daring derivatives

November 11, 2011

Derivatives Summary
Nifty (November) futures premium over spot Nifty decreased to 16.05 points from a premium of 26.20 points. Total open interest in the market was Rs125,177 crore and Rs119 crore was added in open interest. Nifty call options added 11.84 lakh shares in open interest whereas put options added 11.34 lakh shares in open interest. Jain Irrigation Systems (21%), JP Power (16%), Tulip (16%), Tata Motor DVR (13%) and BPCL (12%) were the top open interest gainers in the market. Jet Airways (-32%), Allahabad Bank (-16%), Ashok Leyland (-13%) and On Mobile (-13%) were the top open interest losers in the market. Overall volumes in futures & options stood at 42.38 lakh contracts with a turnover of Rs110,661 crore whereas volumes in Nifty futures were marginally higher compared with previous trading volumes.
8000000 7000000 6000000 Open interest 5000000 4000000 3000000 355700 4976500 895950 7083400 1571700 5068850 2920550 4760650 5830950 3763650 6749250 1145600 5431500 436500 2000000 1000000 0 26.94%

NIFTY SNAPSHOT Current Nifty (Curr. MTH) Nifty CoC OI Vol PCR(OI) PCR ( VOL) 5237.1 7.48% 29412450 19627550 1.34 0.98 OPEN INTEREST
CE 25.21% 23.52% PE Strike IV 30.00% 22.42% 21.19% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% Implied volatility

Previous 5315.55 11.30% 29079600 14414550 1.35 1.11

% Change -1.48% -33.80% 1.14% 36.16% -0.74% -11.71%

20.15% 19.28%

4900

5000

5100

5200

5300

5400

Strike price

Market commentary
Bears resurge For a second straight session the Nifty commenced trading on a timid note, side lining positive global cues. The market soon turned volatile; the tussle between the bulls and the bears continued till late afternoon. Better than expected quarterly numbers of banking giant State Bank of India (SBIN), gains in Hindustan Unilever, Wipro, TCS, Hero Moto Corp, ITC and HDFC and positive opening of European indices failed to support the bulls and the participants confidence in the market. As the day progressed losses in SBIN, BPCL, Tata Steel, DLF, Hindalco Industries, Maruti Suzuki, Reliance Communications, Sterlite Industries, Ranbaxy, Axis Bank, Tata Motors, IDFC and Reliance Industries along with select other index components added further pain to the market. The Nifty finally closed lower by 68 points or 1.29% at 5221.
Closing Price 400 350 300 250 200 150 100 15.75 50 0 351.25 260.95

PX
Px CE Px PE

5500

29.05 190.85

178.3

61.7 125.8

112.6 78.95

4900

5000

5100

5200

5300

5400

Strike price

MOST ACTIVE INDEX CALL OPTION Strike 5300 C 5400 C 5500 C 5600 C 5200 C Average IV Curr. IV 21.04% 20.32% 19.73% 19.86% 22.01% Pre. IV 21.05% 20.22% 19.54% 19.25% 22.10% Curr. OI Chg OI % Chg IV % 5830950 17.72% -0.03% 6749250 5431500 3177450 2920550 -0.08% -3.73% -8.25% 16.57% 0.50% 0.96% 3.18% -0.40%
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Daily view
Around 3.32 lakh shares were added in open interest with a significant decrease in the cost of carry indicating short positions built up at higher levels. On the options front implied volatility has seen an up tick indicating that the market will remain uncertain in the coming days. Also, from the past couple of trading sessions fresh short positions have been accumulated indicating any close below the 5200 mark on the Nifty can take it to lower targets of 5000-4950.

20.59% 20.43%

MOST ACTIVE INDEX PUT OPTION Strike 5300 P 5200 P 5000 P 5100 P 4900 P Average IV Curr. IV 21.34% 22.84% 25.99% 24.47% 27.35% Pre. IV 21.32% 22.85% 26.00% 24.58% 27.44% Curr. OI Chg OI % Chg IV % 3763650 4760650 7083400 5068850 4976500 3.91% -0.57% 14.68% -3.10% 9.33% 0.07% -0.05% -0.06% -0.45% -0.32% -0.17%

24.40% 24.44%

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Daring Derivatives November 11, 2011 1

5500

11.45

28.1

48

0.79%

272.55

Derivative Activity
Strike SBIN 2000 C HINDUNILVR 400 C RELIANCE 900 C TATASTEEL 480 C ICICIBANK 900 C MOST ACTIVE STOCK CALL OPTIONS Curr. Pre. Curr. OI IV (%) IV (%) OI Chg % 39.12% 23.83% 29.35% 40.87% 36.89% 42.76% 24.24% 29.25% 40.55% 36.99% 956375 195.75% 1536000 796750 710000 488000 10.19% 14.60% 22.52% 0.77% IV Chg % -8.52% -1.69% 0.35% 0.79% -0.27% Strike SBIN 1900 P HINDUNILVR 380 P TATASTEEL 460 P RELIANCE 860 P AXISBANK 1100 P MOST ACTIVE STOCK PUT OPTIONS Curr. Pre. Curr. OI IV (%) IV (%) OI Chg % 38.41% 25.59% 40.16% 30.48% 31.74% 45.33% 23.26% 41.07% 32.50% 35.59% 239625 1355000 259500 76.20% 10.66% IV Chg % 10.02% -2.21% -6.23%

-8.10% -15.26%

197000 -16.08%

187000 184.41% -10.82%

MOST ACTIVE STOCK FUTURES Strike CoC SBIN ICICIBANK TATASTEEL TATAMOTORS DLF Curr. CoC 11.57% 5.50% -0.27% 5.93% -11.47% Pre OI 15.42% 13.98% -4.15% 13.83% -12.69% Curr. OI 7334750 14453250 20968500 48157500 22399000 Chg. OI % 9.67% -2.19% -1.96% -4.92% -1.05%

FII'S FUTURE & OPTIONS ACTIVITY (IN CRS) 08 NOV 2011 Buy INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL 1440.36 10304.14 1136.87 304.74 13186.11 Sell 1183.86 10151.57 1354.73 294.87 12985.02 Difference 256.49 152.58 -217.85 9.87 201.08

View
Weekly
VWAP 5200 Trend Lower Range 5200 Higher Range 5450-5600

Futures: Advance Decline (AD) Ratio

Advance Decline Unchanged Total Lower Range 4950 Higher Range 5450-5600 AD Ratio 18 212 1 231 0.08

*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

Derivative Calls
Date 9-Nov-11 9-Nov-11 8-Nov-11 Scrips HDFC ONGC ICICI Bank Buy/Sell Buy Sell Buy Initiation Range 686.8-687.20 277.90-278.10 888-890 Stoploss 680 278 875 Target 698-710 274-270 920-940 Remark Close @ 686.10 1st Tgt Achvd. Book Full Profits @ 275 Stopped Out

Derivative Ideas
Date 9-Nov-11 8-Nov-11 Scrips Nifty Nifty Buy/Sell Sell Sell Initiation Range 5290-5293 5292-5294 Stoploss 5332 5330 Target 5240 5263-5243 Time Frame Intraday 1-2 Days Remark Close @ 5304.00 Close @ 5310.50

Strategy Tracker - 4
Date Scrips Buy/Sell Initiation Range Stoploss Target Timeframe Remark Mark to Market (1355.00)

8-Nov-11 8-Nov-11

Nifty CE 5400 (1 Lot) Nifty CE 5500 (1 Lot)

Buy Sell

55-56 25-27

0 0

0 0

Expiry Expiry

Open @ 26.00 Open @ 10.20

2 Daring Derivatives November 11, 2011

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Strategy Tracker - 3
Date Scrips Buy/Sell Initiation Range Stoploss Target Timeframe Remark Mark to Market (2100.00)

4-Nov-11 4-Nov-11

Sesa Goa CE 220 (1 Lot) Sesa Goa CE 230 (1 Lot)

Buy Sell

6 3-3.10

0 0

0 0

Expiry Expiry

Open @ 1.70 Open @ 0.80

Strategy Tracker - 2
Date Scrips Buy/Sell Initiation Range Stoploss Target Timeframe Remark Mark to Market

31-Oct-11 JP Associate CE 80 (1 Lot) 31-Oct-11 JP Associate CE 85 (1 Lot) 31-Oct-11 JP Associate CE 90 (1 Lot)

Buy Sell Sell

3.00-3.10 1.20-1.40 0.50-0.60

0 0 0

0 0 0

Expiry Expiry Expiry

Open @ 2.10 Open @ 0.60 Open @ 0.30 200.00

Strategy Tracker - 1
Date Scrips Buy/Sell Initiation Range Stoploss Target Timeframe Remark Mark to Market

28-Oct-11 SBIN CE 1950 (2 Lots) 28-Oct-11 SBIN CE 2000 (2 Lots) 28-Oct-11 SBIN CE 2100 (2 Lots)

Buy Sell Sell

64-65 44-45 20-21

0 0 0

0 0 0

Expiry Expiry Expiry

Open @ 26.00 Open @ 15.50 Open @ 5.20 1425.00

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Daring Derivatives November 11, 2011 3

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