daring derivatives

January 10, 2013

Below 6000
Derivatives Summary
The Nifty (January) futures premium has decreased from 41.60 points to 27.25 points. The total open interest in the market was Rs137,616 crore and Rs1,970 crore was added in open interest. The Nifty call options added 25.71 lakh shares in open interest, whereas the Nifty put options underwent reduction by 1.33 lakh shares in open interest. Bhushan Steel (87%), Punj Lloyd (31%), Power Trading Corporation (21%), Indian Oil Corporation (17%) and Ambuja Cements (15%) were the top open interest gainers in the market. Tech Mahindra (-13%), GAIL (-9%), IFCI (-9%) and Pantaloon Retail (-8%) were the top open interest losers in the market. Overall, the volume in futures & options currently stands at 34.38 lakh contracts with a turnover of Rs107,703 crore, whereas the volume in Nifty futures was marginally higher as compared with the previous trading volume.
Nifty (Curr. MTH) Nifty CoC OI Vol PCR(OI) PCR (VOL) INR VS USD NIFTY AND CURRENCY SNAPSHOT Current 5998.75 7.57% 16745000 8801350 1.00 0.90 55.00 OPEN INTEREST
PE Strike IV 9000000 13.91% 16.00% 8000000 12.54% 12.10% 11.95% 14.00% 11.78% 11.49% 10.87% 7000000 12.00% 6000000 10.00% 5000000 8.00% 4000000 6.00% 3000000 4.00% 2000000 693100 5997150 1008800 7150600 2132900 6575950 4703050 4494700 6391500 1738050 8392600 631650 5479650 515250 1000000 0 2.00% 0.00% CE

Previous 6043.3 11.00% 16899400 8669000 1.05 1.05 55.00

% Change -0.74% -31.17% -0.91% 1.53% -4.76% -14.29% 0.00%

5700

5800

5900

6000

6100

6200

Strike price

Market commentary
On set of mixed reactions from the global equity markets, back home, the domestic indices witnessed a flattish start. Unable to surpass the early intra-day highs, the market till mid-afternoon market traded in a positive terrain, drawing support from index gainers such as Coal India, Bharti Airtel, State Bank of India, Sun Pharma, Reliance Industries and ICICI Bank followed by gains in auto and oil & gas stocks. A sudden sell off during the last hour of trade in fast moving consumer goods, metal, capital goods, reality, information technology and banking stocks washed off the intra-day gains and pushed the index below the mark of 6000. The S&P CNX Nifty ended the day just below 6000 at 5999 with a loss of 44 points.
350 300 Closing Price 250 200 295.65

PX
Px CE Px PE

6300

14.1

5700

5800

5900

6000

6100

6200

Strike price

MOST ACTIVE INDEX CALL OPTION Strike 6100 C 6000 C 6200 C 6300 C 5900 C Average IV Curr. IV 11.71% 11.76% 11.78% 11.95% 11.80% 11.80% Pre. IV 11.67% 11.78% 11.60% 11.56% 11.99% 11.72% Curr. OI Chg OI % Chg IV % 6391500 10.78% 0.33% 4703050 8392600 5479650 2132900 1.45% 4.05% 10.52% -1.87% -0.24% 1.53% 3.38% -1.61% 0.66%

Daily view
Around 1.54 lakh shares were reduced in open interest with a decrease in the cost of carry, indicating todays sell off was due to profit take away by the market participants. On the options front, the implied volatility has increased marginally, indicating the market would remain volatile and uncertain going forward.

MOST ACTIVE INDEX PUT OPTION

For Private Circulation only

Strike 6000 P 5900 P 5800 P 5700 P 6100 P Average IV

Curr. IV 11.81% 12.41% 13.00% 13.91% 11.27% 12.48%

Pre. IV 11.90% 12.57% 13.24% 14.22% 11.33% 12.65%

Curr. OI Chg OI % Chg IV % 4494700 -7.46% -0.82% 6575950 7150600 5997150 1738050 3.50% 0.84% -2.66% -4.63% -1.26% -1.82% -2.23% -0.51% -1.38%

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Daring Derivatives January 10, 2013 1

6300

3.55

5.9

50

30.2 129.25

129.1 33.4

100

11.15 207.35

150

209.9

68.45 70

298.45

Implied volatility

Open interest

Derivative Activity
Strike SBIN 2500 C TATAMOTORS 340 C RELIANCE 860 C UNITECH 40 C LT 1600 C MOST ACTIVE STOCK CALL OPTIONS Curr. Pre. Curr. OI IV (%) IV (%) OI Chg % 23.01% 28.52% 20.72% 51.80% 25.13% 23.33% 28.19% 20.66% 23.89% 391000 -20.61% 1476000 963500 569500 0.96% -9.83% 71.39% 35.35% IV Chg % -1.36% 1.16% 0.29% 4.18% 5.20% Strike SBIN 2500 P INFY 2200 P TATAMOTORS 320 P RELIANCE 840 P TATASTEEL 420 P MOST ACTIVE STOCK PUT OPTIONS Curr. Pre. Curr. OI IV (%) IV (%) OI Chg % 23.48% 37.29% 28.58% 20.99% 26.48% 23.35% 40.10% 27.25% 20.43% 25.93% 240625 583875 1483000 417500 1481000 48.19% 91.91% 67.19% -1.53% 0.07% IV Chg % 0.56% -7.00% 4.89% 2.76% 2.12%

49.72% 13420000

MOST ACTIVE STOCK FUTURES Strike CoC SBIN TATAMOTORS RELIANCE LT HDIL Curr. CoC 4.54% 7.86% 5.16% 13.11% 11.05% Pre OI 12.92% 13.13% 12.31% 13.57% 14.10% Curr. OI 5223875 23065000 10535500 6212000 27364000 Chg. OI % -0.02% 8.64% -5.29% 4.95% 2.46%

FII'S FUTURE & OPTIONS ACTIVITY (IN CRS) 08 JAN 2013 Buy INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL 764.50 10899.83 1403.16 1324.57 14392.06 Sell 711.19 10604.90 1643.03 1458.62 14417.74 Difference 53.31 294.92 -239.86 -134.05 -25.69

View
Weekly
VWAP 6000 Trend Lower Range 6000 Higher Range 6100

Futures: Advance Decline (AD) Ratio

Advance Decline Unchanged 37 116 3 156 0.32

*If Nifty is above VWAP (Volume Weighted Average Price) on closing basis then bias is positive and if closes below then bias is negative.

Monthly
Lower Range 5727
*On closing basis

Total Higher Range 6073 AD Ratio

Derivative Calls
Date 9-Jan-13 9-Jan-13 7-Jan-13 7-Jan-13 7-Jan-13 4-Jan-13 Scrips Maruti CE 1600 Sesa Goa PE 200 R Power CE 100 NHPC CE 27.50 IBREALEST CE 80 Titan CE 300 Buy/Sell Buy Buy Buy Buy Buy Buy Initiation Range 34.5 6.7 2.05 0.2 2.95 4.2 Stoploss 25 5.50 1.00 0 2.50 2 Target 55.00-65.00 8.50-10.50 3.50-4.50 1.00-1.50 4.00-5.00 7.00-10.00 Remark Open @ 27.70 Booked Profits @ 8 Closed @ 1.80 Open @ 0.25 Booked Profits @ 3.45 Stopped Out

Pair Trade (Derivative Calls)

Date 8-Jan-13 8-Jan-13 Scrips Nifty (1 Lot) Bank Nifty (1 Lot) Buy/Sell Initiation Range Buy Sell 6001 12735 CMP 6002 12785 Lot Size 50 25 Adj Shares (Cash) 0 0 Remark Mark to Market P&L -1252.50

Open

2 Daring Derivatives January 10, 2013

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Strategy Tracker - 3
Date 9-Jan-13 9-Jan-13 9-Jan-13 Scrips Infy CE 2400 (2 Lots) Infy CE 2500 (4 Lots) Infy CE 2600 (2 Lots) Buy/Sell Initiation Range Buy Sell Buy 62 30 12 Stoploss 0 0 0 Target 0 0 0 Timeframe Expiry Expiry Expiry Remark Open @ 59.35 Open @ 28.30 Open @ 11.50 300.00 Mark to Market P&L

Strategy Tracker - 2
Date 8-Jan-13 8-Jan-13 Scrips Punjlloyd CE 65 (1 Lot) Punjlloyd CE 70 (1 Lot) Buy/Sell Initiation Range Buy Sell 1.25 0.5 Stoploss 0 0 Target 0 0 Timeframe Expiry Expiry Remark Open @ 1.50 Open @ 0.45 Mark to Market P&L 2000.00

Strategy Tracker - 1
Date 3-Jan-13 3-Jan-13 Scrips Mc Dowell-N CE 2000 (1 Lot) Mc Dowell-N CE 2050 (1 Lot) Buy/Sell Initiation Range Buy Sell 52.5 36.7 Stoploss 0 0 Target 0 0 Timeframe Expiry Expiry Remark Open @ 29.00 Open @ 16.80 Mark to Market P&L -1050.00

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Daring Derivatives January 10, 2013 3

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