Derivative Strategies 11112009

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

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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.