weak
7
DLF
6.39%
-3.50%
Weak
8
JINDALSTEL
-4.97%
-0.21%
Positive
9
RELINFRA
7.39%
-1.56%
Weak
10
HDIL
-12.47%
-1.66%
Sideways
VOLUME ANALYSIS – NIFTY 900
300
ov D 08 ec Ja 08 n Fe 09 b M 09 ar Ap 09 r M 09 ay Ju 09 n 0 Ju 9 l Au 09 g Se 09 p O 09 ct 09
100
N
Volume (in Lakhs)
BULLISH & BEARISH TRENDS Trend
STRATEGY UPDATE PRE-MARKET CALL (FUTURES): No Pre-Market Call Today
FRESH OPTIONS STRATEGIES: No Fresh Options Strategy Today
RECOMMENDATIONS TRACKER FUTURES
S No.
Recom. Date
Scrip
Long/Short
Price
Target
SL
Maximum high/low reached after call initiation
% Return
Remarks
1
10 NOV 09
NIFTY
Long
4925
4980
4890
4934
- 0.72
INTRADAY CALL
2
9 NOV 09
NIFTY
Long
4890
5030
4820
4947.55
- 0.41
POSITIONAL CALL – EXITED @ 4870 on 10 Nov 09
OPTIONS:
S.No:
Recom. Date
Expiry Date
Symbol
Recom. Strategy
1
9-Nov-09
26-Nov-09
RELIANCE
LONG STRANGLE
2
10 Nov 09
26 Nov 09
IFCI
LONG STRANGLE
Action
Entry
Buy 2040 Call & Buy 1950 46 & 47 Put Buy 55 Call & 2.20 & 2 Buy 50 Put
LTP/Exit
Profit / Loss (Rs. Per Lot)
Return %
Remarks
71.5 & 27.6
915
6.56
Hold
1.7 & 2.45
-394
-1.19
Hold
ALSO READ OUR OTHER RESEARCH REPORTS SUCH AS: MONEY MORNING
WEEKLY MARKET OUTLOOK
FUNDAMENTAL REPORTS
MACRO ECONOMIC REPORTS
While all efforts have been made to ensure the veracity of information and analysis provided herein, neither the organization, nor any of its directors or employees are responsible for any errors inadvertent or otherwise, and for any investment or divestment decision taken based on its recommendations. Our company or an associate company or firm, their employees may hold positions and / or transact in the instruments mentioned herein.
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